# EDGAR Filing Document

**Accession Number:** 0001005942
**File Stem:** 0001752724-25-178329
**Filing Date:** 2025-7
**Character Count:** 226513
**Document Hash:** 072b8db74e71d19eb8d1f34b58e0b325
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-178329.hdr.sgml**: 20250725

**ACCESSION NUMBER**: 0001752724-25-178329

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250725

**DATE AS OF CHANGE**: 20250725

**PERIOD START**: 20250531

**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:** 251150155

**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:** 2025-05-31

- **b. Date as of which information is reported:** 2025-05-31

**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:** $1343595911.12

**Total Liabilities:** $740292563.13

**Net Assets:** $603303347.99

**Delayed Delivery Securities:** $532278007.83

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 83.81000000 | **1-Year:** 38502.29000000 | **5-Year:** 48132.36000000 | **10-Year:** 82588.05000000 | **30-Year:** 50314.04000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000213255 | -0.45%               | 0.17%                | 0.45%                |
| Class ID C000213253 | -0.35%               | 0.25%                | 0.54%                |
| Class ID C000152757 | -0.34%               | 0.26%                | 0.55%                |
| Class ID C000213254 | -0.27%               | 0.12%                | 0.52%                |
| Class ID C000219743 | -0.34%               | 0.26%                | 0.55%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2644397.08              | $-3897771.60                               |
| Month 2  | $7596660.00              | $7604624.87                                |
| Month 3  | $-5039179.93             | $-5436588.80                               |

**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        |   15370638 | PA      | $750472.95     | 0.12%             | 2057-09-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H19, Class MI                                                     | CUSIP: 38375UK25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1454502 | PA      | $58210.64      | 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      | $2085610.00    | 0.35%             | 2046-11-10      | Variable      | 4.94%                 | 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        |    1748696 | PA      | $1592080.70    | 0.26%             | 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      | $1516683.23    | 0.25%             | 2048-09-25      | Floating      | 12.19%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-105, Class LI                                                     | CUSIP: 38379NRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     351416 | PA      | $75949.20      | 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        |   28151510 | PA      | $3593247.54    | 0.60%             | 2050-05-20      | Floating      | 1.71%                 | 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      | $329820.45     | 0.05%             | 2059-01-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class C                            | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     915000 | PA      | $837136.98     | 0.14%             | 2057-06-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-179, Class SD                                                     | CUSIP: 38383Y5C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11250129 | PA      | $1224610.31    | 0.20%             | 2049-11-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5410, Class AS                                                        | CUSIP: 3137HCTR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40841468 | PA      | $2288682.38    | 0.38%             | 2054-05-25      | Floating      | 1.43%                 | 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        |     357745 | PA      | $357690.91     | 0.06%             | 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        |     665428 | PA      | $667853.66     | 0.11%             | 2038-10-25      | Fixed         | 7.00%                 | 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        |    1334852 | PA      | $1345934.70    | 0.22%             | 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        |   23990969 | PA      | $2255570.96    | 0.37%             | 2053-02-20      | Floating      | 2.67%                 | 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      | $3527456.75    | 0.58%             | 2033-10-25      | Floating      | 10.57%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-25, Class IJ                                                      | CUSIP: 3136BHEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4743013 | PA      | $925994.12     | 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      | $3624758.70    | 0.60%             | 2050-03-25      | Floating      | 12.04%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-7, Class MI                                                       | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15300331 | PA      | $2260536.69    | 0.37%             | 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        |    5529092 | PA      | $1255509.75    | 0.21%             | 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        |    4754197 | PA      | $1142525.79    | 0.19%             | 2052-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   20730000 | PA      | $1000737.38    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2022-R05, Class 2B1                     | CUSIP: 20754DAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2540000 | PA      | $2667578.61    | 0.44%             | 2042-04-25      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class GI                                                       | CUSIP: 38384HZX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7543185 | PA      | $1850329.68    | 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        |     248272 | PA      | $10850.25      | 0.00%             | 2067-08-20      | Variable      | 2.04%                 | 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        |     253452 | PA      | $253809.28     | 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      | $1593006.82    | 0.26%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2024-5, Class A                          | CUSIP: 85778YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1855000 | PA      | $1855364.32    | 0.31%             | 2025-08-04      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H10, Class MI                                                     | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1987033 | PA      | $58764.52      | 0.01%             | 2067-04-20      | Variable      | 1.92%                 | 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        |     971126 | PA      | $973656.77     | 0.16%             | 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        |     274458 | PA      | $236286.27     | 0.04%             | 2046-08-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-101, Class HS                                                     | CUSIP: 38384CBH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22211357 | PA      | $1454290.80    | 0.24%             | 2053-07-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2024-RN2, Class A1                                                 | CUSIP: 69391YAA5<br>LEI: 254900D7MDAANUUXWQ05 | Long             | ABS-O            | CORP              | US        |    3766867 | PA      | $3786067.66    | 0.63%             | 2054-04-25      | Fixed         | 7.12%                 | 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      | $309793.61     | 0.05%             | 2046-10-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class AI                                                     | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77784 | PA      | $1101.24       | 0.00%             | 2065-09-20      | Variable      | 1.61%                 | 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      | $1370395.33    | 0.23%             | 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        |   11031218 | PA      | $824484.23     | 0.14%             | 2052-05-20      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| BANK5                                                  | BANK5, Series 2024-5YR10, Class XA                                                  | CUSIP: 06604AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17675633 | PA      | $796451.67     | 0.13%             | 2057-10-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-89, Class LI                                                      | CUSIP: 38379P4V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     325582 | PA      | $60245.86      | 0.01%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2016-C06, Class 1B                       | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    1546604 | PA      | $1684859.75    | 0.28%             | 2029-04-25      | Floating      | 13.69%                | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2022-R09, Class 2B1                     | CUSIP: 20753DAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $553503.90     | 0.09%             | 2042-09-25      | Floating      | 11.07%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-17, Class KI                                                      | CUSIP: 3136BF4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2170212 | PA      | $522120.62     | 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        |     516984 | PA      | $572009.71     | 0.09%             | 2029-07-25      | Floating      | 14.44%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24                                                               | CUSIP: 38376RJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130859 | PA      | $8608.41       | 0.00%             | 2066-09-20      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-182, Class TI                                                     | CUSIP: 38383CAC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8732751 | PA      | $1710324.10    | 0.28%             | 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        |      69939 | PA      | $3008.29       | 0.00%             | 2066-10-20      | Variable      | 3.00%                 | 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        |      24771 | PA      | $31765.99      | 0.01%             | 2051-02-12      | Variable      | 7.85%                 | 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      | $2992945.29    | 0.50%             | 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        |     224879 | PA      | $216429.85     | 0.04%             | 2047-08-10      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2024-2, Class A                          | CUSIP: 85770KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1805000 | PA      | $1806427.94    | 0.30%             | 2025-06-22      | Floating      | 5.22%                 | 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        |     302462 | PA      | $293004.26     | 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        |    6909009 | PA      | $289209.72     | 0.05%             | 2069-07-20      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-34, Class IV                                                      | CUSIP: 38383MBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10069261 | PA      | $1955222.91    | 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        |     227311 | PA      | $215135.78     | 0.04%             | 2047-12-15      | Variable      | 4.10%                 | 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      | $1286090.25    | 0.21%             | 2045-03-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class AS                                                       | CUSIP: 38384HXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20362160 | PA      | $1821804.46    | 0.30%             | 2054-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class EI                                                      | CUSIP: 38384JPU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   54407946 | PA      | $3178392.50    | 0.53%             | 2054-02-20      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F050668<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -14000000 | PA      | $-13553267.56  | -2.25%            | 2055-06-25      | Fixed         | 5.00%                 | 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      | $1546775.37    | 0.26%             | 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        |   23793604 | PA      | $908154.27     | 0.15%             | 2071-01-20      | Variable      | 1.40%                 | 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        |    5489787 | PA      | $1260602.75    | 0.21%             | 2037-02-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1B1                     | CUSIP: 20753YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $532211.45     | 0.09%             | 2042-03-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-97, Class S                                                       | CUSIP: 38384PPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46783893 | PA      | $3356187.61    | 0.56%             | 2054-03-20      | Floating      | 1.47%                 | 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      | $479634.09     | 0.08%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-P1, Class C                        | CUSIP: 17324DAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     725000 | PA      | $703431.32     | 0.12%             | 2048-09-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SP                                                      | CUSIP: 38383VYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23186921 | PA      | $1675890.33    | 0.28%             | 2053-02-20      | Floating      | 2.67%                 | 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        |    2812085 | PA      | $2563834.99    | 0.42%             | 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      | $195008.02     | 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        |     763531 | PA      | $201327.27     | 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        |    5386503 | PA      | $948534.71     | 0.16%             | 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        |   36421329 | PA      | $2541105.22    | 0.42%             | 2053-08-20      | Floating      | 1.72%                 | 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        |     497324 | PA      | $497175.95     | 0.08%             | 2038-11-16      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H02, Class BI                                                     | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     922732 | PA      | $34445.58      | 0.01%             | 2067-01-20      | Variable      | 2.35%                 | 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        |     143958 | PA      | $123664.60     | 0.02%             | 2037-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1024000 | PA      | $-104946.93    | -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        |      76893 | PA      | $72881.39      | 0.01%             | 2036-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4000000 | PA      | $-3404214.48   | -0.56%            | 2055-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-59, Class SQ                                                      | CUSIP: 38382RPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6895449 | PA      | $885547.99     | 0.15%             | 2051-04-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-91, Class AI                                                      | CUSIP: 38382TNG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17407197 | PA      | $3178300.07    | 0.53%             | 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        |    3875832 | PA      | $155759.23     | 0.03%             | 2068-06-20      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F060667<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -116000000 | PA      | $-117150454.36 | -19.42%           | 2055-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-84, Class DS                                                      | CUSIP: 38384AN58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18915565 | PA      | $1447439.82    | 0.24%             | 2053-06-20      | 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        |   21594205 | PA      | $2046530.28    | 0.34%             | 2054-12-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B1                     | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2146000 | PA      | $2240704.91    | 0.37%             | 2042-01-25      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5116, Class BI                                                        | CUSIP: 3137H0JE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10738245 | PA      | $2216109.52    | 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      | $3276575.64    | 0.54%             | 2049-02-25      | Floating      | 16.69%                | 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      | $1769994.72    | 0.29%             | 2048-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3404058.20    | 0.56%             | 2055-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-98, Class FA                                                      | CUSIP: 3136BUCU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1536951 | PA      | $1535774.92    | 0.25%             | 2053-12-25      | Floating      | 5.47%                 | 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      | $425270.00     | 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        |   19183376 | PA      | $1209373.71    | 0.20%             | 2054-01-20      | Floating      | 1.42%                 | 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    | 0.46%             | 2044-12-10      | Variable      | 5.51%                 | 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      | $1675460.93    | 0.28%             | 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        |     531347 | PA      | $28383.51      | 0.00%             | 2066-06-20      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5274                                                                  | CUSIP: 3137H9F46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13142441 | PA      | $2232524.88    | 0.37%             | 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        |    4611775 | PA      | $889436.18     | 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      | $76665.31      | 0.01%             | 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        |   24008847 | PA      | $1466825.33    | 0.24%             | 2054-01-20      | Floating      | 2.07%                 | 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 B        | CUSIP: 61690QAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1555000 | PA      | $1536978.79    | 0.25%             | 2050-07-15      | Variable      | 4.12%                 | 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      | $459350.37     | 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        |    2876667 | PA      | $2949506.01    | 0.49%             | 2028-04-25      | Floating      | 13.79%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class SU                                                      | CUSIP: 38384JRW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31826704 | PA      | $2225494.99    | 0.37%             | 2054-02-20      | Floating      | 1.52%                 | 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        |     610716 | PA      | $595293.76     | 0.10%             | 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      | $1054639.91    | 0.17%             | 2057-10-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2019-R03, Class 1B1                     | CUSIP: 20753MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     974377 | PA      | $1040905.03    | 0.17%             | 2031-09-25      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     836000 | PA      | $75312.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-53, Class MI                                                      | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58206 | PA      | $11610.61      | 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        |    2149058 | PA      | $378733.29     | 0.06%             | 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      | $692806.65     | 0.11%             | 2048-11-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-128, Class SH                                                     | CUSIP: 38383T8J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25030380 | PA      | $2535782.71    | 0.42%             | 2052-07-20      | Floating      | 1.65%                 | 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      | $2983967.09    | 0.49%             | 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      | $876293.33     | 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        |   26837233 | PA      | $1988901.96    | 0.33%             | 2053-01-20      | Floating      | 1.92%                 | 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        |    1343791 | PA      | $1260832.93    | 0.21%             | 2046-07-15      | Variable      | 3.98%                 | 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        |    2834500 | PA      | $2599491.61    | 0.43%             | 2047-05-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class PS                                                      | CUSIP: 38383VWY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   48048986 | PA      | $2280054.13    | 0.38%             | 2053-02-20      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5065, Class MI                                                        | CUSIP: 3137F8RM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2891170 | PA      | $554332.08     | 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        |     146761 | PA      | $144981.74     | 0.02%             | 2047-12-10      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     576000 | PA      | $19331.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-151, Class MI                                                     | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3967234 | PA      | $581821.49     | 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      | $886708.95     | 0.15%             | 2046-05-15      | Variable      | 3.80%                 | 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      | $1292128.24    | 0.21%             | 2051-06-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H14, Class IB                                                     | CUSIP: 38380LYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157482 | PA      | $6808.40       | 0.00%             | 2069-08-20      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  152711200 | PA      | $153267.48     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H01, Class AI                                                     | CUSIP: 38375U3K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6553291 | PA      | $313568.40     | 0.05%             | 2068-01-20      | Variable      | 2.28%                 | 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        |   12701271 | PA      | $301603.12     | 0.05%             | 2053-01-15      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class HI                                                     | CUSIP: 38376RAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49441 | PA      | $2329.31       | 0.00%             | 2065-04-20      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-103, Class SC                                                     | CUSIP: 38381XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11696677 | PA      | $1273533.03    | 0.21%             | 2049-08-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class IG                                                       | CUSIP: 38384HZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7882752 | PA      | $1389377.61    | 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        |   14180341 | PA      | $2093179.92    | 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        |     921807 | PA      | $921608.48     | 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        |    6720555 | PA      | $1483335.42    | 0.25%             | 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        |   10394010 | PA      | $2395964.93    | 0.40%             | 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      | $3748276.42    | 0.62%             | 2048-10-25      | Floating      | 15.44%                | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class D                                      | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1247000 | PA      | $1018244.09    | 0.17%             | 2047-05-10      | Variable      | 4.84%                 | 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      | $15874.19      | 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      | $391057.38     | 0.06%             | 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      | $1212911.26    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-162                                                               | CUSIP: 38383AA95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3186660 | PA      | $644122.46     | 0.11%             | 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      | $28005.22      | 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        |    1300394 | PA      | $1294663.72    | 0.21%             | 2054-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   80124000 | PA      | $-151404.39    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H21, Class AI                                                     | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     525852 | PA      | $17329.44      | 0.00%             | 2064-10-20      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-32                                                                | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |   16284120 | PA      | $832190.21     | 0.14%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-56, Class AS                                                      | CUSIP: 38383XS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27427176 | PA      | $1942214.31    | 0.32%             | 2053-04-20      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F040669<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1000000 | PA      | $-916303.33    | -0.15%            | 2055-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   37243300 | PA      | $617100.59     | 0.10%             |  |  |  | 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      | $180440.31     | 0.03%             | 2048-06-10      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    3436000 | PA      | $-121722.01    | -0.02%            |  |  |  | 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        |     990319 | PA      | $793036.51     | 0.13%             | 2047-02-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $8906.25       | 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      | $846200.59     | 0.14%             | 2047-02-10      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class D                            | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    1121000 | PA      | $870904.68     | 0.14%             | 2057-06-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-112, Class MS                                                     | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6517576 | PA      | $907094.01     | 0.15%             | 2050-08-20      | Floating      | 1.86%                 | 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      | $521864.53     | 0.09%             | 2045-11-15      | Variable      | 4.34%                 | 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        |    1226148 | PA      | $1233755.40    | 0.20%             | 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        |    1750529 | PA      | $1758806.26    | 0.29%             | 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      | $3859.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-24, Class SQ                                                      | CUSIP: 38383WDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17560838 | PA      | $1328001.48    | 0.22%             | 2053-02-20      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-173, Class ES                                                     | CUSIP: 38384GDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16512347 | PA      | $1109362.22    | 0.18%             | 2053-11-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-35, Class SH                                                      | CUSIP: 38383VL97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12787925 | PA      | $1107945.79    | 0.18%             | 2053-02-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $886272.24     | 0.15%             | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class HI                                                     | CUSIP: 38376RF84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5760632 | PA      | $365333.51     | 0.06%             | 2066-09-20      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class CI                                                     | CUSIP: 38376RF35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1511712 | PA      | $29552.45      | 0.00%             | 2066-10-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                     | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2727000 | PA      | $2792714.16    | 0.46%             | 2042-01-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13000000 | PA      | $12910117.09   | 2.14%             | 2055-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-162, Class UI                                                     | CUSIP: 38382KPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13102022 | PA      | $1805902.79    | 0.30%             | 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        |     883143 | PA      | $843942.65     | 0.14%             | 2046-03-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    3724000 | PA      | $333206.31     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2016-C03, Class 2B                       | CUSIP: 30711XCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     812229 | PA      | $887687.87     | 0.15%             | 2028-10-25      | Floating      | 17.19%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-32, Class IM                                                      | CUSIP: 38382DQA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10162421 | PA      | $2050133.26    | 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      | $618251.30     | 0.10%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-3, Class M2                  | CUSIP: 35563PCF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5238 | PA      | $5127.02       | 0.00%             | 2056-07-25      | Variable      | 4.75%                 | 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        |     294041 | PA      | $291094.84     | 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        |     854152 | PA      | $867666.46     | 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      | $1615431.39    | 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        |   20835229 | PA      | $1406225.88    | 0.23%             | 2054-01-20      | Floating      | 2.07%                 | 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      | $108544.44     | 0.02%             | 2046-07-15      | Variable      | 3.98%                 | 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      | $307416.41     | 0.05%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1000000 | PA      | $-886506.62    | -0.15%            | 2055-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H05, Class BI                                                     | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     846655 | PA      | $39322.03      | 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      | $994827.50     | 0.16%             | 2047-02-15      | Variable      | 4.50%                 | 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        |    4164162 | PA      | $4184168.90    | 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        |    3061629 | PA      | $508060.82     | 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      | $1133932.00    | 0.19%             | 2049-09-25      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class BI                                                     | CUSIP: 38376RV78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     396108 | PA      | $12527.75      | 0.00%             | 2067-02-20      | Variable      | 2.41%                 | 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      | $572046.00     | 0.09%             | 2047-05-10      | Variable      | 4.84%                 | 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      | $3401602.22    | 0.56%             | 2042-08-25      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H26, Class EI                                                     | CUSIP: 38376RJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61494 | PA      | $1987.44       | 0.00%             | 2065-10-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1293000 | PA      | $7780.05       | 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      | $1180756.73    | 0.20%             | 2050-07-15      | Variable      | 4.12%                 | 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      | $555113.25     | 0.09%             | 2048-11-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5349, Class IB                                                        | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345144 | PA      | $76008.15      | 0.01%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2021-R02, Class 2M2                      | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    3100000 | PA      | $3119284.48    | 0.52%             | 2041-11-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H07, Class EI                                                     | CUSIP: 38380LSF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14092922 | PA      | $619849.01     | 0.10%             | 2069-03-20      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-149, Class SE                                                     | CUSIP: 38384DEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24466341 | PA      | $1123724.37    | 0.19%             | 2063-09-20      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-182, Class SP                                                     | CUSIP: 38378PFQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     525611 | PA      | $67031.78      | 0.01%             | 2043-12-20      | Floating      | 2.26%                 | 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        |      19326 | PA      | $16927.85      | 0.00%             | 2036-06-25      | Variable      | 4.06%                 | 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      | $730457.24     | 0.12%             | 2050-03-10      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3771115.68    | 0.63%             | 2055-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    4663000 | PA      | $-384303.86    | -0.06%            |  |  |  | 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        |      27015 | PA      | $23271.81      | 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        |     518000 | PA      | $468795.02     | 0.08%             | 2048-04-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -76355600 | PA      | $-704062.52    | -0.12%            |  |  |  | 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        |      22394 | PA      | $19738.97      | 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      | $238368.69     | 0.04%             | 2050-09-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H09, Class BI                                                     | CUSIP: 38376RTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2235066 | PA      | $92504.92      | 0.02%             | 2066-04-20      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-14, Class CI                                                      | CUSIP: 3136BFDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5543217 | PA      | $1215471.18    | 0.20%             | 2049-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Notes                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -2108 | NC      | $-464165.10    | -0.08%            |  |  |  | No            |                  1 | 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      | $413937.22     | 0.07%             | 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      | $924802.70     | 0.15%             | 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      | $687937.86     | 0.11%             | 2049-07-15      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-132                                                               | CUSIP: 38379EW99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     543832 | PA      | $119083.14     | 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      | $2166884.02    | 0.36%             | 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        |    1732458 | PA      | $70777.68      | 0.01%             | 2067-02-20      | Variable      | 2.51%                 | 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        |     269000 | PA      | $247587.87     | 0.04%             | 2046-05-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class WS                                                      | CUSIP: 38384JKZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40410812 | PA      | $2398220.07    | 0.40%             | 2054-02-20      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-146, Class QI                                                     | CUSIP: 38382WZF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14244243 | PA      | $2217347.14    | 0.37%             | 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        |    2627201 | PA      | $141020.28     | 0.02%             | 2065-07-20      | Variable      | 2.96%                 | 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      | $2179479.39    | 0.36%             | 2047-12-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -310533900 | PA      | $-2080314.28   | -0.34%            |  |  |  | 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      | $591306.76     | 0.10%             | 2045-09-10      | Variable      | 5.12%                 | 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        |     688336 | PA      | $679483.90     | 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      | $598225.65     | 0.10%             | 2052-11-15      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14000000 | PA      | $13553267.56   | 2.25%             | 2055-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-29, Class TI                                                      | CUSIP: 38382NT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20266629 | PA      | $3299567.24    | 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      | $3606572.03    | 0.60%             | 2030-04-25      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3773146.92    | 0.63%             | 2055-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-98, Class SK                                                      | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9117963 | PA      | $1205796.78    | 0.20%             | 2051-06-20      | Floating      | 1.86%                 | 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      | $532432.31     | 0.09%             | 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        |     247982 | PA      | $256516.96     | 0.04%             | 2028-05-25      | Floating      | 14.94%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2016-C01, Class 1B                       | CUSIP: 30711XBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      26356 | PA      | $28151.38      | 0.00%             | 2028-08-25      | Floating      | 16.19%                | 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      | $521088.77     | 0.09%             | 2049-06-15      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14000000 | PA      | $13542330.06   | 2.24%             | 2055-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H04, Class AI                                                     | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1198417 | PA      | $34761.87      | 0.01%             | 2064-12-20      | Variable      | 1.61%                 | 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        |     489094 | PA      | $492737.08     | 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        |    2588287 | PA      | $470638.36     | 0.08%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  -76355600 | PA      | $-774.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H09, Class IG                                                     | CUSIP: 38382YRQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13545664 | PA      | $627787.36     | 0.10%             | 2072-04-20      | Variable      | 2.55%                 | 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        |    1160741 | PA      | $1114198.11    | 0.18%             | 2047-06-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H042661<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30000000 | PA      | $28308357.60   | 4.69%             | 2055-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-160, Class IB                                                     | CUSIP: 38383YSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16992819 | PA      | $3570351.00    | 0.59%             | 2050-02-20      | Fixed         | 4.50%                 | 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      | $878148.80     | 0.15%             | 2050-01-25      | Floating      | 9.54%                 | 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      | $454034.40     | 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        |   13086788 | PA      | $2009955.24    | 0.33%             | 2051-12-25      | Fixed         | 3.00%                 | 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        |     718157 | PA      | $681441.69     | 0.11%             | 2047-05-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC, Multi-family Structured Pass-Through Certificates, Series 2021-MN1, Class M2 | CUSIP: 35563FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1350000 | PA      | $1378425.06    | 0.23%             | 2051-01-25      | Floating      | 8.07%                 | 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        |     194564 | PA      | $165521.56     | 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        |   10470695 | PA      | $402064.21     | 0.07%             | 2066-12-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-214, Class DI                                                     | CUSIP: 38383FHC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8163009 | PA      | $1421950.54    | 0.24%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F022667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $20365894.25   | 3.38%             | 2055-06-25      | Fixed         | 2.50%                 | 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        |    1838877 | PA      | $1593617.55    | 0.26%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-197, Class BI                                                     | CUSIP: 38383DPT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16937627 | PA      | $2140297.81    | 0.35%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F052664<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -48000000 | PA      | $-47523251.52  | -7.88%            | 2055-06-25      | Fixed         | 5.50%                 | 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      | $1112304.03    | 0.18%             | 2048-08-15      | Variable      | 4.30%                 | 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      | $299292.31     | 0.05%             | 2052-09-15      | 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      | $587791.55     | 0.10%             | 2051-06-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  116000000 | PA      | $117150454.36  | 19.42%            | 2055-06-25      | Fixed         | 6.00%                 | 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      | $34236.53      | 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      | $1792936.35    | 0.30%             | 2045-07-15      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-120, Class SH                                                     | CUSIP: 38383TB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38847062 | PA      | $3354544.80    | 0.56%             | 2052-07-20      | Floating      | 1.72%                 | 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        |    3821439 | PA      | $3828130.83    | 0.63%             | 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      | $593861.48     | 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        |    2053065 | PA      | $89805.16      | 0.01%             | 2066-09-20      | Variable      | 3.21%                 | 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      | $559358.32     | 0.09%             | 2048-05-15      | Variable      | 4.29%                 | 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      | $520995.00     | 0.09%             | 2046-07-10      | Variable      | 3.88%                 | 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        |      32294 | PA      | $31863.54      | 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        |     205462 | PA      | $6084.95       | 0.00%             | 2067-04-20      | Variable      | 1.90%                 | 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      | $432381.25     | 0.07%             | 2045-07-15      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SL                                                      | CUSIP: 38383HLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17340605 | PA      | $1312052.58    | 0.22%             | 2053-01-20      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   30052000 | PA      | $858767.70     | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   37243300 | PA      | $670652.93     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1567000 | PA      | $674437.57     | 0.11%             |  |  |  | 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      | $839272.05     | 0.14%             | 2048-02-10      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-191, Class HI                                                     | CUSIP: 38383CNQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2727950 | PA      | $446885.07     | 0.07%             | 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        |   14986529 | PA      | $2207851.46    | 0.37%             | 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      | $1819212.55    | 0.30%             | 2047-11-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2016-C07, Class 2B                       | CUSIP: 30711XEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     594045 | PA      | $644086.31     | 0.11%             | 2029-05-25      | Floating      | 13.94%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-51, Class HS                                                      | CUSIP: 38384KTQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45314077 | PA      | $2663715.54    | 0.44%             | 2054-03-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  310533900 | PA      | $618241.06     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -46276100 | PA      | $-109232.51    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3404214.48    | 0.56%             | 2055-06-25      | Fixed         | 3.00%                 | 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      | $890062.39     | 0.15%             | 2057-11-15      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $2968.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-78, Class QF                                                      | CUSIP: 38384NV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3826427 | PA      | $3834822.33    | 0.64%             | 2054-05-20      | Floating      | 5.43%                 | 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      | $1055560.87    | 0.17%             | 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        |     838860 | PA      | $843620.03     | 0.14%             | 2069-07-25      | Fixed         | 5.92%                 | 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      | $511895.78     | 0.08%             | 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        |   14973544 | PA      | $1606849.96    | 0.27%             | 2049-12-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-126, Class LS                                                     | CUSIP: 38384UYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29434490 | PA      | $2473774.63    | 0.41%             | 2054-08-20      | Floating      | 2.32%                 | 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      | $240894.00     | 0.04%             | 2047-08-10      | Variable      | 4.65%                 | 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      | $1287694.29    | 0.21%             | 2044-02-10      | Variable      | 4.87%                 | 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      | $2937720.02    | 0.49%             | 2042-03-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2016-C04, Class 1B                       | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     570442 | PA      | $620019.65     | 0.10%             | 2029-01-25      | Floating      | 14.69%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-75, Class LI                                                      | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20176 | PA      | $2998.69       | 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        |    4164493 | PA      | $421927.67     | 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        |    2580000 | PA      | $2491148.41    | 0.41%             | 2049-08-15      | Variable      | 3.69%                 | 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        |     506156 | PA      | $502451.08     | 0.08%             | 2056-02-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     326000 | PA      | $8912.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-103, Class SK                                                     | CUSIP: 38384CCX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45936750 | PA      | $2993371.88    | 0.50%             | 2053-07-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   21206000 | PA      | $-1597953.05   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-152, Class SL                                                     | CUSIP: 38384DXW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25187355 | PA      | $1947151.31    | 0.32%             | 2053-10-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5391, Class FC                                                        | CUSIP: 3137HBUJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     592211 | PA      | $594716.74     | 0.10%             | 2054-03-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  172000000 | PA      | $170291651.28  | 28.23%            | 2055-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                                 | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   14500000 | PA      | $14294083.47   | 2.37%             | 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      | $896463.29     | 0.15%             | 2049-03-25      | Floating      | 14.94%                | 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      | $356432.13     | 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        |    4199513 | PA      | $222259.23     | 0.04%             | 2072-01-20      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     223000 | PA      | $30655.03      | 0.01%             |  |  |  | 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        |    1389788 | PA      | $1324022.81    | 0.22%             | 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      | $33465.79      | 0.01%             |  |  |  | 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        |     136116 | PA      | $119318.62     | 0.02%             | 2036-08-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC, Multi-family Structured Pass-Through Certificates, Series 2021-MN1, Class M1 | CUSIP: 35563FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     630974 | PA      | $628475.22     | 0.10%             | 2051-01-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-56, Class QI                                                      | CUSIP: 3136BGJ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2961390 | PA      | $758120.70     | 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        |   12259363 | PA      | $1047737.88    | 0.17%             | 2062-02-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2022-43, Class SB                                                      | CUSIP: 3136BNSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13675202 | PA      | $870034.12     | 0.14%             | 2052-07-25      | Floating      | 1.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H15, Class IH                                                     | CUSIP: 38380LC27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8464060 | PA      | $333644.77     | 0.06%             | 2069-09-20      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-57, Class SD                                                      | CUSIP: 38382QAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8598217 | PA      | $1142560.34    | 0.19%             | 2051-03-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-156, Class SK                                                     | CUSIP: 38378A3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23377 | PA      | $3112.12       | 0.00%             | 2038-04-20      | Floating      | 2.16%                 | 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      | $4661687.55    | 0.77%             | 2048-01-25      | Floating      | 12.79%                | 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      | $956333.29     | 0.16%             | 2050-06-15      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2015-69                                                                | CUSIP: 3136AP4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164791 | PA      | $34681.82      | 0.01%             | 2045-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F040677<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1000000 | PA      | $-916029.89    | -0.15%            | 2055-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-139                                                               | CUSIP: 38383M3L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9616520 | PA      | $1898222.17    | 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        |    8314596 | PA      | $2013325.38    | 0.33%             | 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      | $-133007.64    | -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        |    1448000 | PA      | $1453452.88    | 0.24%             | 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        |      78284 | PA      | $3751.04       | 0.00%             | 2065-06-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13000000 | PA      | $13127995.27   | 2.18%             | 2055-06-15      | Fixed         | 6.00%                 | 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      | $1440789.88    | 0.24%             | 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        |     989701 | PA      | $277825.86     | 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        |      47094 | PA      | $1189.56       | 0.00%             | 2065-08-20      | Variable      | 1.82%                 | 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        |     823149 | PA      | $814379.79     | 0.13%             | 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        |   17822337 | PA      | $931144.02     | 0.15%             | 2053-12-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-96, Class SQ                                                      | CUSIP: 38382UZC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1798101 | PA      | $255438.47     | 0.04%             | 2051-06-20      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-54, Class FC                                                      | CUSIP: 3136BSSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     558454 | PA      | $559989.17     | 0.09%             | 2054-08-25      | Floating      | 5.29%                 | 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        |     222710 | PA      | $185383.41     | 0.03%             | 2035-10-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4915, Class SD                                                        | CUSIP: 3137FNKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1473932 | PA      | $157015.44     | 0.03%             | 2049-09-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H04, Class AI                                                     | CUSIP: 38380LY98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5981003 | PA      | $293529.69     | 0.05%             | 2070-02-20      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-47, Class SA                                                      | CUSIP: 38382EFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3010648 | PA      | $315811.29     | 0.05%             | 2044-05-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2024-BNK48, Class XA                                                   | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9482544 | PA      | $789252.02     | 0.13%             | 2057-10-15      | Variable      | 1.15%                 | 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      | $1207951.80    | 0.20%             | 2047-02-10      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class CI                                                     | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     654258 | PA      | $30580.00      | 0.01%             | 2065-08-20      | Variable      | 2.97%                 | 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      | $1636570.18    | 0.27%             | 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      | $215265.00     | 0.04%             | 2046-07-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  116000000 | PA      | $116996391.28  | 19.39%            | 2055-07-25      | Fixed         | 6.00%                 | 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        |     704674 | PA      | $621751.18     | 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        |    2989587 | PA      | $2991818.74    | 0.50%             | 2054-08-25      | Floating      | 5.92%                 | 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        |     857186 | PA      | $856168.05     | 0.14%             | 2054-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2020-BN26, Class XA                                                    | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14049828 | PA      | $599684.60     | 0.10%             | 2063-03-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $-464.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Re Ltd., Series 2022-1, Class B1                  | Home Re Ltd., Series 2022-1, Class B1                                               | CUSIP: 43730GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     900000 | PA      | $1004310.45    | 0.17%             | 2034-10-25      | Floating      | 13.32%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-99, Class IB                                                      | CUSIP: 3136BDFP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7716061 | PA      | $1424119.51    | 0.24%             | 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        |    2852611 | PA      | $2772131.52    | 0.46%             | 2047-08-15      | Variable      | 4.21%                 | 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      | $1041400.46    | 0.17%             | 2046-10-15      | Variable      | 4.70%                 | 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      | $2201502.58    | 0.36%             | 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        |    1074626 | PA      | $1071054.55    | 0.18%             | 2067-06-25      | Fixed         | 5.04%                 | 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      | $755383.67     | 0.13%             | 2044-06-15      | Variable      | 4.98%                 | 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        |     345060 | PA      | $334621.72     | 0.06%             | 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      | $2454962.39    | 0.41%             | 2047-09-15      | Variable      | 4.05%                 | 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      | $485880.06     | 0.08%             | 2049-11-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2019-58, Class SA                                                      | CUSIP: 3136B6HD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8610392 | PA      | $985690.96     | 0.16%             | 2049-10-25      | Floating      | 1.61%                 | 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      | $867431.76     | 0.14%             | 2047-09-25      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class GS                                                       | CUSIP: 38384HYW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19041422 | PA      | $1211975.08    | 0.20%             | 2054-01-20      | Floating      | 1.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  105233400 | PA      | $-6184614.04   | -1.03%            |  |  |  | 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        |    2499771 | PA      | $2544956.67    | 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      | $712300.14     | 0.12%             | 2048-10-10      | Variable      | 3.51%                 | 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      | $2155645.57    | 0.36%             | 2047-09-10      | Variable      | 4.41%                 | 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      | $1077461.82    | 0.18%             | 2052-11-15      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class NI                                                      | CUSIP: 38382VKU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11541694 | PA      | $1398530.16    | 0.23%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F042665<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4000000 | PA      | $-3773146.92   | -0.63%            | 2055-06-25      | Fixed         | 4.50%                 | 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        |    1730000 | PA      | $1734556.47    | 0.29%             | 2055-04-25      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-167, Class SC                                                     | CUSIP: 38382LAV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13361884 | PA      | $1756121.69    | 0.29%             | 2050-11-20      | Floating      | 1.86%                 | 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      | $933551.48     | 0.15%             | 2030-12-28      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| PFP Ltd.                                               | PFP Ltd., Series 2022-9, Class AS                                                   | CUSIP: 69291QAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     768000 | PA      | $769920.00     | 0.13%             | 2035-08-19      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class D                      | CUSIP: 17321RAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1793694 | PA      | $1754265.02    | 0.29%             | 2046-11-10      | Variable      | 5.08%                 | 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        |    1835390 | PA      | $1860095.74    | 0.31%             | 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      | $327273.00     | 0.05%             | 2047-09-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-17, Class IA                                                      | CUSIP: 38379T5K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120598 | PA      | $23007.88      | 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      | $412380.70     | 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        |    2962588 | PA      | $2849408.08    | 0.47%             | 2048-02-10      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class C                 | CUSIP: 46590TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     566000 | PA      | $375187.53     | 0.06%             | 2050-03-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Putnam Funds Trust                                     | Putnam Short Term Investment Fund, Class P                                          | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |   85540476 | NS      | $85540476.00   | 14.18%            |  |  |  | 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      | $726170.73     | 0.12%             | 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        |     126912 | PA      | $6198.65       | 0.00%             | 2067-05-20      | Variable      | 1.76%                 | 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      | $1216367.46    | 0.20%             | 2046-08-15      | Variable      | 4.14%                 | 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        |     204704 | PA      | $192242.97     | 0.03%             | 2046-11-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class CI                                                     | CUSIP: 38376RAF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49527 | PA      | $1199.19       | 0.00%             | 2065-04-20      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     221000 | PA      | $12335.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-63, Class SB                                                      | CUSIP: 38383RBN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3737504 | PA      | $299922.34     | 0.05%             | 2046-11-20      | Floating      | 1.27%                 | 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        |     245516 | PA      | $258328.22     | 0.04%             | 2028-07-25      | Floating      | 14.44%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class EI                                                     | CUSIP: 38376RJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42045 | PA      | $1156.65       | 0.00%             | 2065-10-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4976, Class MI                                                        | CUSIP: 3137FTBB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2300751 | PA      | $539180.63     | 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      | $2245601.79    | 0.37%             |  |  |  | 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        |     308887 | PA      | $284117.92     | 0.05%             | 2037-02-26      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-17, Class GI                                                      | CUSIP: 3136BF3U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1777855 | PA      | $362815.73     | 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        |     914111 | PA      | $64972.29      | 0.01%             | 2065-07-20      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| PFP 2023-10 Ltd.                                       | PFP Ltd., Series 2023-10, Class AS                                                  | CUSIP: 69380CAC2<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | BM        |     593000 | PA      | $594891.62     | 0.10%             | 2038-09-16      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   46276100 | PA      | $431382.89     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-45, Class SP                                                      | CUSIP: 38383MD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32440833 | PA      | $2363905.14    | 0.39%             | 2050-05-20      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  885836000 | PA      | $-632212.76    | -0.10%            |  |  |  | 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      | $1214857.82    | 0.20%             | 2051-01-25      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-35, Class ES                                                      | CUSIP: 38383VK64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14643497 | PA      | $1062132.40    | 0.18%             | 2053-02-20      | Floating      | 1.87%                 | 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      | $1625978.97    | 0.27%             | 2042-06-25      | Floating      | 11.07%                | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  310533900 | PA      | $1432763.37    | 0.24%             |  |  |  | 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        |    1152257 | PA      | $309569.68     | 0.05%             | 2037-03-25      | Fixed         | 6.48%                 | 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        |      -1281 | NC      | $-272669.88    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     424000 | PA      | $58285.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-98, Class OI                                                      | CUSIP: 3136BDTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8653992 | PA      | $2302328.68    | 0.38%             | 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      | $83838.10      | 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      | $618287.23     | 0.10%             | 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        |    2104353 | PA      | $549465.73     | 0.09%             | 2051-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2022-R09, Class 2M2                     | CUSIP: 20753DAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1073213.30    | 0.18%             | 2042-09-25      | Floating      | 9.07%                 | 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        |    2222000 | PA      | $2073669.95    | 0.34%             | 2047-06-10      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2022-R06, Class 1B2                     | CUSIP: 20754NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $573936.70     | 0.10%             | 2042-05-25      | Floating      | 14.92%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class NI                                                     | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175444 | PA      | $5647.48       | 0.00%             | 2067-03-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H09, Class GI                                                     | CUSIP: 38382YRN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17947098 | PA      | $914709.75     | 0.15%             | 2072-04-20      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    3396000 | PA      | $153805.91     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-105, Class FC                                                     | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2494207 | PA      | $2493303.07    | 0.41%             | 2055-01-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2016-3, Class NI                                                       | CUSIP: 3136ARFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32068 | PA      | $4838.60       | 0.00%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $916303.33     | 0.15%             | 2055-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class ES                                                       | CUSIP: 38384HW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28854512 | PA      | $2286356.52    | 0.38%             | 2054-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     200000 | PA      | $5483.95       | 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        |   17243836 | PA      | $868285.77     | 0.14%             | 2052-08-15      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4839, Class WS                                                        | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6183961 | PA      | $851492.45     | 0.14%             | 2056-08-15      | Floating      | 1.65%                 | 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        |   25136153 | PA      | $1490123.93    | 0.25%             | 2057-09-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2023-R03, Class 2B1                     | CUSIP: 20753ACF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $952816.00     | 0.16%             | 2043-04-25      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  254682000 | PA      | $277747.63     | 0.05%             |  |  |  | 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      | $1048824.19    | 0.17%             | 2047-09-10      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H02, Class DI                                                     | CUSIP: 38380LQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11344400 | PA      | $489072.98     | 0.08%             | 2068-11-20      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H04, Class KI                                                     | CUSIP: 38376RQP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6654891 | PA      | $153893.70     | 0.03%             | 2066-02-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| HTAP                                                   | HTAP Trust, Series 2024-1, Class A                                                  | CUSIP: 40445NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1443719 | PA      | $1442590.12    | 0.24%             | 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        |     293414 | PA      | $163775.07     | 0.03%             | 2037-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  -76355600 | PA      | $-302423.00    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-96, Class SY                                                      | CUSIP: 38381XK39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13691753 | PA      | $1689649.98    | 0.28%             | 2049-08-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-214, Class AI                                                     | CUSIP: 38383FDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12278967 | PA      | $2501710.50    | 0.41%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-158, Class AS                                                     | CUSIP: 38382BDZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3146213 | PA      | $308787.24     | 0.05%             | 2043-09-16      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H15, Class AI                                                     | CUSIP: 38376RWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3350993 | PA      | $163509.36     | 0.03%             | 2066-07-20      | Variable      | 3.20%                 | 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      | $1154953.30    | 0.19%             | 2047-04-10      | Variable      | 4.78%                 | 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        |    1040000 | PA      | $1010120.70    | 0.17%             | 2058-09-15      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-14, Class BS                                                      | CUSIP: 38383VHN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20828907 | PA      | $1569614.37    | 0.26%             | 2053-01-20      | Floating      | 1.92%                 | 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      | $215389.43     | 0.04%             | 2047-06-10      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities, Series 2016-C03, Class 1B                       | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     338350 | PA      | $366188.99     | 0.06%             | 2028-10-25      | Floating      | 16.19%                | 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      | $324052.70     | 0.05%             | 2050-04-14      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1069000 | PA      | $-146225.24    | -0.02%            |  |  |  | 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        |    3455033 | PA      | $1758689.77    | 0.29%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $886506.62     | 0.15%             | 2055-06-25      | Fixed         | 3.50%                 | 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        |     223518 | PA      | $27062.51      | 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        |   12748118 | PA      | $2205008.78    | 0.37%             | 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        |   23449896 | PA      | $1467133.34    | 0.24%             | 2054-04-15      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-64, Class QS                                                      | CUSIP: 38384MPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52782727 | PA      | $3875138.89    | 0.64%             | 2054-04-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2024-NPL9, Class A1                                                | CUSIP: 74143TAA7<br>LEI: 25490072TKR6YZ7BOH19 | Long             | ABS-MBS          | CORP              | US        |    4161510 | PA      | $4160337.49    | 0.69%             | 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        |   16219359 | PA      | $1738588.79    | 0.29%             | 2040-02-20      | Floating      | 1.81%                 | 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      | $3562440.75    | 0.59%             | 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        |   54437223 | PA      | $4909061.67    | 0.81%             | 2053-12-25      | Floating      | 2.58%                 | 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      | $679826.46     | 0.11%             | 2046-08-15      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-79, Class GI                                                      | CUSIP: 38379LX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37544 | PA      | $8388.85       | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | 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      | $475978.70     | 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      | $776748.36     | 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      | $457707.04     | 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      | $2944786.52    | 0.49%             | 2042-03-25      | Floating      | 15.32%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-59, Class IK                                                      | CUSIP: 38382RRX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5884173 | PA      | $1160253.53    | 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        |    8641845 | PA      | $1316245.44    | 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      | $583447.40     | 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      | $376230.70     | 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      | $382020.63     | 0.06%             | 2047-09-15      | Variable      | 4.51%                 | 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      | $384408.94     | 0.06%             | 2049-12-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $2869.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-50                                                                | CUSIP: 3136BAZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5595517 | PA      | $1478623.68    | 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        |     533539 | PA      | $474564.92     | 0.08%             | 2035-09-25      | Floating      | 6.00%                 | 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      | $702394.80     | 0.12%             | 2047-11-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-114, Class SK                                                     | CUSIP: 38384EAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42254618 | PA      | $2676504.70    | 0.44%             | 2053-08-20      | Floating      | 1.52%                 | 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      | $850283.86     | 0.14%             | 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        |   17947888 | PA      | $2873555.65    | 0.48%             | 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      | $1006642.69    | 0.17%             | 2051-04-10      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -76355600 | PA      | $-12029.15     | -0.00%            |  |  |  | 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      | $401770.26     | 0.07%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H26, Class DI                                                     | CUSIP: 38376RJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35813 | PA      | $1640.83       | 0.00%             | 2065-10-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-121, Class SD                                                     | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2985272 | PA      | $320517.64     | 0.05%             | 2049-10-20      | Floating      | 1.56%                 | 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      | $2057442.82    | 0.34%             | 2042-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class MI                                                     | CUSIP: 38376RX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     541380 | PA      | $22624.80      | 0.00%             | 2067-02-20      | Variable      | 2.28%                 | 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      | $509280.62     | 0.08%             | 2051-01-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class C         | CUSIP: 61761DAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     694593 | PA      | $635386.13     | 0.11%             | 2045-11-15      | Variable      | 4.54%                 | 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        |    1357325 | PA      | $795688.54     | 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        |    4031781 | PA      | $4003516.76    | 0.66%             | 2055-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-34, Class HI                                                      | CUSIP: 38378JL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75526 | PA      | $12854.16      | 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      | $6362.86       | 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      | $133242.50     | 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      | $182035.56     | 0.03%             | 2046-04-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-3, Class IB                                                       | CUSIP: 3136BDYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9989761 | PA      | $1713106.11    | 0.28%             | 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        |    3135410 | PA      | $3115104.06    | 0.52%             | 2054-07-25      | Floating      | 5.67%                 | 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      | $282055.79     | 0.05%             | 2050-02-10      | Variable      | 4.53%                 | 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        |     397000 | PA      | $379668.37     | 0.06%             | 2043-08-10      | Variable      | 6.36%                 | 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      | $2008967.60    | 0.33%             | 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        |    3563833 | PA      | $3531668.32    | 0.59%             | 2054-11-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class CI                                                     | CUSIP: 38376RJH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32578 | PA      | $1253.98       | 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        |   10809771 | PA      | $1923926.19    | 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        |     243482 | PA      | $56015.69      | 0.01%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  152711200 | PA      | $672458.44     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      47000 | PA      | $22727.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC, Multi-family Structured Pass-Through Certificates, Series 2021-MN3, Class M2 | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2059000 | PA      | $2129619.17    | 0.35%             | 2051-11-25      | Floating      | 8.32%                 | 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      | $540980.80     | 0.09%             | 2049-01-25      | Floating      | 15.19%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-104, Class GI                                                     | CUSIP: 38380FYN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5508010 | PA      | $1115300.45    | 0.18%             | 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      | $969412.28     | 0.16%             | 2050-06-25      | Floating      | 13.79%                | 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        |     158260 | PA      | $140139.59     | 0.02%             | 2046-08-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H050664<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $970307.57     | 0.16%             | 2055-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H23, Class BI                                                     | CUSIP: 38376RHE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30468 | PA      | $631.68        | 0.00%             | 2065-09-20      | Variable      | 1.76%                 | 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      | $770477.87     | 0.13%             | 2051-07-15      | Variable      | 4.85%                 | 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      | $622708.67     | 0.10%             | 2050-02-10      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1349000 | PA      | $-68143.25     | -0.01%            |  |  |  | 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        |    1723114 | PA      | $1703730.40    | 0.28%             | 2055-03-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2023-R08, Class 1B1                     | CUSIP: 20755CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1581944.70    | 0.26%             | 2043-10-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M                   | CUSIP: 35563PES4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10343 | PA      | $10084.37      | 0.00%             | 2057-05-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H11, Class KI                                                     | CUSIP: 38375UXD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38466437 | PA      | $1296922.84    | 0.21%             | 2066-05-20      | Variable      | 2.23%                 | 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      | $1097015.83    | 0.18%             | 2047-02-10      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

**Name of Applicant:** Putnam Funds Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer