# EDGAR Filing Document

**Accession Number:** 0000732337
**File Stem:** 0000869392-23-000447
**Filing Date:** 2023-2
**Character Count:** 477127
**Document Hash:** 1c52d8dfb27d3e3448bc0998ca98657c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000869392-23-000447.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0000869392-23-000447

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM MORTGAGE SECURITIES FUND
- **CENTRAL INDEX KEY:** 0000732337
- **IRS NUMBER:** 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:** 23669160

**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           |
| C000017923 | Class B Shares  | PGSBX           |
| C000017924 | Class C Shares  | PGVCX           |
| C000017926 | Class R Shares  | PGVRX           |
| C000017927 | Class Y Shares  | PUSYX           |
| C000200295 | Class R6 Shares |  |

## Nport-Ex

------

---

| |
|:---|
| **Putnam Mortgage Securities Fund** |
| **The fund's portfolio** |
| **12/31/22 (Unaudited)** |

---

---

| | | |
|:---|:---|:---|
| **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (175.6%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (175.6%)***<sup>(a)</sup>*** | **U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (175.6%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **U.S. Government Guaranteed Mortgage Obligations (22.0%)** | **U.S. Government Guaranteed Mortgage Obligations (22.0%)** | **U.S. Government Guaranteed Mortgage Obligations (22.0%)** |
| Government National Mortgage Association Adjustable Rate Mortgages (US Treasury Yield Curve Rate + 1.50%), 2.625%, 7/20/26 | $2887 | $2806 |
| Government National Mortgage Association Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, 1/15/29 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, 8/15/35 | 111 | 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 1/1/53 | 12000000 | 11643857 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, TBA, 1/1/53 | 17000000 | 16093422 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, TBA, 1/1/53 | 29000000 | 26644620 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, TBA, 1/1/53 | 44000000 | 39189766 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.00%, TBA, 1/1/53 | 11000000 | 9228670 |
|  |  | **102803255** |
| **U.S. Government Agency Mortgage Obligations (153.6%)** | **U.S. Government Agency Mortgage Obligations (153.6%)** | **U.S. Government Agency Mortgage Obligations (153.6%)** |
| Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6.00%, TBA, 1/1/53 | 34400000 | 34932140 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.50%, TBA, 1/1/53 | 89000000 | 89264259 |
| &nbsp;&nbsp;&nbsp;&nbsp;5.00%, TBA, 1/1/53 | 167000000 | 164677731 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.50%, TBA, 1/1/53 | 129000000 | 124343900 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.00%, TBA, 1/1/53 | 36000000 | 33794982 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.50%, TBA, 1/1/53 | 37000000 | 33649746 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, TBA, 1/1/53 | 34000000 | 29869530 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, TBA, 1/1/53 | 127000000 | 107672188 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.00%, TBA, 1/1/53 | 124000000 | 101211131 |
|  |  | **719415607** |
| **Total U.S. government and agency mortgage obligations (cost $826,569,750)** | **Total U.S. government and agency mortgage obligations (cost $826,569,750)** | **$822218862** |

---

------

---

| | | |
|:---|:---|:---|
| **U.S. TREASURY OBLIGATIONS (0.9%)***<sup>(a)</sup>*** | **U.S. TREASURY OBLIGATIONS (0.9%)***<sup>(a)</sup>*** | **U.S. TREASURY OBLIGATIONS (0.9%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| U.S. Treasury Bonds 1.875%, 11/15/51***<sup>(i)</sup>*** | $189000 | $121296 |
| U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.00%, 9/30/25***<sup>(i)</sup>*** | 448000 | 436706 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.875%, 8/15/28***<sup>(i)</sup>*** | 284000 | 271027 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.625%, 5/31/27***<sup>(i)</sup>*** | 257000 | 242844 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.50%, 8/15/23***<sup>(i)</sup>*** | 424000 | 422254 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.75%, 3/15/25***<sup>(i)</sup>*** | 310000 | 294612 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.625%, 5/15/31***<sup>(i)</sup>*** | 2099000 | 1769625 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.50%, 2/15/30***<sup>(i)</sup>*** | 468000 | 401493 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.125%, 10/31/26***<sup>(i)</sup>*** | 216000 | 193797 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.125%, 2/15/24***<sup>(i)</sup>*** | 236000 | 224327 |
| **Total U.S. treasury obligations (cost $4,377,981)** |  | **$4377981** |

---

------

---

| | | |
|:---|:---|:---|
| **MORTGAGE-BACKED SECURITIES (83.2%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (83.2%)***<sup>(a)</sup>*** | **MORTGAGE-BACKED SECURITIES (83.2%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| **Agency collateralized mortgage obligations (31.9%)** | **Agency collateralized mortgage obligations (31.9%)** | **Agency collateralized mortgage obligations (31.9%)** |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 2976, Class LC, ((-3.667 x ICE LIBOR USD 1 Month) + 24.42%), 8.588%, 5/15/35 | $570843 | $766941 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 3408, Class EK, ((-4.024 x ICE LIBOR USD 1 Month) + 25.79%), 8.419%, 4/15/37 | 155772 | 241627 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 3072, Class SM, ((-3.667 x ICE LIBOR USD 1 Month) + 23.80%), 7.965%, 11/15/35 | 313484 | 474065 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 3065, Class DC, ((-3 x ICE LIBOR USD 1 Month) + 19.86%), 6.906%, 3/15/35 | 1410090 | 1783655 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 2990, Class LB, ((-2.556 x ICE LIBOR USD 1 Month) + 16.95%), 5.91%, 6/15/34 | 177515 | 191640 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5043, IO, 5.00%, 11/25/50 | 8029452 | 1827270 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4980, Class KI, IO, 4.50%, 6/25/50 | 8106915 | 1679786 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4122, Class TI, IO, 4.50%, 10/15/42 | 1666297 | 329134 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4024, Class PI, IO, 4.50%, 12/15/41 | 753583 | 87071 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4018, Class DI, IO, 4.50%, 7/15/41 | 644019 | 44252 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5119, Class IC, IO, 4.00%, 6/25/51 | 9181342 | 1761349 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5121, Class KI, IO, 4.00%, 6/25/51 | 7960501 | 1656198 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4953, Class AI, IO, 4.00%, 2/25/50 | 5132089 | 979664 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4425, IO, 4.00%, 1/15/45 | 2178706 | 342035 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4425, Class EI, IO, 4.00%, 1/15/45 | 3081304 | 483734 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4452, Class QI, IO, 4.00%, 11/15/44 | 2955403 | 615014 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4213, Class GI, IO, 4.00%, 11/15/41 | 1165774 | 38113 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4019, Class JI, IO, 4.00%, 5/15/41 | 1432054 | 103313 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Pass-Through Certificates FRB Ser. 57, Class 2A1, 3.589%, 7/25/43***<sup>(WAC)</sup>*** | 11302 | 10522 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5077, Class NI, IO, 3.50%, 2/25/51 | 13171157 | 2335145 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5065, Class DI, IO, 3.50%, 1/25/51 | 12591231 | 2272232 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5050, Class IM, IO, 3.50%, 10/25/50 | 11779067 | 2152059 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5080, Class IQ, IO, 3.50%, 4/25/50 | 24342719 | 4788339 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4165, Class AI, IO, 3.50%, 2/15/43 | 1478996 | 225129 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4136, Class IQ, IO, 3.50%, 11/15/42 | 3422676 | 476813 |
| &nbsp;&nbsp;&nbsp;&nbsp;Strips Ser. 304, Class C37, IO, 3.50%, 12/15/27 | 399936 | 15615 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Pass-Through Certificates FRB Ser. 59, Class 2A1, 3.496%, 10/25/43***<sup>(WAC)</sup>*** | 6084 | 4665 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 5071, Class IV, IO, 3.00%, 12/25/50 | 19883338 | 3372281 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4150, Class DI, IO, 3.00%, 1/15/43 | 3790979 | 473872 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4141, Class PI, IO, 3.00%, 12/15/42 | 3337686 | 408228 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4158, Class TI, IO, 3.00%, 12/15/42 | 4571486 | 342496 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4165, Class TI, IO, 3.00%, 12/15/42 | 5485459 | 435469 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4171, Class NI, IO, 3.00%, 6/15/42 | 2920303 | 296112 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4183, Class MI, IO, 3.00%, 2/15/42 | 1983905 | 137088 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 4201, Class JI, IO, 3.00%, 12/15/41 | 1819019 | 82433 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4436, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.832%, 2/15/45 | 3251488 | 421533 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4326, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.732%, 4/15/44 | 9768999 | 907560 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 5003, Class DS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 8/25/50 | 8079054 | 932272 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4915, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 9/25/49 | 10234503 | 1019738 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4949, Class WS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.611%, 2/25/50 | 4745058 | 469735 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 4933, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.611%, 12/25/49 | 6745270 | 770269 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Pass-Through Certificates FRB Ser. 8, Class A9, IO, 0.462%, 11/15/28***<sup>(WAC)</sup>*** | 313404 | 1567 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Pass-Through Certificates FRB Ser. 59, Class 1AX, IO, 0.283%, 10/25/43***<sup>(WAC)</sup>*** | 2060225 | 14414 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Pass-Through Certificates Ser. 48, Class A2, IO, 0.212%, 7/25/33***<sup>(WAC)</sup>*** | 3258099 | 24419 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 3369, Class BO, PO, zero %, 9/15/37 | 2044 | 1618 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 3391, PO, zero %, 4/15/37 | 28480 | 23282 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 3175, Class MO, PO, zero %, 6/15/36 | 14306 | 11825 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 3210, PO, zero %, 5/15/36 | 1241 | 1200 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs FRB Ser. 3117, Class AF, (ICE LIBOR USD 1 Month + 0.00%), zero %, 2/15/36 | 13458 | 11861 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 06-62, Class PS, ((-6 x ICE LIBOR USD 1 Month) + 39.90%), 13.568%, 7/25/36 | 168376 | 309662 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 06-8, Class HP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.57%), 8.475%, 3/25/36 | 213825 | 228735 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 07-53, Class SP, ((-3.667 x ICE LIBOR USD 1 Month) + 24.20%), 8.108%, 6/25/37 | 256917 | 403769 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 08-24, Class SP, ((-3.667 x ICE LIBOR USD 1 Month) + 23.28%), 7.191%, 2/25/38 | 615014 | 601947 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 05-106, Class JC, ((-3.101 x ICE LIBOR USD 1 Month) + 20.12%), 6.516%, 12/25/35 | 422315 | 566930 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 15-58, Class KI, IO, 6.00%, 3/25/37 | 5135103 | 956218 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 05-74, Class NK, ((-5 x ICE LIBOR USD 1 Month) + 27.50%), 5.556%, 5/25/35 | 439983 | 449324 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 15-86, Class MI, IO, 5.50%, 11/25/45 | 4452667 | 756597 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 10-109, Class IM, IO, 5.50%, 9/25/40 | 8303662 | 1093253 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 18-51, Class BI, IO, 5.50%, 7/25/38 | 5171126 | 507726 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 17-19, Class IH, IO, 5.00%, 3/25/47 | 4956131 | 739950 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 12-151, Class IM, IO, 5.00%, 4/25/42 | 3041210 | 472529 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 20-31, IO, 4.50%, 5/25/50 | 11388794 | 2106267 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 17-32, Class IP, IO, 4.50%, 5/25/47 | 5256666 | 1023126 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Trust FRB Ser. 04-W7, Class A2, 4.472%, 3/25/34***<sup>(WAC)</sup>*** | 2533 | 2611 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs FRB Ser. 03-W11, Class A1, 4.447%, 6/25/33***<sup>(WAC)</sup>*** | 248 | 248 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 11-4, Class CS, ((-2 x ICE LIBOR USD 1 Month) + 12.90%), 4.123%, 5/25/40 | 464360 | 478130 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs FRB Ser. 03-W14, Class 2A, 4.008%, 1/25/43***<sup>(WAC)</sup>*** | 7626 | 7086 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 20-60, Class NI, IO, 4.00%, 9/25/50 | 7264783 | 1337325 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 15-83, IO, 4.00%, 10/25/43 | 1221768 | 182626 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 12-62, Class MI, IO, 4.00%, 3/25/41 | 611670 | 26140 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 12-104, Class HI, IO, 4.00%, 9/25/27 | 1787862 | 86539 |
| &nbsp;&nbsp;&nbsp;&nbsp;Trust FRB Ser. 03-W3, Class 1A4, 3.852%, 8/25/42***<sup>(WAC)</sup>*** | 16353 | 15241 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 21-25, Class IJ, IO, 3.50%, 5/25/51 | 23902060 | 4085818 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 20-20, Class IK, IO, 3.50%, 3/25/50 | 10179732 | 1212155 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 20-62, Class MI, IO, 3.50%, 5/25/49 | 32843829 | 5870552 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 16-70, Class QI, IO, 3.50%, 10/25/46 | 4037601 | 572693 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 15-10, Class AI, IO, 3.50%, 8/25/43 | 982656 | 30825 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-22, Class PI, IO, 3.50%, 10/25/42 | 2146433 | 315777 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 12-114, Class NI, IO, 3.50%, 10/25/41 | 2553947 | 164775 |
| &nbsp;&nbsp;&nbsp;&nbsp;Trust FRB Ser. 04-W2, Class 4A, 3.491%, 2/25/44***<sup>(WAC)</sup>*** | 4045 | 3897 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 20-96, IO, 3.00%, 1/25/51 | 9039889 | 1355983 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-55, Class IK, IO, 3.00%, 4/25/43 | 2060640 | 266000 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-6, Class JI, IO, 3.00%, 2/25/43 | 4780470 | 597559 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 | 2546505 | 331980 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 12-145, Class TI, IO, 3.00%, 11/25/42 | 820511 | 30315 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-55, Class PI, IO, 3.00%, 5/25/42 | 1497789 | 61750 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 | 164138 | 352 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-30, Class IP, IO, 3.00%, 10/25/41 | 262307 | 836 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 13-23, Class LI, IO, 3.00%, 6/25/41 | 459160 | 3305 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 21-3, Class NI, IO, 2.50%, 2/25/51 | 15161263 | 2168192 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 11-123, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.60%), 2.211%, 10/25/41 | 312802 | 27635 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 18-47, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.861%, 7/25/48 | 4498305 | 429138 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 18-20, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 1.861%, 3/25/48 | 5258379 | 487978 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 17-104, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.761%, 1/25/48 | 6433280 | 671632 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 20-41, Class SE, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 6/25/50 | 5909285 | 513604 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 16-83, Class BS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 11/25/46 | 14807212 | 1181263 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 16-85, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 11/25/46 | 20017238 | 1645023 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 16-50, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.711%, 8/25/46 | 9621790 | 691161 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 19-51, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 9/25/49 | 8411858 | 802810 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 19-45, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 8/25/49 | 5145626 | 462574 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 16-8, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.661%, 3/25/46 | 8828991 | 880799 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 19-71, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.611%, 11/25/49 | 2775778 | 428483 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs IFB Ser. 19-83, Class QS, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.95%), 1.561%, 1/25/50 | 15856173 | 1950709 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs FRB Ser. 01-50, Class B1, IO, 0.40%, 10/25/41***<sup>(WAC)</sup>*** | 1714742 | 8569 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 01-79, Class BI, IO, 0.255%, 3/25/45***<sup>(WAC)</sup>*** | 841344 | 5214 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Trust Ser. 98-W5, Class X, IO, 0.051%, 7/25/28***<sup>(WAC)</sup>*** | 671048 | 10062 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 03-34, PO, zero %, 4/25/43 | 38355 | 34847 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 08-53, Class DO, PO, zero %, 7/25/38 | 95332 | 77287 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 07-14, Class KO, PO, zero %, 3/25/37 | 3333 | 2746 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 06-125, Class OX, PO, zero %, 1/25/37 | 646 | 560 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 06-84, Class OT, PO, zero %, 9/25/36 | 989 | 783 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 06-46, Class OC, PO, zero %, 6/25/36 | 1449 | 1274 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Ser. 08-36, Class OV, PO, zero %, 1/25/36 | 9367 | 7928 |
| &nbsp;&nbsp;&nbsp;&nbsp;REMICs Trust Ser. 98-W2, Class X, IO, zero %, 6/25/28***<sup>(WAC)</sup>*** | 2093324 | 31392 |
| Government National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-75, Class LI, IO, 6.00%, 1/20/40 | 3435773 | 595611 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-137, Class ID, IO, 5.50%, 9/16/44 | 3138351 | 535155 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 | 59896 | 9145 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-89, Class LI, IO, 5.00%, 12/20/44 | 4001211 | 782877 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-76, IO, 5.00%, 5/20/44 | 2271745 | 455352 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-51, Class QI, IO, 5.00%, 2/20/43 | 2927196 | 403009 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 | 1287593 | 274034 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-6, Class OI, IO, 5.00%, 1/20/43 | 6528253 | 1256689 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 | 1098732 | 227927 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 5336716 | 1117402 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 | 3177724 | 661253 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-1, IO, 4.50%, 1/20/48 | 4447112 | 855626 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-34, Class HI, IO, 4.50%, 3/20/43 | 3806491 | 696861 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-39, Class IJ, IO, 4.50%, 3/20/43 | 4980647 | 937064 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-129, IO, 4.50%, 11/16/42 | 2704160 | 490562 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 | 3473119 | 603364 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 | 5393334 | 975007 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 | 1355972 | 257496 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 09-121, Class CI, IO, 4.50%, 12/16/39 | 3596501 | 671968 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-94, IO, 4.00%, 7/20/45 | 9402754 | 1771732 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 | 3523999 | 638139 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-2, Class IL, IO, 4.00%, 1/16/44 | 675717 | 111090 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-100, Class NI, IO, 4.00%, 6/20/43 | 2564140 | 171009 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-67, Class IP, IO, 4.00%, 4/16/43 | 4776276 | 720931 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-165, Class IL, IO, 4.00%, 3/20/43 | 1166103 | 182388 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 | 3169861 | 543431 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 | 6096222 | 1067083 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-104, IO, 4.00%, 3/20/42 | 3982244 | 480078 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-182, Class BI, IO, 4.00%, 1/20/39 | 5543437 | 582441 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H25, IO, 3.90%, 11/20/67***<sup>(WAC)</sup>*** | 9387617 | 401397 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-175, Class JI, IO, 3.50%, 11/20/50 | 12529560 | 2142143 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-79, Class PI, IO, 3.50%, 4/20/43 | 2351378 | 261403 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-168, Class IG, IO, 3.50%, 3/20/43 | 2026892 | 261158 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 | 1076233 | 123681 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-136, IO, 3.50%, 11/20/42 | 5902893 | 831220 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 | 3912293 | 311966 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-102, Class IG, IO, 3.50%, 3/16/41 | 839392 | 41636 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 | 1624141 | 118871 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-24, Class AI, IO, 3.50%, 12/20/37 | 581486 | 4861 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-24, Class IC, IO, 3.50%, 11/20/37 | 322561 | 4723 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H25, Class CI, IO, 3.023%, 12/20/67***<sup>(WAC)</sup>*** | 13739722 | 790678 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-188, Class IU, IO, 3.00%, 10/20/51 | 5360229 | 1083467 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-188, Class IW, IO, 3.00%, 10/20/51 | 8893848 | 1448654 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-76, Class NI, IO, 3.00%, 8/20/50 | 12347190 | 1739719 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-174, Class AI, IO, 3.00%, 11/16/29 | 1894738 | 107064 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-H02, Class IM, IO, 2.853%, 2/20/68***<sup>(WAC)</sup>*** | 9036718 | 513512 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H13, Class IK, IO, 2.652%, 6/20/66***<sup>(WAC)</sup>*** | 12538789 | 1081075 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-H01, Class XI, IO, 2.624%, 1/20/68***<sup>(WAC)</sup>*** | 12192748 | 799475 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 21-8, Class IP, IO, 2.50%, 1/20/51 | 29640256 | 4066160 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-162, Class UI, IO, 2.50%, 10/20/50 | 8749424 | 1132433 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-138, Class IB, IO, 2.50%, 9/20/50 | 19437064 | 2485412 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H04, Class BI, IO, 2.474%, 2/20/67***<sup>(WAC)</sup>*** | 10784886 | 456615 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H27, Class GI, IO, 2.447%, 12/20/66***<sup>(WAC)</sup>*** | 17215970 | 882009 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-H04, Class JI, IO, 2.378%, 3/20/68***<sup>(WAC)</sup>*** | 12915057 | 479149 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H04, Class HI, IO, 2.371%, 7/20/65***<sup>(WAC)</sup>*** | 9456036 | 304484 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 13-182, Class SP, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.70%), 2.347%, 12/20/43 | 3040058 | 335835 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H07, Class PI, IO, 2.275%, 3/20/66***<sup>(WAC)</sup>*** | 21065172 | 1460797 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 11-156, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.60%), 2.247%, 4/20/38 | 4430267 | 494144 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H06, Class MI, IO, 2.189%, 2/20/67***<sup>(WAC)</sup>*** | 16701681 | 628818 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H24, IO, 2.139%, 9/20/66***<sup>(WAC)</sup>*** | 12819356 | 962790 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H08, Class EI, IO, 2.134%, 2/20/67***<sup>(WAC)</sup>*** | 12565713 | 541543 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H08, Class NI, IO, 2.097%, 3/20/67***<sup>(WAC)</sup>*** | 10168262 | 420212 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H24, Class HI, IO, 2.088%, 9/20/65***<sup>(WAC)</sup>*** | 3335891 | 56640 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H06, Class HI, IO, 2.06%, 2/20/66***<sup>(WAC)</sup>*** | 10280708 | 435193 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 21-77, Class SM, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 5/20/51 | 11555469 | 1379435 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-133, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 9/20/50 | 9178028 | 1172071 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-112, Class MS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.30%), 1.947%, 8/20/50 | 5659098 | 718026 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H08, Class GI, IO, 1.921%, 2/20/67***<sup>(WAC)</sup>*** | 8549273 | 693549 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H14, Class JI, IO, 1.885%, 6/20/67***<sup>(WAC)</sup>*** | 5591358 | 439828 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H23, Class TI, IO, 1.872%, 9/20/65***<sup>(WAC)</sup>*** | 13420177 | 675035 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 18-89, Class LS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.847%, 6/20/48 | 4044590 | 364729 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 17-156, Class SL, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.847%, 10/20/47 | 4876101 | 445757 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 13-87, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 1.847%, 6/20/43 | 7515655 | 718622 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H23, Class DI, IO, 1.827%, 9/20/65***<sup>(WAC)</sup>*** | 4295512 | 235394 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-35, Class SE, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.824%, 1/16/44 | 5643990 | 344690 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-158, Class AS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.824%, 9/16/43 | 6083653 | 594813 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H23, Class BI, IO, 1.82%, 11/20/67***<sup>(WAC)</sup>*** | 8368286 | 439335 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-56, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.797%, 5/20/49 | 4934690 | 431406 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 10-20, Class SC, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.797%, 2/20/40 | 480614 | 44327 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H10, Class MI, IO, 1.787%, 4/20/67***<sup>(WAC)</sup>*** | 11559553 | 320200 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H14, Class LI, IO, 1.769%, 6/20/67***<sup>(WAC)</sup>*** | 6820358 | 348889 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H09, IO, 1.762%, 4/20/67***<sup>(WAC)</sup>*** | 10031130 | 298687 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-100, Class JS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 8/20/49 | 4090868 | 321289 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 16-80, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 1.747%, 6/20/46 | 7171809 | 746410 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-15, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 2/20/50 | 904409 | 63158 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-125, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 10/20/49 | 8412393 | 1150791 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-110, Class SQ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 9/20/49 | 6493410 | 653044 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-99, Class KS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 8/20/49 | 432398 | 37338 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-78, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.697%, 6/20/49 | 255210 | 18620 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 19-121, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.647%, 10/20/49 | 8415345 | 1141870 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 20-47, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 1.647%, 5/20/44 | 12013085 | 1036129 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-H25, Class BI, IO, 1.611%, 12/20/64***<sup>(WAC)</sup>*** | 12688612 | 418813 |
| &nbsp;&nbsp;&nbsp;&nbsp;IFB Ser. 14-119, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.60%), 1.247%, 8/20/44 | 3403548 | 268329 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-H07, Class FI, IO, 1.186%, 2/20/61***<sup>(WAC)</sup>*** | 11256268 | 283658 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 16-H19, Class AI, IO, 1.167%, 9/20/66***<sup>(WAC)</sup>*** | 23504034 | 940067 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H23, Class NI, IO, 1.057%, 10/20/66***<sup>(WAC)</sup>*** | 23032324 | 760067 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H24, Class JI, IO, 0.988%, 11/20/66***<sup>(WAC)</sup>*** | 3838489 | 187170 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H20, Class CI, IO, 0.799%, 8/20/65***<sup>(WAC)</sup>*** | 19590658 | 1032428 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H14, Class AI, IO, 0.751%, 6/20/65***<sup>(WAC)</sup>*** | 22886743 | 864089 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-H16, Class XI, IO, 0.751%, 7/20/65***<sup>(WAC)</sup>*** | 8667758 | 381381 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H25, Class BI, IO, 0.711%, 10/20/65***<sup>(WAC)</sup>*** | 10395093 | 413725 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H22, Class AI, IO, 0.683%, 9/20/65***<sup>(WAC)</sup>*** | 20102149 | 870423 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H17, Class DI, IO, 0.566%, 7/20/66***<sup>(WAC)</sup>*** | 14369154 | 471222 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-H21, Class AI, IO, 0.436%, 10/20/64***<sup>(WAC)</sup>*** | 15406807 | 494019 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H06, Class DI, IO, 0.362%, 7/20/65***<sup>(WAC)</sup>*** | 14056264 | 290388 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H13, Class AI, IO, 0.351%, 6/20/65***<sup>(WAC)</sup>*** | 13556007 | 516937 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H20, Class AI, IO, 0.233%, 10/20/67***<sup>(WAC)</sup>*** | 20427602 | 1152700 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-H03, Class KI, IO, 0.12%, 1/20/67***<sup>(WAC)</sup>*** | 16308898 | 1278618 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H18, Class QI, IO, 0.078%, 6/20/66***<sup>(WAC)</sup>*** | 13738074 | 639727 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H24, Class KI, IO, 0.076%, 11/20/66***<sup>(WAC)</sup>*** | 7003225 | 326523 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H10, Class HI, IO, 0.046%, 4/20/65***<sup>(WAC)</sup>*** | 15973965 | 528738 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H03, Class AI, IO, 0.021%, 1/20/66***<sup>(WAC)</sup>*** | 10988211 | 358950 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-H04, Class AI, IO, 0.018%, 12/20/64***<sup>(WAC)</sup>*** | 13422163 | 383282 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H04, Class KI, IO, 0.011%, 2/20/66***<sup>(WAC)</sup>*** | 12420858 | 279861 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-H10, Class AI, IO, zero %, 4/20/66***<sup>(WAC)</sup>*** | 19158647 | 366850 |
| GSMPS Mortgage Loan Trust 144A FRB Ser. 99-2, IO, 0.431%, 9/19/27***<sup>(WAC)</sup>*** | 311571 | 779 |
|  |  | **149248713** |
| **Commercial mortgage-backed securities (32.3%)** | **Commercial mortgage-backed securities (32.3%)** | **Commercial mortgage-backed securities (32.3%)** |
| BANK 144A Ser. 18-BN11, Class D, 3.00%, 3/15/61 | 2981000 | 2000559 |
| Barclays Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52 | 1810000 | 1220850 |
| Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45***<sup>(WAC)</sup>*** | 13229 | 12766 |
| Benchmark Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-B3, Class D, 3.036%, 4/10/51***<sup>(WAC)</sup>*** | 3362000 | 2248748 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-B10, Class D, 3.00%, 3/15/62 | 801000 | 522935 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-B11, Class D, 3.00%, 5/15/52 | 2608000 | 1760593 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 18-B1, Class E, 3.00%, 1/15/51***<sup>(WAC)</sup>*** | 1840000 | 899429 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-B13, Class D, 2.50%, 8/15/57 | 1788000 | 1251600 |
| BWAY Mortgage Trust 144A FRB Ser. 22-26BW, Class F, 4.866%, 2/10/44***<sup>(WAC)</sup>*** | 2305000 | 1519645 |
| CD Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-CD3, Class D, 3.25%, 2/10/50 | 2112000 | 1489220 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-CD8, Class D, 3.00%, 8/15/57 | 1450000 | 938585 |
| Citigroup Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-GC15, Class C, 5.162%, 9/10/46***<sup>(WAC)</sup>*** | 1567000 | 1532636 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-GC27, Class C, 4.418%, 2/10/48***<sup>(WAC)</sup>*** | 1731000 | 1590873 |
| Citigroup Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-GC8, Class C, 4.909%, 9/10/45***<sup>(WAC)</sup>*** | 1426727 | 1426727 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-GC27, Class D, 4.418%, 2/10/48***<sup>(WAC)</sup>*** | 1018000 | 891168 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-P1, Class D, 3.225%, 9/15/48 | 3226000 | 2640206 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-GC27, Class E, 3.00%, 2/10/48 | 1743000 | 1332509 |
| COMM Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR16, Class C, 4.917%, 4/10/47***<sup>(WAC)</sup>*** | 2441904 | 2210086 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR13, Class C, 4.876%, 11/10/46***<sup>(WAC)</sup>*** | 1355000 | 1279791 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-UBS3, Class C, 4.736%, 6/10/47***<sup>(WAC)</sup>*** | 956000 | 899449 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-UBS4, Class C, 4.649%, 8/10/47***<sup>(WAC)</sup>*** | 1158060 | 1068159 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-CR26, Class D, 3.467%, 10/10/48***<sup>(WAC)</sup>*** | 1696375 | 1370608 |
| COMM Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC13, Class D, 5.254%, 8/10/46***<sup>(WAC)</sup>*** | 2546000 | 2387079 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR13, Class D, 4.876%, 11/10/46***<sup>(WAC)</sup>*** | 1906000 | 1606038 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR17, Class D, 4.845%, 5/10/47***<sup>(WAC)</sup>*** | 3623000 | 3149778 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-CR19, Class D, 4.697%, 8/10/47***<sup>(WAC)</sup>*** | 2082000 | 1863718 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-CR7, Class D, 4.366%, 3/10/46***<sup>(WAC)</sup>*** | 1442000 | 1294195 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-LC19, Class E, 4.215%, 2/10/48***<sup>(WAC)</sup>*** | 1786000 | 1481092 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 12-CR4, Class B, 3.703%, 10/15/45 | 2419000 | 1983580 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-LC6, Class E, 3.50%, 1/10/46 | 1077000 | 1067436 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-COR2, Class D, 3.00%, 9/10/50 | 2254000 | 1723544 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-COR3, Class D, 2.81%, 5/10/51***<sup>(WAC)</sup>*** | 869000 | 570497 |
| CSAIL Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C3, Class C, 4.359%, 8/15/48***<sup>(WAC)</sup>*** | 922000 | 773123 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C2, Class C, 4.177%, 6/15/57***<sup>(WAC)</sup>*** | 1010000 | 855100 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C2, Class D, 4.177%, 6/15/57***<sup>(WAC)</sup>*** | 3030000 | 2289274 |
| CSAIL Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-C14, Class D, 4.916%, 11/15/51***<sup>(WAC)</sup>*** | 1300000 | 964063 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-C17, Class D, 2.50%, 9/15/52 | 1626000 | 966916 |
| DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.361%, 8/10/44***<sup>(WAC)</sup>*** | 3202539 | 2926160 |
| Federal Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 7.928%, 11/25/51 | 2289000 | 2008995 |
| GS Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.339%, 2/10/46***<sup>(WAC)</sup>*** | 2209000 | 2197825 |
| GS Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC18, Class C, 5.055%, 1/10/47***<sup>(WAC)</sup>*** | 4153000 | 2824040 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC22, Class C, 4.686%, 6/10/47***<sup>(WAC)</sup>*** | 1431000 | 1352428 |
| GS Mortgage Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 10-C1, Class D, 6.355%, 8/10/43***<sup>(WAC)</sup>*** | 842000 | 633204 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-GC24, Class D, 4.532%, 9/10/47***<sup>(WAC)</sup>*** | 4747000 | 3094704 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-GS5, Class D, 3.509%, 3/10/50***<sup>(WAC)</sup>*** | 1021000 | 718905 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-GS2, Class D, 2.753%, 5/10/49 | 1149000 | 873789 |
| JPMBB Commercial Mortgage Securities Trust FRB Ser. 14-C22, Class C, 4.547%, 9/15/47***<sup>(WAC)</sup>*** | 2294000 | 2066048 |
| JPMBB Commercial Mortgage Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. C14, Class D, 4.548%, 8/15/46***<sup>(WAC)</sup>*** | 4088000 | 2224235 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C12, Class E, 4.113%, 7/15/45***<sup>(WAC)</sup>*** | 1235000 | 1114709 |
| JPMCC Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.384%, 9/15/50***<sup>(WAC)</sup>*** | 1453000 | 1168282 |
| JPMDB Commercial Mortgage Securities Trust Ser. 17-C5, Class C, 4.512%, 3/15/50***<sup>(WAC)</sup>*** | 1858000 | 1433101 |
| JPMDB Commercial Mortgage Securities Trust 144A FRB Ser. 16-C2, Class D, 3.335%, 6/15/49***<sup>(WAC)</sup>*** | 2330000 | 1460761 |
| JPMorgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 | 1890522 | 1762111 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-LC11, Class D, 4.231%, 4/15/46***<sup>(WAC)</sup>*** | 2891000 | 2084578 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C10, Class C, 4.181%, 12/15/47***<sup>(WAC)</sup>*** | 1929000 | 1850557 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 13-LC11, Class B, 3.499%, 4/15/46 | 725000 | 615380 |
| JPMorgan Chase Commercial Mortgage Securities Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C3, Class D, 5.525%, 2/15/46***<sup>(WAC)</sup>*** | 2164000 | 1586758 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C3, Class E, 5.525%, 2/15/46***<sup>(WAC)</sup>*** | 1629000 | 705768 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C16, Class D, 5.008%, 12/15/46***<sup>(WAC)</sup>*** | 1295000 | 1228536 |
| Morgan Stanley Bank of America Merrill Lynch Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C25, Class C, 4.526%, 10/15/48***<sup>(WAC)</sup>*** | 1824000 | 1647514 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 14-C16, Class B, 4.315%, 6/15/47***<sup>(WAC)</sup>*** | 1695000 | 1623946 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C9, Class C, 4.014%, 5/15/46***<sup>(WAC)</sup>*** | 946000 | 860832 |
| Morgan Stanley Bank of America Merrill Lynch Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C12, Class D, 4.756%, 10/15/46***<sup>(WAC)</sup>*** | 479000 | 431519 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C12, Class E, 4.756%, 10/15/46***<sup>(WAC)</sup>*** | 2040618 | 1524553 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C6, Class G, 4.50%, 11/15/45***<sup>(WAC)</sup>*** | 1288000 | 824320 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C24, Class E, 4.329%, 5/15/48***<sup>(WAC)</sup>*** | 1780000 | 1410686 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C23, Class D, 4.142%, 7/15/50***<sup>(WAC)</sup>*** | 3439000 | 2906174 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C9, Class D, 4.102%, 5/15/46***<sup>(WAC)</sup>*** | 1234000 | 1084045 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 13-C10, Class F, 4.07%, 7/15/46***<sup>(WAC)</sup>*** | 2316000 | 486996 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 14-C19, Class D, 3.25%, 12/15/47 | 2815000 | 2431296 |
| Morgan Stanley Capital I Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C4, Class E, 5.164%, 3/15/45***<sup>(WAC)</sup>*** | 2436000 | 1778280 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 11-C3, Class E, 5.083%, 7/15/49***<sup>(WAC)</sup>*** | 7724130 | 6584070 |
| Multifamily Connecticut Avenue Securities Trust 144A FRB Ser. 19-01, Class M10, 7.639%, 10/25/49 | 5890866 | 5530845 |
| PFP, Ltd. 144A FRB Ser. 21-8, Class A, 5.326%, 8/9/37 (Cayman Islands) | 1363621 | 1309366 |
| Ready Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 6.79%, 6/25/37 | 1283188 | 1274727 |
| UBS Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.391%, 8/15/50***<sup>(WAC)</sup>*** | 3138000 | 2518556 |
| UBS Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C1, Class D, 6.446%, 5/10/45***<sup>(WAC)</sup>*** | 646014 | 571856 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C1, Class E, 5.00%, 5/10/45***<sup>(WAC)</sup>*** | 2266000 | 883287 |
| UBS-Citigroup Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class D, 6.461%, 1/10/45***<sup>(WAC)</sup>*** | 2552759 | 2292883 |
| Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 18-C46, Class C, 4.985%, 8/15/51***<sup>(WAC)</sup>*** | 823000 | 680842 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 16-NXS5, Class D, 4.982%, 1/15/59***<sup>(WAC)</sup>*** | 2473000 | 2055566 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C31, Class C, 4.596%, 11/15/48***<sup>(WAC)</sup>*** | 1373000 | 1213704 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-SG1, Class B, 4.453%, 9/15/48***<sup>(WAC)</sup>*** | 1653000 | 1446734 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-C50, Class C, 4.345%, 5/15/52 | 935000 | 743115 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C29, Class D, 4.218%, 6/15/48***<sup>(WAC)</sup>*** | 1138000 | 965363 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 20-C57, Class C, 4.023%, 8/15/53***<sup>(WAC)</sup>*** | 788000 | 642205 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 15-C31, Class D, 3.852%, 11/15/48 | 1248000 | 1004922 |
| Wells Fargo Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C31, Class E, 4.596%, 11/15/48***<sup>(WAC)</sup>*** | 1550000 | 1086296 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 15-C30, Class D, 4.498%, 9/15/58***<sup>(WAC)</sup>*** | 1050500 | 880730 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 17-RB1, Class D, 3.401%, 3/15/50 | 1983000 | 1442751 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 16-C33, Class D, 3.123%, 3/15/59 | 2673000 | 2102039 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 20-C55, Class D, 2.50%, 2/15/53 | 1091000 | 682755 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 19-C54, Class D, 2.50%, 12/15/52 | 967000 | 592288 |
| WF-RBS Commercial Mortgage Trust Ser. 14-C21, Class C, 4.234%, 8/15/47***<sup>(WAC)</sup>*** | 2558000 | 2207349 |
| WF-RBS Commercial Mortgage Trust 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ser. 11-C4, Class E, 4.844%, 6/15/44***<sup>(WAC)</sup>*** | 1659568 | 1270718 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C9, Class D, 4.774%, 11/15/45***<sup>(WAC)</sup>*** | 3000774 | 2835326 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C9, Class E, 4.774%, 11/15/45***<sup>(WAC)</sup>*** | 1461000 | 1458046 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 12-C7, Class D, 4.651%, 6/15/45***<sup>(WAC)</sup>*** | 1847000 | 1033483 |
|  |  | **151333432** |
| **Residential mortgage-backed securities (non-agency) (19.0%)** | **Residential mortgage-backed securities (non-agency) (19.0%)** | **Residential mortgage-backed securities (non-agency) (19.0%)** |
| American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 4.579%, 5/25/47 | 5364870 | 2924268 |
| Arroyo Mortgage Trust 144A Ser. 19-3, Class M1, 4.204%, 10/25/48***<sup>(WAC)</sup>*** | 750000 | 587718 |
| Bayview Financial Mortgage Pass-Through Trust Ser. 06-C, Class 1A3, 6.528%, 11/28/36 | 4733844 | 4423817 |
| Bear Stearns Alt-A Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-10, Class 11A1, (ICE LIBOR USD 1 Month + 0.50%), 4.889%, 1/25/36 | 240460 | 307471 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 05-8, Class 21A1, 3.354%, 10/25/35***<sup>(WAC)</sup>*** | 405055 | 334281 |
| Bellemeade Re, Ltd. 144A FRB Ser. 17-1, Class M2, (ICE LIBOR USD 1 Month + 3.35%), 7.739%, 10/25/27 (Bermuda) | 522708 | 522013 |
| Carrington Mortgage Loan Trust FRB Ser. 06-NC2, Class A4, (ICE LIBOR USD 1 Month + 0.24%), 4.869%, 6/25/36 | 3466891 | 3318155 |
| Countrywide Alternative Loan Trust FRB Ser. 06-OA19, Class A1, (ICE LIBOR USD 1 Month + 0.18%), 4.533%, 2/20/47 | 2001570 | 1507726 |
| Countrywide Asset-Backed Certificates FRB Ser. 07-10, Class 1A1, (ICE LIBOR USD 1 Month + 0.18%), 4.569%, 6/25/47 | 4170937 | 3853303 |
| Eagle Re, Ltd. 144A FRB Ser. 20-1, Class B1, (ICE LIBOR USD 1 Month + 2.85%), 7.239%, 1/25/30 | 765000 | 693961 |
| Federal Home Loan Mortgage Corporation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (ICE LIBOR USD 1 Month + 9.35%), 13.739%, 4/25/28 | 329591 | 338363 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (ICE LIBOR USD 1 Month + 8.80%), 13.189%, 3/25/28 | 2713761 | 2715097 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (ICE LIBOR USD 1 Month + 5.00%), 9.389%, 12/25/28 | 2761803 | 2864702 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Debt FRN Ser. 17-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.75%), 9.139%, 12/25/29 | 250000 | 261878 |
| Federal Home Loan Mortgage Corporation 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.25%), 15.639%, 4/25/49 | 637000 | 670229 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (ICE LIBOR USD 1 Month + 11.00%), 15.389%, 10/25/48 | 2108000 | 2278165 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (ICE LIBOR USD 1 Month + 10.75%), 15.139%, 1/25/49 | 4520000 | 4899161 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (ICE LIBOR USD 1 Month + 10.50%), 14.889%, 3/25/49 | 282000 | 302082 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 14.389%, 8/25/50 | 2647000 | 2875304 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (ICE LIBOR USD 1 Month + 10.00%), 14.389%, 7/25/50 | 916000 | 991570 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-DNA4, Class B2, (ICE LIBOR USD 1 Month + 6.25%), 10.639%, 10/25/49 | 1070000 | 1006417 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (ICE LIBOR USD 1 Month + 5.75%), 10.139%, 7/25/50 | 1335841 | 1375675 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 19-FTR3, Class FTR3, (ICE LIBOR USD 1 Month + 4.80%), 8.816%, 9/25/47 | 371000 | 296800 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B1, (ICE LIBOR USD 1 Month + 4.25%), 8.639%, 10/25/48 | 1347000 | 1378665 |
| &nbsp;&nbsp;&nbsp;&nbsp;Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (ICE LIBOR USD 1 Month + 3.70%), 8.089%, 12/25/30 | 2018000 | 2020686 |
| &nbsp;&nbsp;&nbsp;&nbsp;Seasoned Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58***<sup>(WAC)</sup>*** | 1129000 | 962999 |
| &nbsp;&nbsp;&nbsp;&nbsp;Seasoned Credit Risk Transfer Trust FRB Ser. 18-3, Class 3, 4.75%, 8/25/57***<sup>(WAC)</sup>*** | 876000 | 766857 |
| &nbsp;&nbsp;&nbsp;&nbsp;Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59***<sup>(WAC)</sup>*** | 485000 | 412575 |
| Federal National Mortgage Association |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, (ICE LIBOR USD 1 Month + 12.75%), 17.139%, 10/25/28 | 467250 | 506482 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (ICE LIBOR USD 1 Month + 11.75%), 16.139%, 10/25/28 | 2822011 | 3059201 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C04, Class 1B, (ICE LIBOR USD 1 Month + 10.25%), 14.639%, 1/25/29 | 780811 | 811994 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C06, Class 1B, (ICE LIBOR USD 1 Month + 9.25%), 13.639%, 4/25/29 | 505475 | 508040 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 9.889%, 9/25/29 | 1518000 | 1646373 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, (ICE LIBOR USD 1 Month + 5.30%), 9.689%, 10/25/28 | 450931 | 473896 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C07, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 8.839%, 5/25/30 | 2739000 | 2818861 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.45%), 8.839%, 2/25/30 | 3203000 | 3285080 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C06, Class 1B1, (ICE LIBOR USD 1 Month + 4.15%), 8.539%, 2/25/30 | 3742000 | 3897338 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 18-C06, Class 2B1, (ICE LIBOR USD 1 Month + 4.10%), 8.489%, 3/25/31 | 1273000 | 1290582 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C07, Class 1B1, (ICE LIBOR USD 1 Month + 4.00%), 8.389%, 5/25/30 | 3800000 | 3893553 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 18-C06, Class 1B1, (ICE LIBOR USD 1 Month + 3.75%), 8.139%, 3/25/31 | 1687000 | 1690583 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 18-C03, Class 1B1, (ICE LIBOR USD 1 Month + 3.75%), 8.139%, 10/25/30 | 1154000 | 1165540 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (ICE LIBOR USD 1 Month + 3.60%), 7.989%, 1/25/30 | 2577000 | 2606965 |
| Federal National Mortgage Association 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1B1, (ICE LIBOR USD 1 Month + 6.75%), 11.139%, 2/25/40 | 2355000 | 2102945 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2B1, (ICE LIBOR USD 1 Month + 4.35%), 8.739%, 7/25/31 | 653000 | 665244 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (ICE LIBOR USD 1 Month + 3.65%), 8.039%, 2/25/40 | 1887000 | 1863666 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (ICE LIBOR USD 1 Month + 3.25%), 7.639%, 1/25/40 | 347000 | 323241 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2B1, (ICE LIBOR USD 1 Month + 3.00%), 7.389%, 1/25/40 | 311000 | 279604 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 6.928%, 1/25/42 | 2198000 | 2072303 |
| &nbsp;&nbsp;&nbsp;&nbsp;Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (ICE LIBOR USD 1 Month + 2.45%), 6.839%, 7/25/31 | 13225 | 13192 |
| HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (ICE LIBOR USD 1 Month + 0.52%), 4.859%, 5/19/35 | 969633 | 326561 |
| Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 8.078%, 1/25/34 (Bermuda) | 1000000 | 839263 |
| JPMorgan Alternative Loan Trust FRB Ser. 06-A6, Class 1A1, (ICE LIBOR USD 1 Month + 0.32%), 4.709%, 11/25/36 | 1369647 | 1184578 |
| LHOME Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.09%, 2/25/26***<sup>(WAC)</sup>*** | 511000 | 485450 |
| Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE9, Class M2, (ICE LIBOR USD 1 Month + 0.93%), 5.319%, 11/25/34 | 280468 | 260298 |
| Oaktown Re III, Ltd. 144A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-1A, Class B1B, (ICE LIBOR USD 1 Month + 4.35%), 8.739%, 7/25/29 (Bermuda) | 695000 | 701147 |
| &nbsp;&nbsp;&nbsp;&nbsp;FRB Ser. 19-1A, Class B1A, (ICE LIBOR USD 1 Month + 3.50%), 7.889%, 7/25/29 (Bermuda) | 574000 | 566600 |
| Radnor Re, Ltd. 144A Mortgage Insurance-Linked FRN Ser. 20-1, Class B1, (ICE LIBOR USD 1 Month + 3.00%), 7.389%, 1/25/30 | 430000 | 385285 |
| Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1BG, (ICE LIBOR USD 1 Month + 0.12%), 4.509%, 8/25/36 | 235135 | 199675 |
| Toorak Mortgage Corp., Ltd. 144A Ser. 20-1, Class A1, 2.734%, 3/25/23***<sup>(WAC)</sup>*** | 2130845 | 2031281 |
| Towd Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58***<sup>(WAC)</sup>*** | 862000 | 735974 |
| WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR8, Class 2AC2, (ICE LIBOR USD 1 Month + 0.92%), 5.309%, 7/25/45 | 587798 | 512046 |
| Wells Fargo Home Equity Asset-Backed Securities Trust FRB Ser. 07-2, Class A3, (ICE LIBOR USD 1 Month + 0.23%), 4.619%, 4/25/37 | 694298 | 668672 |
|  |  | **88761451** |
| **Total mortgage-backed securities (cost $435,484,039)** |  | **$389343596** |

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------

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| | | |
|:---|:---|:---|
| **ASSET-BACKED SECURITIES (0.5%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (0.5%)***<sup>(a)</sup>*** | **ASSET-BACKED SECURITIES (0.5%)***<sup>(a)</sup>*** |
| | **Principal amount** | **Value** |
| 1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 | $1273787 | $1257865 |
| Mello Warehouse Securitization Trust 144A FRB Ser. 21-3, Class D, (ICE LIBOR USD 1 Month + 2.00%), 6.389%, 11/25/55 | 1216000 | 1102668 |
| **Total asset-backed securities (cost $2,430,507)** |  | **$2360533** |

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------

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| | | | |
|:---|:---|:---|:---|
| **SHORT-TERM INVESTMENTS (18.2%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (18.2%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (18.2%)***<sup>(a)</sup>*** | **SHORT-TERM INVESTMENTS (18.2%)***<sup>(a)</sup>*** |
| | | **Principal amount/<br>shares** | **Value** |
| Putnam Government Money Market Fund Class P 3.93%***<sup>(AFF)</sup>*** | Shares | 10000 | $10000 |
| Putnam Short Term Investment Fund Class P 4.53%***<sup>(AFF)</sup>*** | Shares | 42731463 | 42731463 |
| State Street Institutional U.S. Government Money Market Fund, Premier Class 4.12%***<sup>(P)</sup>*** | Shares | 17308000 | 17308000 |
| U.S. Treasury Bills 4.015%, 1/10/23***<sup>(SEGSF)(SEGCCS)</sup>*** |  | $2700000 | 2698101 |
| U.S. Treasury Bills 3.812%, 2/2/23***<sup>(SEGSF)(SEGCCS)(SEGTBA)</sup>*** |  | 12100000 | 12061609 |
| U.S. Treasury Bills 3.712%, 1/24/23***<sup>(SEGSF)(SEGCCS)</sup>*** |  | 1000000 | 997760 |
| U.S. Treasury Bills 3.981%, 1/3/23***<sup>(SEG)(SEGSF)(SEGCCS)</sup>*** |  | 9300000 | 9300000 |
| **Total short-term investments (cost $85,104,040)** |  |  | **$85106933** |
| **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** | **TOTAL INVESTMENTS** |
| **Total investments (cost $1,353,966,317)** |  |  | **$1303407905** |

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------

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FUTURES CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** |
| | **Number of contracts** | **Notional<br>amount** | **Value** | &nbsp;&nbsp;&nbsp;**Expiration date** | **Unrealized<br>appreciation/<br>(depreciation)** |
| U.S. Treasury Note 2 yr (Short) | 909 | $186416017 | $186416017 | &nbsp;&nbsp;&nbsp;Mar-23 | $(202101) |
| **Unrealized appreciation** |  |  |  |  | **—** |
| **Unrealized (depreciation)** |  |  |  |  | **(202101)** |
| **Total** |  |  |  |  | **$(202101)** |

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------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** |
| **Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date** | **Expiration date/strike** | **Notional/<br> Contract amount** | **Premium receivable/<br> (payable)** | **Unrealized<br>appreciation/<br>(depreciation)** |
| **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** | **Bank of America N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.39)/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 | $176037200 | $(2024428) | $4510073 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.39/US SOFR/Dec-26 (Purchased) | Dec-24/1.39 | 176037200 | (2024428) | (1242823) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.085)/3 month USD-LIBOR-ICE/Apr-34 (Written) | Apr-24/1.085 | 115721600 | 1588279 | 1270623 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.17/3 month USD-LIBOR-ICE/Apr-34 (Purchased) | Apr-24/2.17 | 57860800 | (2794677) | (2136799) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.073)/US SOFR/Jun-37 (Written) | Jun-27/3.073 | 53614900 | 3900484 | 614427 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.073/US SOFR/Jun-37 (Written) | Jun-27/3.073 | 53614900 | 3900484 | (592981) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.32)/US SOFR/Oct-39 (Purchased) | Oct-29/3.32 | 39112600 | (3109452) | 126334 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.32/US SOFR/Oct-39 (Purchased) | Oct-29/3.32 | 39112600 | (3109452) | (91915) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.17)/US SOFR/Dec-35 (Purchased) | Dec-25/3.17 | 32653500 | (1697982) | 570783 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.67/US SOFR/Dec-35 (Purchased) | Dec-25/2.67 | 32653500 | (1665329) | (366372) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.18)/US SOFR/Dec-35 (Purchased) | Dec-25/3.18 | 31673900 | (1599532) | 583750 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.68/US SOFR/Dec-35 (Purchased) | Dec-25/2.68 | 31673900 | (1599532) | (332259) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.29)/3 month USD-LIBOR-ICE/Mar-34 (Written) | Mar-24/1.29 | 28930400 | 451314 | 363655 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.101)/US SOFR/Jun-39 (Written) | Jun-29/3.101 | 21231500 | 1658180 | 199788 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.101/US SOFR/Jun-39 (Written) | Jun-29/3.101 | 21231500 | 1658180 | (232273) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.29/3 month USD-LIBOR-ICE/Mar-34 (Purchased) | Mar-24/2.29 | 20251300 | (996075) | (762259) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.343)/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 | 19953000 | (1293952) | 1796 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.343/US SOFR/Dec-35 (Purchased) | Dec-25/3.343 | 19953000 | (1293952) | (798) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) | Mar-30/1.275 | 12942000 | (1685696) | 2021670 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) | Mar-30/1.275 | 12942000 | (1685696) | (1051149) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.558)/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 | 12352300 | (1825670) | 281262 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.558/US SOFR/Dec-57 (Purchased) | Dec-27/2.558 | 12352300 | (1825670) | (417137) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.47)/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 | 9034500 | (1341623) | 274558 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.47/US SOFR/Dec-57 (Purchased) | Dec-27/2.47 | 9034500 | (1341623) | (365536) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.405)/US SOFR/Dec-58 (Purchased) | Dec-28/1.405 | 2526100 | (387441) | 359691 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.405/US SOFR/Dec-58 (Purchased) | Dec-28/1.405 | 2526100 | (387441) | (217497) |
| **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** | **Barclays Bank PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.232)/3 month USD-LIBOR-ICE/Jun-51 (Purchased) | Jun-31/2.232 | 12539500 | (1519160) | 907233 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.232/3 month USD-LIBOR-ICE/Jun-51 (Purchased) | Jun-31/2.232 | 12539500 | (1519160) | (572930) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.09)/US SOFR/Dec-42 (Purchased) | Dec-32/3.09 | 4715100 | (383573) | 44463 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.09/US SOFR/Dec-42 (Purchased) | Dec-32/3.09 | 4715100 | (383573) | (21689) |
| **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** | **Citibank, N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.752)/3 month USD-LIBOR-ICE/Dec-31 (Purchased) | Dec-26/1.752 | 86001300 | (2803642) | 4628590 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.752/3 month USD-LIBOR-ICE/Dec-31 (Purchased) | Dec-26/1.752 | 86001300 | (2803642) | (1538563) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.90)/3 month USD-LIBOR-ICE/Jun-28 (Purchased) | Jun-26/1.90 | 71961800 | (959251) | 1532786 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.90/3 month USD-LIBOR-ICE/Jun-28 (Purchased) | Jun-26/1.90 | 71961800 | (959251) | (425294) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.99)/US SOFR/Feb-42 (Purchased) | Feb-32/1.99 | 23191700 | (1826346) | 1244699 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.99/US SOFR/Feb-42 (Purchased) | Feb-32/1.99 | 23191700 | (1826346) | (708506) |
| &nbsp;&nbsp;&nbsp;&nbsp;2.394/US SOFR/Sep-33 (Purchased) | Sep-23/2.394 | 22133600 | (267817) | (74590) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.826)/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 | 17079100 | (1261292) | 1107067 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.826/US SOFR/Jan-42 (Purchased) | Jan-32/1.826 | 17079100 | (1261292) | (510324) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.625)/3 month USD-LIBOR-ICE/Jan-61 (Purchased) | Jan-41/1.625 | 14080100 | (2076815) | 642897 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.625/3 month USD-LIBOR-ICE/Jan-61 (Purchased) | Jan-41/1.625 | 14080100 | (2076815) | (450422) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.724)/US SOFR/Mar-53 (Purchased) | Mar-23/1.724 | 9762800 | (736603) | 1949338 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.724/US SOFR/Mar-53 (Purchased) | Mar-23/1.724 | 9762800 | (736603) | (730062) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.735)/US SOFR/Mar-53 (Purchased) | Mar-23/1.735 | 8812200 | (651442) | 1754245 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.735/US SOFR/Mar-53 (Purchased) | Mar-23/1.735 | 8812200 | (651442) | (645406) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.285)/3 month USD-LIBOR-ICE/Mar-51 (Purchased) | Mar-41/2.285 | 8587600 | (741539) | 149682 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.285/3 month USD-LIBOR-ICE/Mar-51 (Purchased) | Mar-41/2.285 | 8587600 | (741539) | (81153) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.427)/3 month USD-LIBOR-ICE/Jun-41 (Purchased) | Jun-31/2.427 | 6879800 | (501193) | 358300 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.427/3 month USD-LIBOR-ICE/Jun-41 (Purchased) | Jun-31/2.427 | 6879800 | (501193) | (175985) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.75)/US SOFR/Mar-53 (Purchased) | Mar-23/1.75 | 5918800 | (443022) | 1156652 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.75/US SOFR/Mar-53 (Purchased) | Mar-23/1.75 | 5918800 | (443022) | (438997) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.689)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.689 | 4579000 | (589546) | 173361 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.689/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.689 | 4579000 | (589546) | (358856) |
| **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
| &nbsp;&nbsp;&nbsp;&nbsp;3.92/US SOFR/Feb-33 (Purchased) | Feb-23/3.92 | 22530900 | (492300) | 307997 |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.92)/US SOFR/Feb-33 (Purchased) | Feb-23/3.92 | 22530900 | (492300) | (394741) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) | Mar-27/2.8175 | 4497500 | (567809) | 132991 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) | Mar-27/2.8175 | 4497500 | (567809) | (242235) |
| **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** | **JPMorgan Chase Bank N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.70)/US SOFR/Jan-29 (Written) | Jan-24/1.70 | 27464600 | 586026 | 457011 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.70/US SOFR/Jan-29 (Written) | Jan-24/1.70 | 27464600 | 586026 | (1565208) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.0175)/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 | 24704500 | (2081354) | 236669 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.0175/US SOFR/Dec-42 (Purchased) | Dec-32/3.0175 | 24704500 | (2081354) | (214929) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.031)/3 month USD-LIBOR-ICE/Feb-41 (Purchased) | Feb-31/2.031 | 10707100 | (732366) | 795323 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.031/3 month USD-LIBOR-ICE/Feb-41 (Purchased) | Feb-31/2.031 | 10707100 | (732366) | (317251) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.985)/3 month USD-LIBOR-ICE/Jan-41 (Purchased) | Jan-31/1.985 | 7647900 | (524646) | 583764 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.985/3 month USD-LIBOR-ICE/Jan-41 (Purchased) | Jan-31/1.985 | 7647900 | (524646) | (233032) |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.81)/US SOFR/Jan-37 (Written) | Jan-27/1.81 | 4234200 | 250241 | 136214 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.81/US SOFR/Jan-37 (Written) | Jan-27/1.81 | 4234200 | 250241 | (346569) |
| **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.505)/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.505 | 4579000 | (701503) | 167134 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.505/3 month USD-LIBOR-ICE/Nov-49 (Purchased) | Nov-24/2.505 | 4579000 | (492700) | (304641) |
| &nbsp;&nbsp;&nbsp;&nbsp;(3.27)/3 month USD-LIBOR-ICE/Oct-53 (Purchased) | Oct-23/3.27 | 219200 | (25011) | (5820) |
| &nbsp;&nbsp;&nbsp;&nbsp;3.27/3 month USD-LIBOR-ICE/Oct-53 (Purchased) | Oct-23/3.27 | 219200 | (25011) | (11309) |
| **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** | **Toronto-Dominion Bank** |
| &nbsp;&nbsp;&nbsp;&nbsp;(1.937)/3 month USD-LIBOR-ICE/Feb-36 (Purchased) | Feb-26/1.937 | 5742300 | (300322) | 540523 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.937/3 month USD-LIBOR-ICE/Feb-36 (Purchased) | Feb-26/1.937 | 5742300 | (300322) | (186625) |
| &nbsp;&nbsp;&nbsp;&nbsp;(2.405)/3 month USD-LIBOR-ICE/Mar-41 (Purchased) | Mar-31/2.405 | 2820300 | (196716) | 157373 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.405/3 month USD-LIBOR-ICE/Mar-41 (Purchased) | Mar-31/2.405 | 2820300 | (196716) | (68420) |
| **Wells Fargo Bank, N.A.** | **Wells Fargo Bank, N.A.** | **Wells Fargo Bank, N.A.** | **Wells Fargo Bank, N.A.** | **Wells Fargo Bank, N.A.** |
| &nbsp;&nbsp;&nbsp;&nbsp;3.0575/US SOFR/Jan-33 (Purchased) | Jan-23/3.0575 | 24703100 | (186508) | (180580) |
| **Unrealized appreciation** |  |  |  | **30342722** |
| **Unrealized (depreciation)** |  |  |  | **(18613935)** |
| **Total** |  |  |  | **$11728787** |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** |
| **Swap counterparty/<br>notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;**Payments made by fund** | **Payments received by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
| **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
| $50000000 | $1024500 | $1162857 | 9/21/27 | &nbsp;&nbsp;3.30% — Annually | US SOFR — Annually | $2181665 |
| 370000000 | 7422200 | 2201886 | 9/21/24 | &nbsp;&nbsp;3.40% — Annually | US SOFR — Annually | 9663251 |
| **Upfront premium received** | **Upfront premium received** | **3364743** |  | **Unrealized appreciation** | **Unrealized appreciation** | **11844916** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **—** |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **—** |
|  | **Total** | **$3364743** |  |  | **Total** | **$11844916** |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** | **CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/22 (Unaudited)** |
|  | **Notional amount** | **Notional amount** | **Value** | **Upfront premium received (paid)** | **Termi-<br> nation<br>date** | &nbsp;&nbsp;**Payments made by fund** | **Payments received by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  |  | $17746600 | $3333699 | $743348 | 9/1/32 | &nbsp;&nbsp;3 month USD-LIBOR-ICE — Quarterly | 1.512% — Semiannually | $(2573658) |
|  |  | 30378000 | 1221499 | 1468 | 12/23/23 | &nbsp;&nbsp;0.695% — Annually | US SOFR — Annually | 1250356 |
|  |  | 28248000 | 2869714 | 2428 | 12/23/26 | &nbsp;&nbsp;1.085% — Annually | US SOFR — Annually | 2894857 |
|  |  | 44700000 | 7759026 | (11629) | 12/23/31 | &nbsp;&nbsp;US SOFR — Annually | 1.285% — Annually | (7804364) |
|  |  | 16940000 | 5593419 | (30163) | 12/23/51 | &nbsp;&nbsp;US SOFR — Annually | 1.437% — Annually | (5635712) |
|  |  | 77601000 | 3118784 | (7896) | 12/24/23 | &nbsp;&nbsp;0.697% — Annually | US SOFR — Annually | 3141960 |
|  |  | 8211000 | 831200 | 523 | 12/24/26 | &nbsp;&nbsp;US SOFR — Annually | 1.096% — Annually | (833601) |
|  |  | 75507000 | 13108770 | (33708) | 12/24/31 | &nbsp;&nbsp;1.285% — Annually | US SOFR — Annually | 13100363 |
|  |  | 10717000 | 3542504 | (5792) | 12/24/51 | &nbsp;&nbsp;1.435% — Annually | US SOFR — Annually | 3540125 |
|  |  | 2051000 | 644055 | (334) | 12/31/51 | &nbsp;&nbsp;1.525% — Annually | US SOFR — Annually | 644037 |
|  |  | 4905000 | 491138 | (651) | 12/31/26 | &nbsp;&nbsp;US SOFR — Annually | 1.135% — Annually | (492651) |
|  |  | 2561900 | 168983 ***<sup>(E)</sup>*** | (57) | 1/15/47 | &nbsp;&nbsp;1.724% — Annually | US SOFR — Annually | 168926 |
|  |  | 9386000 | 2684021 | (320) | 1/21/52 | &nbsp;&nbsp;1.679% — Annually | US SOFR — Annually | 2669187 |
|  |  | 9856000 | 2914222 | (336) | 1/19/52 | &nbsp;&nbsp;US SOFR — Annually | 1.626% — Annually | (2922031) |
|  |  | 18503000 | 5375492 | (631) | 2/1/52 | &nbsp;&nbsp;1.6545% — Annually | US SOFR — Annually | 5354176 |
|  |  | 10668100 | 944020 ***<sup>(E)</sup>*** | (364) | 2/13/57 | &nbsp;&nbsp;1.68% — Annually | US SOFR — Annually | 943656 |
|  |  | 24475300 | 6188580 | (835) | 2/24/52 | &nbsp;&nbsp;US SOFR — Annually | 1.86% — Annually | (6144101) |
|  |  | 1881000 | 507663 | (64) | 2/29/52 | &nbsp;&nbsp;1.7674% — Annually | US SOFR — Annually | 507138 |
|  |  | 5733000 | 805200 | (76) | 2/29/32 | &nbsp;&nbsp;US SOFR — Annually | 1.75% — Annually | (800999) |
|  |  | 13299000 | 1096769 | (108) | 2/28/27 | &nbsp;&nbsp;1.675% — Annually | US SOFR — Annually | 1124681 |
|  |  | 11772000 | 447925 | (45) | 2/29/24 | &nbsp;&nbsp;US SOFR — Annually | 1.47709% — Annually | (492358) |
|  |  | 7332800 | 1068829 | (97) | 3/7/32 | &nbsp;&nbsp;3 month USD-LIBOR-ICE — Quarterly | 1.9575% — Semiannually | (1047525) |
|  |  | 20619900 | 3227633 | (273) | 3/9/32 | &nbsp;&nbsp;1.5475% — Annually | US SOFR — Annually | 3268756 |
|  |  | 21379100 | 3356519 | (283) | 3/9/32 | &nbsp;&nbsp;1.5415% — Annually | US SOFR — Annually | 3402862 |
|  |  | 11271000 | 1599580 | (149) | 3/11/32 | &nbsp;&nbsp;1.737% — Annually | US SOFR — Annually | 1603417 |
|  |  | 14228000 | 415315 | (54) | 4/7/24 | &nbsp;&nbsp;2.45% — Annually | US SOFR — Annually | 386118 |
|  |  | 12816000 | 680145 | (104) | 4/7/27 | &nbsp;&nbsp;2.469% — Annually | US SOFR — Annually | 631323 |
|  |  | 11968000 | 1155032 | (159) | 4/7/23 | &nbsp;&nbsp;2.3305% — Annually | US SOFR — Annually | 1122597 |
|  |  | 2606000 | 543169 | (89) | 4/7/52 | &nbsp;&nbsp;2.1015% — Annually | US SOFR — Annually | 538401 |
|  |  | 8956000 | 1473172 | (305) | 4/14/52 | &nbsp;&nbsp;US SOFR — Annually | 2.3395% — Annually | (1437697) |
|  |  | 2050000 | 171565 | (27) | 4/14/32 | &nbsp;&nbsp;US SOFR — Annually | 2.4965% — Annually | (161219) |
|  |  | 9554000 | 503018 | (77) | 4/14/27 | &nbsp;&nbsp;2.483% — Annually | US SOFR — Annually | 465339 |
|  |  | 5859000 | 176297 | (22) | 4/14/24 | &nbsp;&nbsp;2.405% — Annually | US SOFR — Annually | 168680 |
|  |  | 51844600 | 2333525 | (489) | 5/2/27 | &nbsp;&nbsp;US SOFR — Annually | 2.685% — Annually | (2223441) |
|  |  | 96127500 | 2837684 | (362) | 5/25/24 | &nbsp;&nbsp;2.5945% — Annually | US SOFR — Annually | 2806800 |
|  |  | 10207000 | 1373046 | (348) | 5/25/52 | &nbsp;&nbsp;US SOFR — Annually | 2.501% — Annually | (1358808) |
|  |  | 25683000 | 1646537 | (341) | 6/7/32 | &nbsp;&nbsp;US SOFR — Annually | 2.7565% — Annually | (1575285) |
|  |  | 6150000 | 689231 | (210) | 6/7/52 | &nbsp;&nbsp;US SOFR — Annually | 2.622% — Annually | (682066) |
|  |  | 82198300 | 4825040 | (1090) | 6/8/32 | &nbsp;&nbsp;US SOFR — Annually | 2.825% — Annually | (4698001) |
|  |  | 9706600 | 2151274 | (1218311) | 6/22/52 | &nbsp;&nbsp;2.3075% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 940100 |
|  |  | 23054000 | 616925 | (87) | 6/10/24 | &nbsp;&nbsp;US SOFR — Annually | 2.833% — Annually | (563575) |
|  |  | 19230000 | 784007 | (156) | 6/10/27 | &nbsp;&nbsp;2.8025% — Annually | US SOFR — Annually | 743035 |
|  |  | 124460000 | 2477999 | (469) | 6/15/24 | &nbsp;&nbsp;US SOFR — Annually | 3.3385% — Annually | (2055873) |
|  |  | 64279000 | 1628830 | (520) | 6/15/27 | &nbsp;&nbsp;3.185% — Annually | US SOFR — Annually | 1464871 |
|  |  | 12203100 | 702899 ***<sup>(E)</sup>*** | (173) | 2/3/33 | &nbsp;&nbsp;3.13% — Semiannually | 3 month USD-LIBOR-ICE — Quarterly | 702726 |
|  |  | 3707000 | 446175 | (126) | 7/8/52 | &nbsp;&nbsp;US SOFR — Annually | 2.5765% — Annually | (448198) |
|  |  | 12761000 | 858943 | (169) | 7/15/32 | &nbsp;&nbsp;US SOFR — Annually | 2.723% — Annually | (857741) |
|  |  | 19187400 | 1598310 ***<sup>(E)</sup>*** | (272) | 1/31/33 | &nbsp;&nbsp;2.545% — Annually | US SOFR — Annually | 1598039 |
|  |  | 19187400 | 1590444 ***<sup>(E)</sup>*** | (272) | 1/31/33 | &nbsp;&nbsp;2.55% — Annually | US SOFR — Annually | 1590172 |
|  |  | 18071900 | 1579846 ***<sup>(E)</sup>*** | (256) | 2/1/33 | &nbsp;&nbsp;2.495% — Annually | US SOFR — Annually | 1579590 |
|  |  | 26054000 | 2378730 | (345) | 8/2/32 | &nbsp;&nbsp;US SOFR — Annually | 2.4275% — Annually | (2439982) |
|  |  | 17670300 | 1673201 ***<sup>(E)</sup>*** | (250) | 2/1/33 | &nbsp;&nbsp;2.4075% — Annually | US SOFR — Annually | 1672951 |
|  |  | 4084700 | 183852 ***<sup>(E)</sup>*** | (80) | 4/1/42 | &nbsp;&nbsp;US SOFR — Annually | 2.63% — Annually | (183932) |
|  |  | 3345600 | 241519 ***<sup>(E)</sup>*** | (50) | 3/24/35 | &nbsp;&nbsp;US SOFR — Annually | 2.39% — Annually | (241569) |
|  |  | 5261700 | 613199 | (155) | 8/10/42 | &nbsp;&nbsp;2.645% — Annually | US SOFR — Annually | 623501 |
|  |  | 8918100 | 1089524 | (19883) | 8/10/42 | &nbsp;&nbsp;US SOFR — Annually | 2.605% — Annually | (1126827) |
|  |  | 3656500 | 453662 | (108) | 8/10/42 | &nbsp;&nbsp;2.5915% — Annually | US SOFR — Annually | 460872 |
|  |  | 20916000 | 884119 ***<sup>(E)</sup>*** | (197) | 2/6/29 | &nbsp;&nbsp;2.40% — Annually | US SOFR — Annually | 883923 |
|  |  | 29796000 | 2282970 | (393) | 8/16/32 | &nbsp;&nbsp;US SOFR — Annually | 2.613% — Annually | (2342112) |
|  |  | 3797800 | 97983 ***<sup>(E)</sup>*** | (84) | 1/15/47 | &nbsp;&nbsp;2.49% — Annually | US SOFR — Annually | 97899 |
|  |  | 16263000 | 593112 ***<sup>(E)</sup>*** | (317) | 11/29/38 | &nbsp;&nbsp;US SOFR — Annually | 2.87% — Annually | (593429) |
|  |  | 3069000 | 127855 ***<sup>(E)</sup>*** | (46) | 2/21/35 | &nbsp;&nbsp;2.785% — Annually | US SOFR — Annually | 127809 |
|  |  | 57204000 | 1128635 | (215) | 9/6/24 | &nbsp;&nbsp;US SOFR — Annually | 3.413% — Annually | (1106345) |
|  |  | 18902800 | 163887 ***<sup>(E)</sup>*** | (105) | 1/15/27 | &nbsp;&nbsp;US SOFR — Annually | 2.73% — Annually | (163992) |
|  |  | 29214700 | 1231984 | (386) | 9/13/32 | &nbsp;&nbsp;3.043% — Annually | US SOFR — Annually | 1256058 |
|  |  | 9830400 | 219218 ***<sup>(E)</sup>*** | (192) | 1/15/41 | &nbsp;&nbsp;3.0500% — Annually | US SOFR — Annually | 219026 |
|  |  | 1933500 | 46752 ***<sup>(E)</sup>*** | (38) | 1/15/42 | &nbsp;&nbsp;2.9825% — Annually | US SOFR — Annually | 46714 |
|  |  | 6879000 | 403660 | (234) | 9/26/52 | &nbsp;&nbsp;2.905% — Annually | US SOFR — Annually | 413117 |
|  |  | 35771000 | 479331 | (336) | 9/26/27 | &nbsp;&nbsp;US SOFR — Annually | 3.465% — Annually | (476087) |
|  |  | 4174000 | 89616 ***<sup>(E)</sup>*** | (142) | 2/13/57 | &nbsp;&nbsp;2.40% — Annually | US SOFR — Annually | 89474 |
|  |  | 21097000 | 402953 | (278) | 9/23/32 | &nbsp;&nbsp;3.3275% — Annually | US SOFR — Annually | 410550 |
|  |  | 1708706 | 77575 | (58) | 9/28/52 | &nbsp;&nbsp;2.976% — Annually | US SOFR — Annually | 79737 |
|  |  | 9910000 | 55694 | (131) | 9/30/32 | &nbsp;&nbsp;3.493% — Annually | US SOFR — Annually | 56839 |
|  |  | 9785000 | 80922 | (129) | 10/4/32 | &nbsp;&nbsp;US SOFR — Annually | 3.4605% — Annually | (81181) |
|  |  | 5036000 | 36511 | (66) | 10/4/23 | &nbsp;&nbsp;US SOFR — Annually | 3.473% — Annually | (36489) |
|  |  | 4426700 | 12439 ***<sup>(E)</sup>*** | (62) | 10/3/33 | &nbsp;&nbsp;3.394% — Annually | US SOFR — Annually | 12377 |
|  |  | 25412000 | 27699 | (205) | 10/4/27 | &nbsp;&nbsp;3.75% — Annually | US SOFR — Annually | 9644 |
|  |  | 26632000 | 207996 | (352) | 10/5/32 | &nbsp;&nbsp;US SOFR — Annually | 3.466% — Annually | (210902) |
|  |  | 6233000 | 116183 ***<sup>(E)</sup>*** | (94) | 10/21/36 | &nbsp;&nbsp;US SOFR — Annually | 3.116% — Annually | (116277) |
|  |  | 1516000 | 27015 ***<sup>(E)</sup>*** | (21) | 1/11/33 | &nbsp;&nbsp;US SOFR — Annually | 3.34% — Annually | (27037) |
|  |  | 5355000 | 93927 ***<sup>(E)</sup>*** | (76) | 1/31/33 | &nbsp;&nbsp;US SOFR — Annually | 3.337% — Annually | (94002) |
|  |  | 5355000 | 95694 ***<sup>(E)</sup>*** | (76) | 1/31/33 | &nbsp;&nbsp;US SOFR — Annually | 3.333% — Annually | (95769) |
|  |  | 21863000 | 378011 ***<sup>(E)</sup>*** | (308) | 8/23/33 | &nbsp;&nbsp;US SOFR — Annually | 3.237% — Annually | (378320) |
|  |  | 4998000 | 92263 ***<sup>(E)</sup>*** | (70) | 2/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.3255% — Annually | (92334) |
|  |  | 21022000 | 375873 ***<sup>(E)</sup>*** | (296) | 9/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.225% — Annually | (376170) |
|  |  | 6296000 | 110558 | (89) | 11/14/32 | &nbsp;&nbsp;3.347% — Annually | US SOFR — Annually | 113332 |
|  |  | 2233000 | 115669 ***<sup>(E)</sup>*** | (76) | 2/3/53 | &nbsp;&nbsp;2.9275% — Annually | US SOFR — Annually | 115593 |
|  |  | 4194000 | 83544 ***<sup>(E)</sup>*** | (59) | 2/1/33 | &nbsp;&nbsp;US SOFR — Annually | 3.308% — Annually | (83604) |
|  |  | 11294000 | 366264 ***<sup>(E)</sup>*** | (384) | 12/2/55 | &nbsp;&nbsp;2.81% — Annually | US SOFR — Annually | 365880 |
|  |  | 54209000 | 375668 | (203) | 10/7/24 | &nbsp;&nbsp;US SOFR — Annually | 4.1845% — Annually | (298480) |
|  |  | 14969000 | 74845 | (198) | 10/7/32 | &nbsp;&nbsp;3.5005% — Annually | US SOFR — Annually | 70086 |
|  |  | 108418000 | 741579 | 24824 | 10/7/24 | &nbsp;&nbsp;4.19% — Annually | US SOFR — Annually | 610167 |
|  |  | 42669000 | 81924 | (10088) | 10/7/27 | &nbsp;&nbsp;US SOFR — Annually | 3.73% — Annually | (77412) |
|  |  | 145033000 | 730966 | (57019) | 10/7/32 | &nbsp;&nbsp;3.50% — Annually | US SOFR — Annually | 704008 |
|  |  | 29938000 | 126638 | (28668) | 10/7/32 | &nbsp;&nbsp;US SOFR — Annually | 3.51% — Annually | (160796) |
|  |  | 52540000 | 1656061 | 35186 | 10/7/52 | &nbsp;&nbsp;US SOFR — Annually | 3.05% — Annually | (1688245) |
|  |  | 17536000 | 29636 ***<sup>(E)</sup>*** | (121) | 4/8/28 | &nbsp;&nbsp;3.44% — Annually | US SOFR — Annually | (29757) |
|  |  | 47813000 | 59766 ***<sup>(E)</sup>*** | (179) | 1/31/25 | &nbsp;&nbsp;US SOFR — Annually | 4.035% — Annually | 59587 |
|  |  | 4940600 | 43181 ***<sup>(E)</sup>*** | (70) | 1/17/33 | &nbsp;&nbsp;3.6575% — Annually | US SOFR — Annually | (43251) |
|  |  | 2624000 | 26791 ***<sup>(E)</sup>*** | (89) | 1/16/55 | &nbsp;&nbsp;2.97% — Annually | US SOFR — Annually | 26702 |
|  |  | 36069000 | 116864 ***<sup>(E)</sup>*** | (200) | 1/16/26 | &nbsp;&nbsp;US SOFR — Annually | 3.605% — Annually | 116663 |
|  |  | 654000 | 14604 | (22) | 10/20/52 | &nbsp;&nbsp;US SOFR — Annually | 3.3375% — Annually | 14407 |
|  |  | 3106400 | 58959 ***<sup>(E)</sup>*** | (106) | 1/24/55 | &nbsp;&nbsp;3.135% — Annually | US SOFR — Annually | (59065) |
|  |  | 6852500 | 92372 ***<sup>(E)</sup>*** | (64) | 4/13/28 | &nbsp;&nbsp;3.965% — Annually | US SOFR — Annually | (92436) |
|  |  | 2266200 | 40860 ***<sup>(E)</sup>*** | (34) | 4/4/35 | &nbsp;&nbsp;3.5575% — Annually | US SOFR — Annually | (40894) |
|  |  | 4532400 | 52032 ***<sup>(E)</sup>*** | (51) | 5/8/30 | &nbsp;&nbsp;US SOFR — Annually | 3.52% — Annually | 51981 |
|  |  | 6205100 | 15202 ***<sup>(E)</sup>*** | (54) | 4/4/32 | &nbsp;&nbsp;3.515% — Annually | US SOFR — Annually | (15256) |
|  |  | 4243200 | 84397 ***<sup>(E)</sup>*** | (64) | 2/19/36 | &nbsp;&nbsp;US SOFR — Annually | 3.6145% — Annually | 84334 |
|  |  | 3145000 | 62082 ***<sup>(E)</sup>*** | (47) | 3/3/36 | &nbsp;&nbsp;US SOFR — Annually | 3.614% — Annually | 62035 |
|  |  | 13510256 | 600126 | (459) | 10/24/52 | &nbsp;&nbsp;US SOFR — Annually | 3.4555% — Annually | 596391 |
|  |  | 65519800 | 260114 ***<sup>(E)</sup>*** | (246) | 6/26/25 | &nbsp;&nbsp;US SOFR — Annually | 4.31% — Annually | 259868 |
|  |  | 13314700 | 397976 ***<sup>(E)</sup>*** | (188) | 12/4/33 | &nbsp;&nbsp;US SOFR — Annually | 3.77% — Annually | 397789 |
|  |  | 5329700 | 70992 ***<sup>(E)</sup>*** | (60) | 3/24/32 | &nbsp;&nbsp;US SOFR — Annually | 3.64% — Annually | 70932 |
|  |  | 27502000 | 109458 | (103) | 11/9/24 | &nbsp;&nbsp;US SOFR — Annually | 4.7655% — Annually | 161265 |
|  |  | 16700000 | 149298 | (220) | 11/21/32 | &nbsp;&nbsp;3.4515% — Annually | US SOFR — Annually | 158482 |
|  |  | 2122800 | 14499 | (28) | 11/25/32 | &nbsp;&nbsp;3.477% — Annually | US SOFR — Annually | 14399 |
|  |  | 32520000 | 91056 | (122) | 12/5/24 | &nbsp;&nbsp;4.3515% — Annually | US SOFR — Annually | 72306 |
|  |  | 7900000 | 274288 | (104) | 12/9/32 | &nbsp;&nbsp;3.14% — Annually | US SOFR — Annually | 274576 |
|  |  | 2409200 | 177269 ***<sup>(E)</sup>*** | (82) | 12/10/57 | &nbsp;&nbsp;2.47% — Annually | US SOFR — Annually | 177187 |
|  |  | 3088100 | 183032 ***<sup>(E)</sup>*** | (105) | 12/13/57 | &nbsp;&nbsp;2.558% — Annually | US SOFR — Annually | 182927 |
|  |  | 38918000 | 175909 ***<sup>(E)</sup>*** | 128784 | 3/15/25 | &nbsp;&nbsp;US SOFR — Annually | 4.10% — Annually | (47125) |
|  |  | 176109000 | 75727 ***<sup>(E)</sup>*** | 706899 | 3/15/28 | &nbsp;&nbsp;3.70% — Annually | US SOFR — Annually | 631172 |
|  |  | 169869000 | 3237703 ***<sup>(E)</sup>*** | (2377831) | 3/15/33 | &nbsp;&nbsp;3.30% — Annually | US SOFR — Annually | 859872 |
|  |  | 48403000 | 2641836 ***<sup>(E)</sup>*** | 2365953 | 3/15/53 | &nbsp;&nbsp;US SOFR — Annually | 2.90% — Annually | (275883) |
|  |  | 10434000 | 78046 | (136) | 12/29/32 | &nbsp;&nbsp;3.468% — Annually | US SOFR — Annually | 78629 |
|  |  | 8593000 | 32825 | (292) | 12/29/52 | &nbsp;&nbsp;US SOFR — Annually | 3.1925% — Annually | (33911) |
|  |  | 5731000 | 16391 | (76) | 12/29/32 | &nbsp;&nbsp;3.5235% — Annually | US SOFR — Annually | 16686 |
|  |  | 3790000 | 37900 | (129) | 12/30/52 | &nbsp;&nbsp;3.1595% — Annually | US SOFR — Annually | 38011 |
|  |  | 2661000 | 17563 | (90) | 12/30/52 | &nbsp;&nbsp;3.248% — Annually | US SOFR — Annually | (17498) |
|  |  | 29385000 | 22333 | (388) | 1/3/33 | &nbsp;&nbsp;US SOFR — Annually | 3.5475% — Annually | (22720) |
|  |  | 44695000 | 42460 | (360) | 1/3/28 | &nbsp;&nbsp;3.7245% — Annually | US SOFR — Annually | 42100 |
|  |  | 7055000 | 18272 | (93) | 1/3/33 | &nbsp;&nbsp;US SOFR — Annually | 3.5255% — Annually | (18366) |
|  | **Total** |  |  | **$186339** |  |  |  | **$13243787** |
| ***<sup>(E)</sup>*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** | ***Extended effective date.*** |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 12/31/22 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | &nbsp;&nbsp;**Rating\*\*\*** | **Upfront premium received (paid)\*\*** | **Notional<br>amount** | **Value** | **Termi-<br> nation<br>date** | **Payments received<br>by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | &nbsp;&nbsp;BB-/P | $42375 | $75000 | $16058 | 11/18/54 | 500 bp — Monthly | $26390 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 75581 | 756000 | 199357 | 12/16/72 | 500 bp — Monthly | (123042) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 78819 | 865000 | 228101 | 12/16/72 | 500 bp — Monthly | (148441) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 82147 | 901000 | 237594 | 12/16/72 | 500 bp — Monthly | (154571) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 129386 | 1371000 | 361533 | 12/16/72 | 500 bp — Monthly | (230814) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.14 Index | &nbsp;&nbsp;BB/P | 169285 | 1544000 | 368707 | 12/16/72 | 500 bp — Monthly | (197922) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 617410 | 1053584 | 403101 | 5/11/63 | 500 bp — Monthly | 215334 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 36851 | 181000 | 56327 | 9/17/58 | 500 bp — Monthly | (19300) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 287137 | 1406000 | 437547 | 9/17/58 | 500 bp — Monthly | (149043) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | &nbsp;&nbsp;B/P | 1102022 | 1964000 | 611197 | 9/17/58 | 500 bp — Monthly | 492735 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | &nbsp;&nbsp;BB+/P | 89090 | 718000 | 124429 | 11/17/59 | 300 bp — Monthly | (34920) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | &nbsp;&nbsp;BB+/P | 96874 | 888000 | 153890 | 11/17/59 | 300 bp — Monthly | (56498) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | &nbsp;&nbsp;BBB-/P | 59693 | 953000 | 144665 | 11/18/54 | 300 bp — Monthly | (84417) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 17539 | 200000 | 40600 | 12/16/72 | 300 bp — Monthly | (22944) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 90654 | 493000 | 100079 | 12/16/72 | 300 bp — Monthly | (9137) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 10885 | 220000 | 40920 | 12/16/72 | 300 bp — Monthly | (29907) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 13829 | 369000 | 68634 | 12/16/72 | 300 bp — Monthly | (54590) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 45229 | 433000 | 83006 | 11/18/64 | 300 bp — Monthly | (37525) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15Index | &nbsp;&nbsp;BBB-/P | 40101 | 236000 | 45241 | 11/18/64 | 300 bp — Monthly | (5003) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 36784 | 275000 | 91740 | 1/17/47 | 500 bp — Monthly | (54688) |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | 88593 | 1540000 | 133056 | 12/16/72 | 200 bp — Monthly | (43864) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.7 Index | &nbsp;&nbsp;BBB+/P | (1645) | 1128000 | 64296 | 1/17/47 | 200 bp — Monthly | (65502) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.14 Index | &nbsp;&nbsp;BB/P | 244888 | 1573000 | 375632 | 12/16/72 | 500 bp — Monthly | (129215) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 1232340 | 2469531 | 944842 | 5/11/63 | 500 bp — Monthly | 289898 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 59391 | 175000 | 58380 | 1/17/47 | 500 bp — Monthly | 1181 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 77674 | 231000 | 77062 | 1/17/47 | 500 bp — Monthly | 837 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 131040 | 416000 | 138778 | 1/17/47 | 500 bp — Monthly | (7333) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | &nbsp;&nbsp;BBB-/P | 64 | 1000 | 152 | 11/18/54 | 300 bp — Monthly | (88) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 13523 | 79000 | 16037 | 12/16/72 | 300 bp — Monthly | (2468) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 175307 | 1024000 | 190464 | 12/16/72 | 300 bp — Monthly | (14560) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 426305 | 2806000 | 521916 | 12/16/72 | 300 bp — Monthly | (93974) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 26714 | 430000 | 82431 | 11/18/64 | 300 bp — Monthly | (55466) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 53068 | 596000 | 114253 | 11/18/64 | 300 bp — Monthly | (60838) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 55090 | 596000 | 114253 | 11/18/64 | 300 bp — Monthly | (58816) |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (2765) | 470000 | 40608 | 12/16/72 | 200 bp — Monthly | (43190) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | &nbsp;&nbsp;B/P | 28886 | 360000 | 114768 | 5/11/63 | 500 bp — Monthly | (85532) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 16440 | 48000 | 16013 | 1/17/47 | 500 bp — Monthly | 474 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 158648 | 324000 | 108086 | 1/17/47 | 500 bp — Monthly | 50877 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 81687 | 618000 | 125454 | 12/16/72 | 300 bp — Monthly | (43407) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | &nbsp;&nbsp;BB/P | 103543 | 664000 | 105576 | 10/17/57 | 300 bp — Monthly | (1646) |
|  | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 186736 | 1141782 | 436846 | 5/11/63 | 500 bp — Monthly | (248999) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 20331 | 168000 | 56045 | 1/17/47 | 500 bp — Monthly | (35550) |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (2643) | 210000 | 18144 | 12/16/72 | 200 bp — Monthly | (20705) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (3557) | 267000 | 23069 | 12/16/72 | 200 bp — Monthly | (26522) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (3172) | 285000 | 24624 | 12/16/72 | 200 bp — Monthly | (27685) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (2423) | 412000 | 35597 | 12/16/72 | 200 bp — Monthly | (37860) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (8390) | 667000 | 57629 | 12/16/72 | 200 bp — Monthly | (65759) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | 9383 | 734000 | 63418 | 12/16/72 | 200 bp — Monthly | (53749) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (13795) | 930000 | 80352 | 12/16/72 | 200 bp — Monthly | (93785) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (14491) | 930000 | 80352 | 12/16/72 | 200 bp — Monthly | (94481) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (14491) | 930000 | 80352 | 12/16/72 | 200 bp — Monthly | (94481) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.14 Index | &nbsp;&nbsp;A-/P | (19650) | 1395000 | 120528 | 12/16/72 | 200 bp — Monthly | (139635) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.15 Index | &nbsp;&nbsp;A-/P | 3624 | 177000 | 16284 | 11/18/64 | 200 bp — Monthly | (12591) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | &nbsp;&nbsp;A/P | (2510) | 149992 | 20189 | 5/11/63 | 200 bp — Monthly | (22634) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 575 | 6000 | 1582 | 12/16/72 | 500 bp — Monthly | (1001) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 14044 | 151000 | 39819 | 12/16/72 | 500 bp — Monthly | (25628) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 14439 | 153000 | 40346 | 12/16/72 | 500 bp — Monthly | (25758) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 26993 | 294000 | 77528 | 12/16/72 | 500 bp — Monthly | (50249) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 55818 | 301000 | 79374 | 12/16/72 | 500 bp — Monthly | (23264) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 33293 | 363000 | 95723 | 12/16/72 | 500 bp — Monthly | (62077) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 61324 | 673000 | 177470 | 12/16/72 | 500 bp — Monthly | (115492) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.13 Index | &nbsp;&nbsp;BB-/P | 80638 | 873000 | 230210 | 12/16/72 | 500 bp — Monthly | (148724) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 8315 | 31450 | 12033 | 5/11/63 | 500 bp — Monthly | (3688) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 24114 | 78626 | 30082 | 5/11/63 | 500 bp — Monthly | (5892) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 67200 | 109392 | 41853 | 5/11/63 | 500 bp — Monthly | 25453 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | &nbsp;&nbsp;B/P | 73122 | 144945 | 55456 | 5/11/63 | 500 bp — Monthly | 17807 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | &nbsp;&nbsp;B-/P | 146668 | 437000 | 145783 | 1/17/47 | 500 bp — Monthly | 1310 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 223 | 3000 | 609 | 12/16/72 | 300 bp — Monthly | (384) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.13 Index | &nbsp;&nbsp;BBB-/P | 1016 | 5000 | 1015 | 12/16/72 | 300 bp — Monthly | 4 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 115353 | 716000 | 133176 | 12/16/72 | 300 bp — Monthly | (17405) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 185929 | 1130000 | 210180 | 12/16/72 | 300 bp — Monthly | (23592) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.14 Index | &nbsp;&nbsp;BBB-/P | 375208 | 2260000 | 420360 | 12/16/72 | 300 bp — Monthly | (43833) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 23408 | 415000 | 79556 | 11/18/64 | 300 bp — Monthly | (55906) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.15 Index | &nbsp;&nbsp;BBB-/P | 58932 | 642000 | 123071 | 11/18/64 | 300 bp — Monthly | (63765) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.7 Index | &nbsp;&nbsp;BB-/P | 9392 | 138000 | 29546 | 1/17/47 | 300 bp — Monthly | (20074) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | &nbsp;&nbsp;BB+/P | 47282 | 487000 | 91848 | 9/17/58 | 300 bp — Monthly | (44282) |
| **Upfront premium received** | **Upfront premium received** | **Upfront premium received** | **7738252** |  | **Unrealized appreciation** | **Unrealized appreciation** | **Unrealized appreciation** | **1122300** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **Upfront premium (paid)** | **(89532)** |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(3824111)** |
|  | **Total** |  | **$7648720** |  |  |  | **Total** | **$(2701811)** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |
| ***\*\*\**** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** | ***Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at December 31, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.*** |

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** | **OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 12/31/22 (Unaudited)** |
|  | **Swap counterparty/<br>referenced debt\*** | **Upfront premium received (paid)\*\*** | **Notional amount** | **Value** | **Termi-<br> nation<br>date** | **Payments (paid) by fund** | **Unrealized<br>appreciation/<br>(depreciation)** |
|  | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** | **Citigroup Global Markets, Inc.** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | $(20929) | $115590 | $15558 | 5/11/63 | (200 bp) — Monthly | $(5420) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (2545) | 14219 | 1914 | 5/11/63 | (200 bp) — Monthly | (637) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (1459) | 8256 | 1111 | 5/11/63 | (200 bp) — Monthly | (351) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (821) | 4587 | 617 | 5/11/63 | (200 bp) — Monthly | (206) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (821) | 4587 | 617 | 5/11/63 | (200 bp) — Monthly | (206) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA A.6 Index | (483) | 2752 | 370 | 5/11/63 | (200 bp) — Monthly | (114) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (15241) | 139000 | 44313 | 11/17/59 | (500 bp) — Monthly | 28937 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (11793) | 113000 | 36024 | 11/17/59 | (500 bp) — Monthly | 24122 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (4242) | 45000 | 9635 | 11/18/54 | (500 bp) — Monthly | 5349 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (3887) | 30000 | 6423 | 11/18/54 | (500 bp) — Monthly | 2507 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.6 Index | (11333) | 54012 | 20665 | 5/11/63 | (500 bp) — Monthly | 9280 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.7 Index | (105844) | 2074000 | 691886 | 1/17/47 | (500 bp) — Monthly | 581309 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (155393) | 435807 | 157326 | 10/17/57 | (500 bp) — Monthly | 1510 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (486410) | 2829000 | 490266 | 11/17/59 | (300 bp) — Monthly | 2205 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (326142) | 1405000 | 243487 | 11/17/59 | (300 bp) — Monthly | (83475) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (234757) | 984000 | 170527 | 11/17/59 | (300 bp) — Monthly | (64804) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (143198) | 656000 | 113685 | 11/17/59 | (300 bp) — Monthly | (29896) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (136239) | 626000 | 108486 | 11/17/59 | (300 bp) — Monthly | (28118) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (62719) | 492000 | 85264 | 11/17/59 | (300 bp) — Monthly | 22258 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (115406) | 469000 | 81278 | 11/17/59 | (300 bp) — Monthly | (34401) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (97719) | 328000 | 56842 | 11/17/59 | (300 bp) — Monthly | (41068) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (12748) | 100000 | 17330 | 11/17/59 | (300 bp) — Monthly | 4524 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (2569) | 21000 | 3639 | 11/17/59 | (300 bp) — Monthly | 1058 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (159306) | 497000 | 75445 | 11/18/54 | (300 bp) — Monthly | (84151) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (48685) | 149000 | 22618 | 11/18/54 | (300 bp) — Monthly | (26154) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (21489) | 146000 | 22163 | 11/18/54 | (300 bp) — Monthly | 589 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (540439) | 1618000 | 292534 | 8/17/61 | (300 bp) — Monthly | (248849) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (529327) | 1502000 | 271562 | 8/17/61 | (300 bp) — Monthly | (258642) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (256604) | 1460000 | 263968 | 8/17/61 | (300 bp) — Monthly | 6512 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (206461) | 915000 | 165432 | 8/17/61 | (300 bp) — Monthly | (41563) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (53286) | 888000 | 160550 | 8/17/61 | (300 bp) — Monthly | 106747 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (113989) | 671000 | 121317 | 8/17/61 | (300 bp) — Monthly | 6937 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (74871) | 213000 | 38510 | 8/17/61 | (300 bp) — Monthly | (36485) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (338892) | 2144000 | 340896 | 10/17/57 | (300 bp) — Monthly | 753 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (199245) | 1436000 | 228324 | 10/17/57 | (300 bp) — Monthly | 28241 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (117188) | 750000 | 119250 | 10/17/57 | (300 bp) — Monthly | 1625 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (99623) | 718000 | 114162 | 10/17/57 | (300 bp) — Monthly | 14121 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (108544) | 684000 | 108756 | 10/17/57 | (300 bp) — Monthly | (187) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (52318) | 393000 | 62487 | 10/17/57 | (300 bp) — Monthly | 9940 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.9 Index | (251259) | 1062000 | 200293 | 9/17/58 | (300 bp) — Monthly | (51586) |
|  | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** | **Credit Suisse International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (46565) | 349000 | 111261 | 11/17/59 | (500 bp) — Monthly | 64357 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (41383) | 348000 | 110942 | 11/17/59 | (500 bp) — Monthly | 69221 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (22747) | 183000 | 58340 | 11/17/59 | (500 bp) — Monthly | 35416 |
|  | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** | **Goldman Sachs International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (47893) | 125621 | 45349 | 10/17/57 | (500 bp) — Monthly | (2666) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (301266) | 1891000 | 588479 | 9/17/58 | (500 bp) — Monthly | 285375 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (208068) | 1317000 | 409850 | 9/17/58 | (500 bp) — Monthly | 200502 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (43422) | 271000 | 84335 | 9/17/58 | (500 bp) — Monthly | 40650 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (22287) | 140000 | 43568 | 9/17/58 | (500 bp) — Monthly | 21145 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (342536) | 1918000 | 346774 | 8/17/61 | (300 bp) — Monthly | 3119 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (26169) | 146000 | 26397 | 8/17/61 | (300 bp) — Monthly | 143 |
|  | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** | **JPMorgan Securities LLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.11 Index | (111197) | 147680 | 56502 | 5/11/63 | (500 bp) — Monthly | (54838) |
|  | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** | **Merrill Lynch International** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (19118) | 336000 | 107117 | 11/17/59 | (500 bp) — Monthly | 87672 |
|  | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** | **Morgan Stanley & Co. International PLC** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (196526) | 647000 | 206264 | 11/17/59 | (500 bp) — Monthly | 9108 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.10 Index | (16780) | 160000 | 51008 | 11/17/59 | (500 bp) — Monthly | 34072 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (397971) | 1109328 | 400467 | 10/17/57 | (500 bp) — Monthly | 1417 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (234901) | 643565 | 232327 | 10/17/57 | (500 bp) — Monthly | (3200) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (111807) | 306321 | 110582 | 10/17/57 | (500 bp) — Monthly | (1523) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.8 Index | (12320) | 32855 | 11861 | 10/17/57 | (500