# EDGAR Filing Document

**Accession Number:** 0000732337
**File Stem:** 0002071691-25-006477
**Filing Date:** 2025-11
**Character Count:** 198761
**Document Hash:** 70e689c5f9b3ccee392edbd0361b7d4a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-006477.hdr.sgml**: 20251124

**ACCESSION NUMBER**: 0002071691-25-006477

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251124

**DATE AS OF CHANGE**: 20251124

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM MORTGAGE SECURITIES FUND
- **CENTRAL INDEX KEY:** 0000732337

**ORGANIZATION NAME:**
- **EIN:** 042811119
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03897
- **FILM NUMBER:** 251511849

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6172921000

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM U S GOVERNMENT INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM U S GOVERNMENT GUARANTEED SECURITIES INCOME TRUST
- **DATE OF NAME CHANGE:** 19910102

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM UNITED STATES GOVERNMENT SECURITIES INCOME FUND
- **DATE OF NAME CHANGE:** 19840806

## Series and Classes Contracts Data

### PUTNAM MORTGAGE SECURITIES FUND (Series ID: S000006570)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000017922 | Class A Shares  | PGSIX           |
| C000017924 | Class C Shares  | PGVCX           |
| C000017926 | Class R Shares  | PGVRX           |
| C000017927 | Class Y Shares  | PUSYX           |
| C000200295 | 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 Mortgage Securities Fund

- **b. Investment Company Act file number:** 811-03897

- **c. CIK number of Registrant:** 0000732337

- **d. LEI of Registrant:** V36NQTUWG8SKLKSHZZ27

- **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 Morgtage Securities Fund

- **b. EDGAR series identifier (if any):** S000006570

- **c. LEI of Series:** V36NQTUWG8SKLKSHZZ27

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

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2025-09-30

**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:** $999157779.08

**Total Liabilities:** $589674291.74

**Net Assets:** $409483487.34

**Delayed Delivery Securities:** $572628822.97

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -319.55000000 | **1-Year:** -1970.77000000 | **5-Year:** -1281.72000000 | **10-Year:** -4180.33000000 | **30-Year:** -13722.35000000

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

- **3-Month:** -398.81000000 | **1-Year:** 113768.84000000 | **5-Year:** -120238.53000000 | **10-Year:** 195270.57000000 | **30-Year:** -69672.66000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000200295 | -0.23%               | 2.16%                | 0.59%                |
| Class ID C000017926 | -0.29%               | 2.10%                | 0.54%                |
| Class ID C000017922 | -0.39%               | 2.08%                | 0.55%                |
| Class ID C000017924 | -0.33%               | 2.05%                | 0.49%                |
| Class ID C000017927 | -0.24%               | 2.01%                | 0.58%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3133368.07              | $-11779204.15                              |
| Month 2  | $5814748.78              | $6394145.11                                |
| Month 3  | $8101543.26              | $-7121147.10                               |

**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        |   11395215 | PA      | $512078.17    | 0.13%             | 2057-09-15      | Variable      | 1.57%                 | 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        |    2536000 | PA      | $1432840.00   | 0.35%             | 2046-11-10      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-188, Class IW                                                   | CUSIP: 38383CUQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7078219 | PA      | $1338409.17   | 0.33%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $22622324.16  | 5.52%             | 2055-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class D              | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1732000 | PA      | $1356042.55   | 0.33%             | 2046-08-15      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2728900 | PA      | $306749.07    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1462000 | PA      | $163221.39    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-96, Class KS                                                    | CUSIP: 38382GU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12094611 | PA      | $1608210.69   | 0.39%             | 2050-07-20      | Floating      | 1.90%                 | 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        |    1174000 | PA      | $1062956.27   | 0.26%             | 2059-01-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class C                          | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     763000 | PA      | $697396.34    | 0.17%             | 2057-06-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     130000 | PA      | $2703.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                         | Carrington Mortgage Loan Trust, Series 2006-NC2, Class A4                         | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1971954 | PA      | $1898659.50   | 0.46%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class C                    | CUSIP: 29425AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     503000 | PA      | $431322.50    | 0.11%             | 2058-09-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-175, Class JI                                                   | CUSIP: 38382LMM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9105625 | PA      | $1741228.66   | 0.43%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3369, Class BO                                                      | CUSIP: 31397KMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1030 | PA      | $881.24       | 0.00%             | 2037-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-SG1, Class B                   | CUSIP: 94989QBA7<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-MBS          | CORP              | US        |     627782 | PA      | $614666.99    | 0.15%             | 2048-09-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-25, Class IJ                                                    | CUSIP: 3136BHEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18277550 | PA      | $3533867.48   | 0.86%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-20, Class SB                                                    | CUSIP: 3136B07G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3720268 | PA      | $372857.55    | 0.09%             | 2048-03-25      | Floating      | 1.78%                 | 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        |    1000000 | PA      | $1203029.00   | 0.29%             | 2050-03-25      | Floating      | 12.07%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-7, Class MI                                                     | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10586412 | PA      | $1573572.68   | 0.38%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-20, Class IK                                                    | CUSIP: 3136B9JP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5239524 | PA      | $776398.45    | 0.19%             | 2050-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5529, Class EI                                                      | CUSIP: 3137HKUM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3436757 | PA      | $766098.14    | 0.19%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H19, Class JI                                                   | CUSIP: 38380LMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7170519 | PA      | $257500.51    | 0.06%             | 2068-10-20      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class GI                                                     | CUSIP: 38384HZX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3260992 | PA      | $801367.31    | 0.20%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Structured Pass-Through Certificates, Series T-59, Class 2A1               | CUSIP: 31394PPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4419 | PA      | $3735.29      | 0.00%             | 2043-10-25      | Variable      | 4.21%                 | 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        |     566893 | PA      | $568008.41    | 0.14%             | 2054-09-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    3640400 | PA      | $435402.34    | 0.11%             |  |  |  | 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        |    1206000 | PA      | $1112693.23   | 0.27%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-125, Class CI                                                   | CUSIP: 38383TWM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8208634 | PA      | $1638622.32   | 0.40%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-LC19, Class D                                    | CUSIP: 200474AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1240000 | PA      | $1120079.60   | 0.27%             | 2048-02-10      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2012-104, Class HI                                                   | CUSIP: 3136A8DU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231808 | PA      | $3700.86      | 0.00%             | 2027-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H10, Class MI                                                   | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5563037 | PA      | $165567.11    | 0.04%             | 2067-04-20      | Variable      | 1.86%                 | 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        |    1188758 | PA      | $1194142.17   | 0.29%             | 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        |    2474828 | PA      | $2304362.16   | 0.56%             | 2046-08-10      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-69, Class MI                                                    | CUSIP: 3136BJNN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6594859 | PA      | $746162.08    | 0.18%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-77, Class SM                                                    | CUSIP: 38382QX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11105417 | PA      | $1566018.15   | 0.38%             | 2051-05-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36292DKQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58 | PA      | $60.02        | 0.00%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-8, Class IP                                                     | CUSIP: 38382MUK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23637840 | PA      | $3505505.80   | 0.86%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-59, Class SM                                                    | CUSIP: 38382RPL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3591639 | PA      | $488874.87    | 0.12%             | 2051-04-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                               | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     200000 | PA      | $198615.87    | 0.05%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                     | Tricolor Auto Securitization Trust, Series 2025-1A, Class A                       | CUSIP: 89617CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     266833 | PA      | $196743.33    | 0.05%             | 2029-02-15      | Fixed         | 4.94%                 | 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        |    1232618 | PA      | $951592.81    | 0.23%             | 2046-10-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust   | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR8, Class 2AC2        | CUSIP: 92922FS41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     442957 | PA      | $423981.76    | 0.10%             | 2045-07-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4953, Class AI                                                      | CUSIP: 3137FQZQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3903104 | PA      | $793212.57    | 0.19%             | 2050-02-25      | Fixed         | 4.00%                 | 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        |    1425983 | PA      | $1354817.98   | 0.33%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BANK5 Trust                                            | BANK5 Trust, Series 2024-5YR10, Class XA                                          | CUSIP: 06604AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14889739 | PA      | $616856.57    | 0.15%             | 2057-10-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   21637500 | PA      | $7513.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4018, Class DI                                                      | CUSIP: 3137AMVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140431 | PA      | $2177.85      | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0224A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $8467236.63   | 2.07%             | 2040-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-89, Class LI                                                    | CUSIP: 38379P4V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2943132 | PA      | $533429.47    | 0.13%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1              | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     311000 | PA      | $318251.34    | 0.08%             | 2040-01-25      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C06, Class 1B               | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     502264 | PA      | $538687.72    | 0.13%             | 2029-04-25      | Floating      | 13.72%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-96                                                              | CUSIP: 3136BDLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7020695 | PA      | $1160673.26   | 0.28%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24                                                             | CUSIP: 38376RJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6831091 | PA      | $431315.10    | 0.11%             | 2066-09-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class C                  | CUSIP: 95000GBE3<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     790000 | PA      | $561116.14    | 0.14%             | 2049-08-15      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   11892700 | PA      | $500645.52    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-119, Class SA                                                   | CUSIP: 38379EAL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2478191 | PA      | $247473.68    | 0.06%             | 2044-08-20      | Floating      | 1.35%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-DC1, Class B                                     | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1285000 | PA      | $1225819.33   | 0.30%             | 2048-02-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20000000 | PA      | $19398283.40  | 4.74%             | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-182, Class TI                                                   | CUSIP: 38383CAC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4036967 | PA      | $771758.61    | 0.19%             | 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        |    8272931 | PA      | $379826.81    | 0.09%             | 2066-10-20      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-174, Class AI                                                   | CUSIP: 38379GV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     643737 | PA      | $16474.52     | 0.00%             | 2029-11-16      | Fixed         | 3.00%                 | 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        |     509000 | PA      | $512716.31    | 0.13%             | 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        |      41588 | PA      | $40677.81     | 0.01%             | 2047-08-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                   | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     572772 | PA      | $560872.05    | 0.14%             | 2061-09-25      | Fixed         | 3.90%                 | 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        |     338342 | PA      | $327642.12    | 0.08%             | 2047-12-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                     | J.P. Morgan Alternative Loan Trust, Series 2006-A6, Class 1A1                     | CUSIP: 466285AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     903037 | PA      | $772359.55    | 0.19%             | 2036-11-25      | Floating      | 4.59%                 | 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        |    1406000 | PA      | $1235871.19   | 0.30%             | 2045-03-15      | Variable      | 4.20%                 | 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        |    1848000 | PA      | $1211288.97   | 0.30%             | 2045-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $28990951.11  | 7.08%             | 2055-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -21637500 | PA      | $-113.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-66, Class PS                                                    | CUSIP: 38384ARL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2420657 | PA      | $2410870.04   | 0.59%             | 2053-05-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   11892700 | PA      | $555003.91    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18000000 | PA      | $14883445.98  | 3.63%             | 2055-10-15      | Fixed         | 2.00%                 | 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        |    1556000 | PA      | $817168.41    | 0.20%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SP                                                    | CUSIP: 38383VYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11688137 | PA      | $1030071.97   | 0.25%             | 2053-02-20      | Floating      | 2.61%                 | 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        |    2287000 | PA      | $123699.94    | 0.03%             | 2050-02-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1013000 | PA      | $68057.76     | 0.02%             |  |  |  | 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        |     175955 | PA      | $176629.83    | 0.04%             | 2038-11-16      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2015-58, Class KI                                                    | CUSIP: 3136APW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3124618 | PA      | $514510.57    | 0.13%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2018-C46, Class C                   | CUSIP: 95001QAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     868000 | PA      | $815303.46    | 0.20%             | 2051-08-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0204A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18000000 | PA      | $16547696.82  | 4.04%             | 2040-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1035000 | PA      | $-6210.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    3640400 | PA      | $396030.30    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2025-3, Class A                        | CUSIP: 85779TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1450000 | PA      | $1455898.60   | 0.36%             | 2026-09-23      | Floating      | 5.06%                 | 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        |     156448 | PA      | $148263.84    | 0.04%             | 2036-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5121, Class KI                                                      | CUSIP: 3137H0LW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6366445 | PA      | $1407946.96   | 0.34%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2025-NQM3, Class A1                                             | CUSIP: 58004LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     990397 | PA      | $994418.51    | 0.24%             | 2070-08-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2012-C9, Class E                          | CUSIP: 92930RAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     625950 | PA      | $624475.67    | 0.15%             | 2045-11-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-39, Class IJ                                                    | CUSIP: 38378JUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3682276 | PA      | $568449.21    | 0.14%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class D      | CUSIP: 61765LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     903000 | PA      | $889850.06    | 0.22%             | 2048-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   21637500 | PA      | $240.67       | 0.00%             |  |  |  | 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        |     701000 | PA      | $660035.31    | 0.16%             | 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        |   14463799 | PA      | $943146.69    | 0.23%             | 2054-01-20      | Floating      | 1.36%                 | 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        |    2266000 | PA      | $1663244.00   | 0.41%             | 2044-12-10      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5558, Class SG                                                      | CUSIP: 3137HM4N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20211195 | PA      | $1989355.57   | 0.49%             | 2055-07-25      | Floating      | 2.04%                 | 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        |     603000 | PA      | $564607.77    | 0.14%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H18, Class QI                                                   | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4881524 | PA      | $272140.07    | 0.07%             | 2066-06-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-11, Class S                                                     | CUSIP: 38384G3V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8488171 | PA      | $519832.54    | 0.13%             | 2054-01-20      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2018-BN11, Class D                                                   | CUSIP: 06540TAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     839000 | PA      | $649569.15    | 0.16%             | 2061-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     784000 | PA      | $-23912.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H23, Class TI                                                   | CUSIP: 38376RHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4197923 | PA      | $154718.64    | 0.04%             | 2065-09-20      | Variable      | 1.94%                 | 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        |    1584230 | PA      | $1592080.30   | 0.39%             | 2028-04-25      | Floating      | 13.82%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class SU                                                    | CUSIP: 38384JRW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19418392 | PA      | $1296767.97   | 0.32%             | 2054-02-20      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-8602.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0324A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1937918.08   | 0.47%             | 2040-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1013000 | PA      | $65243.55     | 0.02%             |  |  |  | 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        |     842000 | PA      | $817424.13    | 0.20%             | 2057-10-15      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-136                                                             | CUSIP: 38377X4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4407417 | PA      | $578916.46    | 0.14%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   26602700 | PA      | $438033.98    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-53, Class MI                                                    | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2562117 | PA      | $510209.18    | 0.12%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H03, Class KI                                                   | CUSIP: 38376RS31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7001866 | PA      | $566415.92    | 0.14%             | 2067-01-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class B2                               | CUSIP: 35564KWG0<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |     350000 | PA      | $388366.34    | 0.09%             | 2042-04-25      | Floating      | 14.11%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA REMIC Trust, Series 2003-W11, Class A1                                       | CUSIP: 31393C6U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        201 | PA      | $204.44       | 0.00%             | 2033-06-25      | Variable      | 7.42%                 | 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        |    1373000 | PA      | $1350428.70   | 0.33%             | 2048-11-15      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H05, Class BI                                                   | CUSIP: 38380L4Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2280103 | PA      | $111113.96    | 0.03%             | 2070-03-20      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-57, Class SC                                                    | CUSIP: 3136BQQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5208950 | PA      | $559391.70    | 0.14%             | 2049-10-25      | Floating      | 1.53%                 | 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        |    2035000 | PA      | $1733248.98   | 0.42%             | 2048-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-12331.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class B      | CUSIP: 61762MBZ3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    1084338 | PA      | $1028502.06   | 0.25%             | 2046-07-15      | Variable      | 4.08%                 | 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        |    1360000 | PA      | $1257320.00   | 0.31%             | 2047-05-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                                           | CUSIP: 36202K3W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        315 | PA      | $315.96       | 0.00%             | 2026-07-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-102, Class IG                                                   | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232641 | PA      | $4079.84      | 0.00%             | 2041-03-16      | Fixed         | 3.50%                 | 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        |    1695000 | PA      | $1056521.13   | 0.26%             | 2051-06-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3391                                                                | CUSIP: 31397P6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18813 | PA      | $16506.72     | 0.00%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      14000 | PA      | $1255.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   13884000 | PA      | $-182835.71   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust            | CWABS, Inc. Asset-Backed Certificates Trust, Series 2007-10, Class 1A1            | CUSIP: 23246BAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2707609 | PA      | $2589941.34   | 0.63%             | 2047-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class HI                                                   | CUSIP: 38376RAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5370854 | PA      | $291465.50    | 0.07%             | 2065-04-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class IG                                                     | CUSIP: 38384HZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5042095 | PA      | $979664.97    | 0.24%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class A4                  | CUSIP: 94989WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193126 | PA      | $192738.51    | 0.05%             | 2048-11-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2467800 | PA      | $300877.90    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset-Backed Securities Trust  | Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2007-2, Class A3    | CUSIP: 9497EYAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     361804 | PA      | $357638.11    | 0.09%             | 2037-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-80, Class SD                                                    | CUSIP: 38379XFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5345708 | PA      | $702143.29    | 0.17%             | 2046-06-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2018-HQA2, Class B2                                     | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |    2108000 | PA      | $2620195.09   | 0.64%             | 2048-10-25      | Floating      | 15.47%                | 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        |    1959000 | PA      | $1651926.75   | 0.40%             | 2047-05-10      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  213943700 | PA      | $132494.54    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H21, Class AI                                                   | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6940558 | PA      | $245279.33    | 0.06%             | 2064-10-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-32                                                              | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |   16779651 | PA      | $839660.46    | 0.21%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5071, Class IV                                                      | CUSIP: 3137F9RB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16405491 | PA      | $2699052.63   | 0.66%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MTG ASSN POOL NO:   670317                   | GNMA                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    8315874 | PA      | $577978.22    | 0.14%             | 2049-02-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     501000 | PA      | $8604.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4136, Class IQ                                                      | CUSIP: 3137AWHJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2587520 | PA      | $265198.24    | 0.06%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-56, Class AS                                                    | CUSIP: 38383XS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25875861 | PA      | $1958784.59   | 0.48%             | 2053-04-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      65000 | PA      | $-252.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1274000 | PA      | $-55009.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    4531000 | PA      | $-511813.76   | -0.12%            |  |  |  | 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        |    1587056 | PA      | $1284026.27   | 0.31%             | 2047-02-20      | Floating      | 4.43%                 | 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        |     838000 | PA      | $658041.60    | 0.16%             | 2057-06-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-112, Class MS                                                   | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4300108 | PA      | $633884.06    | 0.15%             | 2050-08-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4000000 | PA      | $4030394.12   | 0.98%             | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E       | CUSIP: 61761DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1677000 | PA      | $880475.31    | 0.22%             | 2045-11-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -213943700 | PA      | $-1077771.44  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2009-121, Class CI                                                   | CUSIP: 38375ASD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2586604 | PA      | $423083.05    | 0.10%             | 2039-12-16      | Fixed         | 4.50%                 | 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        |    1394354 | PA      | $1408861.25   | 0.34%             | 2069-02-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-24, Class SQ                                                    | CUSIP: 38383WDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6308744 | PA      | $476166.33    | 0.12%             | 2053-02-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-173, Class ES                                                   | CUSIP: 38384GDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8438087 | PA      | $599786.79    | 0.15%             | 2053-11-20      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2              | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3048000 | PA      | $3111359.69   | 0.76%             | 2042-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-110, Class SQ                                                   | CUSIP: 38381YWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4773113 | PA      | $563395.33    | 0.14%             | 2049-09-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-162, Class UI                                                   | CUSIP: 38382KPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7093380 | PA      | $1051151.02   | 0.26%             | 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        |     680440 | PA      | $650628.26    | 0.16%             | 2046-03-10      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2069000 | PA      | $-5862.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 2B               | CUSIP: 30711XCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     465220 | PA      | $492997.11    | 0.12%             | 2028-10-25      | Floating      | 17.22%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Multi-family Connecticut Avenue Securities Trust, Series 2019-01, Class M10  | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    2623243 | PA      | $2667973.07   | 0.65%             | 2049-10-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class JI                                                   | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2460007 | PA      | $145460.24    | 0.04%             | 2066-11-20      | Variable      | 2.42%                 | 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        |    1408000 | PA      | $1335304.40   | 0.33%             | 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        |    8784302 | PA      | $566490.86    | 0.14%             | 2054-01-20      | Floating      | 2.01%                 | 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        |    2316000 | PA      | $240431.14    | 0.06%             | 2046-07-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-9, Class A11                              | CUSIP: 46593DAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2310154 | PA      | $2316545.77   | 0.57%             | 2055-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-4, Class AF           | CUSIP: 61777BBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1299368 | PA      | $1298430.38   | 0.32%             | 2054-09-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class D                    | CUSIP: 29425AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $155000.00    | 0.04%             | 2058-09-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5003, Class DS                                                      | CUSIP: 3137FVJG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5984104 | PA      | $829057.50    | 0.20%             | 2050-08-25      | Floating      | 1.63%                 | 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        |    1450000 | PA      | $919477.77    | 0.22%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     216000 | PA      | $-97754.62    | -0.02%            |  |  |  | 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        |    1567377 | PA      | $1584933.02   | 0.39%             | 2064-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| PK Alift Loan Funding 7 LP                             | PK Alift Loan Funding 7 LP, Series 2025-2, Class A                                | CUSIP: 69291NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $250658.75    | 0.06%             | 2043-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class E                                 | CUSIP: 08162PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1840000 | PA      | $914802.55    | 0.22%             | 2051-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class D      | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     924000 | PA      | $899373.09    | 0.22%             | 2050-07-15      | Variable      | 4.30%                 | 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        |    1550000 | PA      | $870852.16    | 0.21%             | 2048-11-15      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5349, Class IB                                                      | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4314350 | PA      | $943195.52    | 0.23%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2021-R02, Class 2M2              | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     373050 | PA      | $377671.83    | 0.09%             | 2041-11-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-182, Class SP                                                   | CUSIP: 38378PFQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2222768 | PA      | $312770.31    | 0.08%             | 2043-12-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 406, Class F30                                                      | CUSIP: 3133Q3H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     611795 | PA      | $616156.72    | 0.15%             | 2053-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-176, Class GI                                                   | CUSIP: 38383CFG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6502354 | PA      | $994234.58    | 0.24%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M                 | CUSIP: 35563PJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         31 | PA      | $30.05        | 0.00%             | 2058-07-25      | Variable      | 4.75%                 | 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        |    1021000 | PA      | $151529.78    | 0.04%             | 2050-03-10      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1M2             | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1887000 | PA      | $1956989.21   | 0.48%             | 2040-02-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-87, Class SA                                                    | CUSIP: 38378TR36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5455388 | PA      | $634339.46    | 0.15%             | 2043-06-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Home RE Ltd.                                           | Home RE Ltd., Series 2021-2, Class B1                                             | CUSIP: 43730VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    1000000 | PA      | $1019296.40   | 0.25%             | 2034-01-25      | Floating      | 8.51%                 | 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        |    1616000 | PA      | $1431791.35   | 0.35%             | 2048-04-15      | Variable      | 4.11%                 | 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        |     859000 | PA      | $562547.85    | 0.14%             | 2050-09-15      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-14, Class CI                                                    | CUSIP: 3136BFDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3818104 | PA      | $865269.52    | 0.21%             | 2049-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                        | LSTAR Commercial Mortgage Trust, Series 2017-5, Class A5                          | CUSIP: 54910TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     796000 | PA      | $782215.99    | 0.19%             | 2050-03-10      | Fixed         | 3.55%                 | 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        |    2056000 | PA      | $1776907.46   | 0.43%             | 2048-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1792000 | PA      | $-223783.50   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H04, Class BI                                                   | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5302504 | PA      | $214737.11    | 0.05%             | 2067-02-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-182, Class BI                                                   | CUSIP: 38379HRB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3064911 | PA      | $179292.08    | 0.04%             | 2039-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class C       | CUSIP: 61762DBB6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    1398000 | PA      | $1298026.64   | 0.32%             | 2046-05-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class WS                                                    | CUSIP: 38384JKZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16962777 | PA      | $986171.75    | 0.24%             | 2054-02-20      | Floating      | 1.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class XI                                                   | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2537501 | PA      | $141661.06    | 0.03%             | 2065-07-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     349000 | PA      | $31306.36     | 0.01%             |  |  |  | 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        |    1408000 | PA      | $1339516.71   | 0.33%             | 2047-12-15      | Variable      | 3.69%                 | 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        |    1387488 | PA      | $1366470.72   | 0.33%             | 2045-09-10      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-6, Class OI                                                     | CUSIP: 38378FJQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4745774 | PA      | $955723.39    | 0.23%             | 2043-01-20      | Fixed         | 5.00%                 | 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        |     751000 | PA      | $665919.89    | 0.16%             | 2052-11-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                               | COLT Mortgage Loan Trust, Series 2023-3, Class A1                                 | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |    1925944 | PA      | $1955897.46   | 0.48%             | 2068-09-25      | Fixed         | 7.18%                 | 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        |    2609000 | PA      | $2642173.44   | 0.65%             | 2030-04-25      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        | -180000000 | PA      | $-268661.49   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-DNA4, Class B2                               | CUSIP: 35565XBE9<br>LEI: 5493000ITFTMJUMPDE35 | Long             | ABS-MBS          | CORP              | US        |    2647000 | PA      | $3550896.77   | 0.87%             | 2050-08-25      | Floating      | 14.47%                | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   67000000 | PA      | $56457690.70  | 13.79%            | 2055-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                     | Tricolor Auto Securitization Trust, Series 2024-1A, Class A                       | CUSIP: 89616LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     456614 | PA      | $438741.63    | 0.11%             | 2027-10-15      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-98, Class SK                                                    | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7786959 | PA      | $1096589.22   | 0.27%             | 2051-06-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  120000000 | PA      | $599246.07    | 0.15%             |  |  |  | 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        |    2330000 | PA      | $1142677.20   | 0.28%             | 2049-06-15      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H04, Class AI                                                   | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6157251 | PA      | $183043.37    | 0.04%             | 2064-12-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2020-C57, Class C                   | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     418000 | PA      | $381553.37    | 0.09%             | 2053-08-15      | Variable      | 4.16%                 | 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        |     343137 | PA      | $346654.26    | 0.08%             | 2068-07-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2025-HE1, Class A1A                             | CUSIP: 89183LAA3<br>LEI: 2549002NBNESH9L3VV66 | Long             | ABS-O            | CORP              | US        |     971278 | PA      | $972215.91    | 0.24%             | 2065-07-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class D  | CUSIP: 46641BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     930778 | PA      | $887729.95    | 0.22%             | 2046-12-15      | Variable      | 5.05%                 | 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 D       | CUSIP: 61762DAG6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    1122000 | PA      | $1027561.15   | 0.25%             | 2046-05-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   23611000 | PA      | $116738.98    | 0.03%             |  |  |  | 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        |     136488 | PA      | $134168.78    | 0.03%             | 2047-06-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      31000 | PA      | $3452.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-181, Class DS                                                   | CUSIP: 38384FBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25529968 | PA      | $1595194.07   | 0.39%             | 2053-11-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0124A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11000000 | PA      | $9844356.39   | 2.40%             | 2040-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-19, Class S                                                     | CUSIP: 38383V3H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21894602 | PA      | $2588773.90   | 0.63%             | 2049-11-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class B | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285302 | PA      | $262454.27    | 0.06%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN1, Class M2        | CUSIP: 35563FAB7<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | CORP              | US        |    1051000 | PA      | $1085014.14   | 0.26%             | 2051-01-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2019-51, Class SA                                                    | CUSIP: 3136B5P41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5595356 | PA      | $784138.19    | 0.19%             | 2049-09-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                        | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3                         | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     624000 | PA      | $617447.88    | 0.15%             | 2054-12-10      | Fixed         | 3.84%                 | 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        |    1761924 | PA      | $1543188.57   | 0.38%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class B                          | CUSIP: 126281BE3<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    1109000 | PA      | $1062044.61   | 0.26%             | 2050-04-15      | Variable      | 3.96%                 | 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        |    1033000 | PA      | $889234.39    | 0.22%             | 2048-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     141000 | PA      | $6312.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class D                         | CUSIP: 12597BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     798000 | PA      | $424265.64    | 0.10%             | 2052-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Structured Pass-Through Certificates, Series T-57, Class 2A1               | CUSIP: 31394JDB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8673 | PA      | $8471.97      | 0.00%             | 2043-07-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2019-2, Class A2                                | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     862000 | PA      | $784483.62    | 0.19%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $30153933.48  | 7.36%             | 2055-10-25      | Fixed         | 3.50%                 | 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        |     986000 | PA      | $912099.20    | 0.22%             | 2051-06-15      | Variable      | 5.03%                 | 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        |    1408000 | PA      | $1302409.86   | 0.32%             | 2045-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H07, Class PI                                                   | CUSIP: 38376RRT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7247090 | PA      | $430622.09    | 0.11%             | 2066-03-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-120, Class SH                                                   | CUSIP: 38383TB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14403736 | PA      | $1218847.00   | 0.30%             | 2052-07-20      | Floating      | 1.66%                 | 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        |     616115 | PA      | $618052.98    | 0.15%             | 2054-07-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H19, Class AI                                                   | CUSIP: 38376RZM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7002626 | PA      | $310762.54    | 0.08%             | 2066-09-20      | Variable      | 2.19%                 | 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        |    1239000 | PA      | $1207910.39   | 0.29%             | 2048-05-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H09                                                             | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5590546 | PA      | $160812.05    | 0.04%             | 2067-04-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class E              | CUSIP: 46639NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1235000 | PA      | $852174.70    | 0.21%             | 2045-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SL                                                    | CUSIP: 38383HLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18103458 | PA      | $1365044.17   | 0.33%             | 2053-01-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  246525000 | PA      | $-3242357.55  | -0.79%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-125, Class SG                                                   | CUSIP: 38382AQY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7005548 | PA      | $853383.66    | 0.21%             | 2049-10-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust               | Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE9, Class M2               | CUSIP: 61744CJU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      11890 | PA      | $11756.19     | 0.00%             | 2034-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-11282.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   13681500 | PA      | $278074.59    | 0.07%             |  |  |  | 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        |    1436000 | PA      | $1119642.02   | 0.27%             | 2048-02-10      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-76                                                              | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1665036 | PA      | $346689.86    | 0.08%             | 2044-05-20      | Fixed         | 5.00%                 | 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        |    1497000 | PA      | $1398572.25   | 0.34%             | 2047-11-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2001-79, Class BI                                                    | CUSIP: 31392BMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     415878 | PA      | $1977.25      | 0.00%             | 2045-03-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H14, Class AI                                                   | CUSIP: 38376RCA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10920634 | PA      | $564400.20    | 0.14%             | 2065-06-20      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-51, Class HS                                                    | CUSIP: 38384KTQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12950742 | PA      | $813753.37    | 0.20%             | 2054-03-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class B               | CUSIP: 46591ABF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     636000 | PA      | $603677.14    | 0.15%             | 2051-06-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-7, Class AS                                                     | CUSIP: 38383VGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25721644 | PA      | $2166652.42   | 0.53%             | 2053-01-20      | Floating      | 2.51%                 | 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        |   23289000 | PA      | $495843.77    | 0.12%             | 2057-11-15      | Variable      | 0.77%                 | 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        |     781000 | PA      | $786238.79    | 0.19%             | 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        |     162035 | PA      | $163832.05    | 0.04%             | 2069-07-25      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2025-NPL9, Class A1                                              | CUSIP: 740937AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1903934 | PA      | $1906801.47   | 0.47%             | 2055-08-25      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM5, Class A1                                    | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |    1541400 | PA      | $1567827.16   | 0.38%             | 2068-11-25      | Fixed         | 7.05%                 | 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        |     954000 | PA      | $883182.20    | 0.22%             | 2047-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2873200 | PA      | $34386.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-126, Class LS                                                   | CUSIP: 38384UYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26798827 | PA      | $2112870.43   | 0.52%             | 2054-08-20      | Floating      | 2.26%                 | 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        |     397060 | PA      | $306530.32    | 0.07%             | 2047-08-10      | Variable      | 4.81%                 | 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        |    2305000 | PA      | $1382881.52   | 0.34%             | 2044-02-10      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     140000 | PA      | $9342.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C04, Class 1B               | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     774147 | PA      | $823596.61    | 0.20%             | 2029-01-25      | Floating      | 14.72%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class GI                                                   | CUSIP: 38376R2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6033899 | PA      | $547660.77    | 0.13%             | 2067-02-20      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  756722000 | PA      | $-1373101.31  | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-75, Class LI                                                    | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1935996 | PA      | $277008.14    | 0.07%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5050, Class IM                                                      | CUSIP: 3137F7Q24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8722151 | PA      | $1733426.33   | 0.42%             | 2050-10-25      | Fixed         | 3.50%                 | 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        |    1920000 | PA      | $1874630.78   | 0.46%             | 2049-08-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-H12, Class IY                                                   | CUSIP: 38382YCJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38019786 | PA      | $861144.35    | 0.21%             | 2071-08-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-103, Class SK                                                   | CUSIP: 38384CCX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13358756 | PA      | $915371.37    | 0.22%             | 2053-07-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-123, Class NI                                                   | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13352013 | PA      | $1979949.99   | 0.48%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Notes                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -221 | NC      | $20354.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5391, Class FC                                                      | CUSIP: 3137HBUJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     484062 | PA      | $486961.73    | 0.12%             | 2054-03-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-76, Class NI                                                    | CUSIP: 38382RNV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9286931 | PA      | $1576683.20   | 0.39%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $7935132.24   | 1.94%             | 2055-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                               | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   14000000 | PA      | $13998438.16  | 3.42%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1B1             | CUSIP: 20753VBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3455000 | PA      | $3657502.73   | 0.89%             | 2040-02-25      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   23866000 | PA      | $594945.35    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA2, Class B2                                     | CUSIP: 35564LBE6<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-MBS          | CORP              | US        |     282000 | PA      | $328434.91    | 0.08%             | 2049-03-25      | Floating      | 14.97%                | 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        |    1029785 | PA      | $998215.56    | 0.24%             | 2046-05-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2007-14, Class KO                                                    | CUSIP: 31396PG62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1683 | PA      | $1431.72      | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2003-W3, Class 1A4                                                   | CUSIP: 31392JYJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11475 | PA      | $11200.08     | 0.00%             | 2042-08-25      | Variable      | 4.83%                 | 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        |     190832 | PA      | $169323.56    | 0.04%             | 2036-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4326, Class GS                                                      | CUSIP: 3137BABH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7088613 | PA      | $750036.91    | 0.18%             | 2044-04-15      | Floating      | 1.56%                 | 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        |   10559248 | PA      | $888412.92    | 0.22%             | 2062-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    2354000 | PA      | $-240296.34   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-156, Class SK                                                   | CUSIP: 38378A3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4641497 | PA      | $684107.96    | 0.17%             | 2038-04-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR1, Class B2                                     | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |    2681000 | PA      | $3198079.11   | 0.78%             | 2048-01-25      | Floating      | 12.82%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H13, Class AI                                                   | CUSIP: 38376RCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4770932 | PA      | $251862.26    | 0.06%             | 2065-06-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-52, Class KI                                                    | CUSIP: 38379LWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     728479 | PA      | $28362.25     | 0.01%             | 2040-11-20      | Fixed         | 3.50%                 | 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        |     882000 | PA      | $786964.94    | 0.19%             | 2050-09-10      | Fixed         | 3.00%                 | 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        |     422819 | PA      | $417692.18    | 0.10%             | 2047-09-10      | Variable      | 4.19%                 | 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        |     260897 | PA      | $215943.72    | 0.05%             | 2035-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    2413000 | PA      | $137947.56    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-138, Class IB                                                   | CUSIP: 38382JX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21322472 | PA      | $2952345.73   | 0.72%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4915, Class SD                                                      | CUSIP: 3137FNKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7102137 | PA      | $823308.88    | 0.20%             | 2049-09-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-HQA2, Class B2                                     | CUSIP: 35564MBE4<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-MBS          | CORP              | US        |     637000 | PA      | $760674.70    | 0.19%             | 2049-04-25      | Floating      | 15.72%                | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C                          | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |     644000 | PA      | $587849.45    | 0.14%             | 2050-04-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-47, Class SA                                                    | CUSIP: 38382EFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8728715 | PA      | $981759.63    | 0.24%             | 2044-05-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2024-BNK48, Class XA                                                 | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9726637 | PA      | $792146.05    | 0.19%             | 2057-10-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2003-34, Class P1                                                    | CUSIP: 31393CFC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28191 | PA      | $25852.70     | 0.01%             | 2043-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class C               | CUSIP: 46591ABG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     835000 | PA      | $753337.42    | 0.18%             | 2051-06-15      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC                 | New Economy Assets - Phase 1 Sponsor LLC, Series 2021-1, Class A1                 | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1026000 | PA      | $859221.85    | 0.21%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class CI                                                   | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6745601 | PA      | $350670.06    | 0.09%             | 2065-08-20      | Variable      | 1.89%                 | 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        |    1027925 | PA      | $994163.69    | 0.24%             | 2057-06-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2019-83, Class QS                                                    | CUSIP: 3136B8BC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12877152 | PA      | $1839193.43   | 0.45%             | 2050-01-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2467800 | PA      | $243884.97    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust                   | Castlelake Aircraft Structured Trust, Series 2025-2A, Class A                     | CUSIP: 14855XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     833553 | PA      | $840810.59    | 0.21%             | 2050-08-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19000000 | PA      | $16964884.73  | 4.14%             | 2055-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H27, Class GI                                                   | CUSIP: 38376RK21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9318734 | PA      | $556505.45    | 0.14%             | 2066-12-20      | Variable      | 2.36%                 | 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        |    1566059 | PA      | $1529892.90   | 0.37%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2006-84, Class OT                                                    | CUSIP: 31396K2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        633 | PA      | $533.80       | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class D      | CUSIP: 61762XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $748047.44    | 0.18%             | 2046-10-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-49, Class IB                                                    | CUSIP: 3136BQKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6168359 | PA      | $962714.23    | 0.24%             | 2047-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class AM                                    | CUSIP: 12624QAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1721000 | PA      | $1587674.65   | 0.39%             | 2045-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H03, Class AI                                                   | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4805372 | PA      | $195679.56    | 0.05%             | 2066-01-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   26602700 | PA      | $800667.02    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2011-123, Class KS                                                   | CUSIP: 3136A2QG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180658 | PA      | $13035.56     | 0.00%             | 2041-10-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class D                   | CUSIP: 94989KBC6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |    1407000 | PA      | $1327179.20   | 0.32%             | 2048-06-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-89, Class IL                                                    | CUSIP: 38382QB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6234459 | PA      | $1467038.68   | 0.36%             | 2051-05-20      | Fixed         | 4.50%                 | 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        |    1066568 | PA      | $1009242.42   | 0.25%             | 2044-06-15      | Variable      | 5.15%                 | 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        |     726000 | PA      | $660545.73    | 0.16%             | 2047-09-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   81000000 | PA      | $65304881.91  | 15.95%            | 2055-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10000000 | PA      | $9948535.60   | 2.43%             | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR3, Class B2                                     | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-MBS          | CORP              | US        |     371000 | PA      | $400254.69    | 0.10%             | 2047-09-25      | Floating      | 9.27%                 | 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        |    1351375 | PA      | $1109141.98   | 0.27%             | 2048-10-10      | Variable      | 3.65%                 | 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        |    1608000 | PA      | $1553227.50   | 0.38%             | 2047-09-10      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C5, Class F                       | CUSIP: 05492JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1001000 | PA      | $599273.37    | 0.15%             | 2052-11-15      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class NI                                                    | CUSIP: 38382VKU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8312842 | PA      | $978272.71    | 0.24%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                   | DBUBS Mortgage Trust, Series 2011-LC3A, Class D                                   | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1287746 | PA      | $1246657.01   | 0.30%             | 2044-08-10      | Variable      | 5.53%                 | 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        |    1152481 | PA      | $1161464.37   | 0.28%             | 2055-04-25      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| CAFL Issuer LLC                                        | CAFL Issuer LLC, Series 2023-RTL1, Class A1                                       | CUSIP: 124762AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     526000 | PA      | $528766.34    | 0.13%             | 2030-12-28      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   13289300 | PA      | $193289.78    | 0.05%             |  |  |  | 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        |    1124000 | PA      | $1058316.25   | 0.26%             | 2047-09-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2011-C3, Class E                           | CUSIP: 61760RAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1966877 | PA      | $1929644.40   | 0.47%             | 2049-07-15      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                         | HarborView Mortgage Loan Trust, Series 2005-2, Class 1A                           | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     949256 | PA      | $262180.50    | 0.06%             | 2035-05-19      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H06, Class DI                                                   | CUSIP: 38376RSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3724678 | PA      | $148450.78    | 0.04%             | 2065-07-20      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $18431752.18  | 4.50%             | 2055-10-25      | 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        |    2034000 | PA      | $1076886.45   | 0.26%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-140, Class JS                                                   | CUSIP: 38384EUV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |     856836 | PA      | $883852.32    | 0.22%             | 2053-09-20      | Floating      | 5.13%                 | 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        |    2112874 | PA      | $2043210.64   | 0.50%             | 2048-02-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2728900 | PA      | $373941.31    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Putnam Funds Trust                                     | Putnam Short Term Investment Fund, Class P                                        | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |   48375449 | NS      | $48375449.02  | 11.81%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-152, Class FB                                                   | CUSIP: 38384DZX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     906867 | PA      | $921436.16    | 0.23%             | 2051-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3065, Class DC                                                      | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     718125 | PA      | $749019.56    | 0.18%             | 2035-03-15      | Floating      | 6.40%                 | 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        |     985000 | PA      | $891434.55    | 0.22%             | 2046-08-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR13, Class C                                    | CUSIP: 12630BBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     233261 | PA      | $230023.02    | 0.06%             | 2046-11-10      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2004-W2, Class 4A                                                    | CUSIP: 31393XGT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2070 | PA      | $2046.22      | 0.00%             | 2044-02-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class B              | CUSIP: 46641JBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     721112 | PA      | $702665.67    | 0.17%             | 2047-02-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-HQA3, Class B2                               | CUSIP: 35565MBE3<br>LEI: 5493000ITAM9GTFUKP51 | Long             | ABS-MBS          | CORP              | US        |     916000 | PA      | $1220898.84   | 0.30%             | 2050-07-25      | Floating      | 14.47%                | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust              | Bayview Opportunity Master Fund VII Trust, Series 2023-1A, Class A                | CUSIP: 072927AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     358383 | PA      | $367594.11    | 0.09%             | 2060-10-28      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12000000 | PA      | $12206037.84  | 2.98%             | 2055-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1670000 | PA      | $82810.15     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class C      | CUSIP: 61765TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     896476 | PA      | $885606.30    | 0.22%             | 2048-10-15      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM4, Class A1                                    | CUSIP: 00002MAA7<br>LEI: 9845002EOD0CFAFA4F48 | Long             | ABS-MBS          | CORP              | US        |    1226643 | PA      | $1250409.25   | 0.31%             | 2068-09-25      | Fixed         | 7.47%                 | 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        |    1330000 | PA      | $1475031.18   | 0.36%             | 2051-01-25      | Floating      | 9.11%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0304A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3832127.96   | 0.94%             | 2040-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-62, Class MI                                                    | CUSIP: 3136BBZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24080977 | PA      | $4404198.76   | 1.08%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA REMIC Trust, Series 2004-W7, Class A2                                        | CUSIP: 31393YZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2052 | PA      | $2071.41      | 0.00%             | 2034-03-25      | Variable      | 7.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-10848.00    | -0.00%            |  |  |  | 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        |    1288000 | PA      | $75369.25     | 0.02%             | 2045-11-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     988000 | PA      | $-5790.78     | -0.00%            |  |  |  | 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        |     991000 | PA      | $606340.77    | 0.15%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2023-RTL2, Class A1                                  | CUSIP: 50205BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     368393 | PA      | $368873.20    | 0.09%             | 2028-06-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class NI                                                   | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4720378 | PA      | $147017.12    | 0.04%             | 2067-03-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-105, Class FC                                                   | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1969820 | PA      | $1972816.97   | 0.48%             | 2055-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class ES                                                     | CUSIP: 38384HW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11363185 | PA      | $964266.28    | 0.24%             | 2054-01-20      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17140800 | PA      | $624855.96    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0326A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14000000 | PA      | $12766999.70  | 3.12%             | 2055-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer II LLC                                 | DataBank Issuer II LLC, Series 2025-1A, Class A2                                  | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1155000 | PA      | $1158300.30   | 0.28%             | 2055-09-27      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17140800 | PA      | $465882.53    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2017-C3, Class C                            | CUSIP: 90276GAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1405000 | PA      | $1306529.59   | 0.32%             | 2050-08-15      | Variable      | 4.50%                 | 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        |   19357423 | PA      | $1059851.82   | 0.26%             | 2057-09-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2018-COR3, Class D                                    | CUSIP: 12595VAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     499000 | PA      | $199664.12    | 0.05%             | 2051-05-10      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H10, Class AI                                                   | CUSIP: 38376RUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8261332 | PA      | $231978.20    | 0.06%             | 2066-04-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA4, Class B2                                     | CUSIP: 35565ABE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1070000 | PA      | $1194055.16   | 0.29%             | 2049-10-25      | Floating      | 10.72%                | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1425000 | PA      | $7679.17      | 0.00%             |  |  |  | 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        |    1892000 | PA      | $1213245.00   | 0.30%             | 2047-09-10      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   72000000 | PA      | $73565562.24  | 17.97%            | 2055-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HTAP                                                   | HTAP Trust, Series 2024-1, Class A                                                | CUSIP: 40445NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1020910 | PA      | $1027946.83   | 0.25%             | 2037-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-51, Class BI                                                    | CUSIP: 3136B2KV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1691236 | PA      | $90802.63     | 0.02%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13000000 | PA      | $12225348.46  | 2.99%             | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-38, Class MI                                                    | CUSIP: 38378DRC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4527353 | PA      | $801455.53    | 0.20%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      31000 | PA      | $13510.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2010-20, Class SC                                                    | CUSIP: 38376VFR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     346893 | PA      | $40984.46     | 0.01%             | 2040-02-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-158, Class AS                                                   | CUSIP: 38382BDZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4306853 | PA      | $453598.58    | 0.11%             | 2043-09-16      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Mortgage Pass-Through Trust          | Bayview Financial Mortgage Pass-Through Trust, Series 2006-C, Class 1A3           | CUSIP: 07325DAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1430199 | PA      | $1414140.09   | 0.35%             | 2036-11-28      | Fixed         | 6.53%                 | 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        |    1741904 | PA      | $1657095.05   | 0.40%             | 2047-04-10      | Variable      | 4.89%                 | 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        |     409000 | PA      | $292435.00    | 0.07%             | 2047-06-10      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 1B               | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    2812007 | PA      | $2961754.49   | 0.72%             | 2028-10-25      | Floating      | 16.22%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-209, Class SG                                                   | CUSIP: 38383LQW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29559522 | PA      | $1924416.53   | 0.47%             | 2052-12-20      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     360000 | PA      | $-148489.41   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H23, Class BI                                                   | CUSIP: 38375UT59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4505069 | PA      | $153091.27    | 0.04%             | 2067-11-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   23866000 | PA      | $1351455.96   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   12604500 | PA      | $328298.79    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-9153.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-51, Class QI                                                    | CUSIP: 38378MTJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1834110 | PA      | $196197.46    | 0.05%             | 2043-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    9853000 | PA      | $-5103.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H13, Class IK                                                   | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4444122 | PA      | $399233.21    | 0.10%             | 2066-06-20      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-64, Class QS                                                    | CUSIP: 38384MPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36155864 | PA      | $2692581.46   | 0.66%             | 2054-04-20      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2024-NPL9, Class A1                                              | CUSIP: 74143TAA7<br>LEI: 25490072TKR6YZ7BOH19 | Long             | ABS-MBS          | CORP              | US        |     767615 | PA      | $769412.60    | 0.19%             | 2054-12-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H22, Class AI                                                   | CUSIP: 38376RGU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8803837 | PA      | $431881.03    | 0.11%             | 2065-09-20      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  362432000 | PA      | $2279262.99   | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2025-1, Class A                        | CUSIP: 85772UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1458000 | PA      | $1479587.15   | 0.36%             | 2026-07-23      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-58, Class SP                                                    | CUSIP: 3136BQXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24573868 | PA      | $1768701.71   | 0.43%             | 2053-12-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-49, Class IA                                                    | CUSIP: 3136BQKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7456031 | PA      | $957854.72    | 0.23%             | 2046-08-25      | Fixed         | 3.00%                 | 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        |     615153 | PA      | $598697.92    | 0.15%             | 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        |    1353000 | PA      | $1270636.13   | 0.31%             | 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        |    1132786 | PA      | $1030682.51   | 0.25%             | 2045-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2165000 | PA      | $-21895.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  107000000 | PA      | $107898181.54 | 26.35%            | 2055-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-31                                                              | CUSIP: 3136B9WV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8357898 | PA      | $1542460.96   | 0.38%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 304, Class C37                                                      | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33220 | PA      | $657.00       | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    8300000 | PA      | $-2682.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-177, Class IG                                                   | CUSIP: 38383CJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12557349 | PA      | $1936608.23   | 0.47%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust, Series 2019-3, Class M1                                    | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $702597.00    | 0.17%             | 2048-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class C                         | CUSIP: 92937EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1104500 | PA      | $1064379.04   | 0.26%             | 2045-03-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B15, Class XA                               | CUSIP: 08160KAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13490869 | PA      | $352153.49    | 0.09%             | 2072-12-15      | Variable      | 0.92%                 | 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        |    1141000 | PA      | $789150.63    | 0.19%             | 2051-04-10      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class D   | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1123000 | PA      | $1020632.37   | 0.25%             | 2046-02-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-121, Class SD                                                   | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6832748 | PA      | $866398.60    | 0.21%             | 2049-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2008-53, Class DO                                                    | CUSIP: 31397LB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62859 | PA      | $52730.00     | 0.01%             | 2038-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2024-V10, Class XA                               | CUSIP: 08163UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12778160 | PA      | $574077.99    | 0.14%             | 2057-09-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-66, Class SH                                                    | CUSIP: 38384ARM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14013275 | PA      | $1030506.81   | 0.25%             | 2053-05-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class MI                                                   | CUSIP: 38376RX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7414772 | PA      | $306852.94    | 0.07%             | 2067-02-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H18, Class DI                                                   | CUSIP: 38380QQT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1721460 | PA      | $91919.06     | 0.02%             | 2070-11-20      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      69000 | PA      | $4604.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class C                                 | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     718000 | PA      | $592497.05    | 0.14%             | 2051-01-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18000000 | PA      | $15499612.80  | 3.79%             | 2055-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                | American Home Mortgage Investment Trust, Series 2007-1, Class GA1C                | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4752680 | PA      | $2802277.04   | 0.68%             | 2047-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-34, Class HI                                                    | CUSIP: 38378JL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2783687 | PA      | $448909.05    | 0.11%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     933000 | PA      | $71161.78     | 0.02%             | 2046-04-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-3, Class IB                                                     | CUSIP: 3136BDYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5562317 | PA      | $959115.39    | 0.23%             | 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        |    1194784 | PA      | $1193933.04   | 0.29%             | 2054-07-25      | Floating      | 5.71%                 | 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        |    1638000 | PA      | $737612.20    | 0.18%             | 2050-02-10      | Variable      | 4.68%                 | 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        |    1500000 | PA      | $1500649.65   | 0.37%             | 2025-10-27      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN3, Class M2        | CUSIP: 35563GAB5<br>LEI: 549300FK6HM4FW58SP67 | Long             | ABS-MBS          | CORP              | US        |    2289000 | PA      | $2379879.71   | 0.58%             | 2051-11-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3117, Class AF                                                      | CUSIP: 31396HU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9368 | PA      | $8258.79      | 0.00%             | 2036-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA1, Class B2                                     | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-MBS          | CORP              | US        |    4520000 | PA      | $5584282.82   | 1.36%             | 2049-01-25      | Floating      | 15.22%                | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                   | Cross Mortgage Trust, Series 2024-H1, Class A1                                    | CUSIP: 22757AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1625328 | PA      | $1642027.08   | 0.40%             | 2068-12-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-R01, Class 1B1              | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     347000 | PA      | $356230.93    | 0.09%             | 2040-01-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3408, Class EK                                                      | CUSIP: 31397PUB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96189 | PA      | $115032.44    | 0.03%             | 2037-04-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS4, Class D                                    | CUSIP: 12591QAD4<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     757000 | PA      | $174867.00    | 0.04%             | 2047-08-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA REMIC Trust, Series 2003-W14, Class 2A                                       | CUSIP: 31393E6M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5464 | PA      | $5358.68      | 0.00%             | 2043-01-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class B                                       | CUSIP: 12515GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     826000 | PA      | $566068.29    | 0.14%             | 2050-02-10      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     348000 | PA      | $31216.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-30

**Name of Applicant:** Putnam Mortgage Securities Fund

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer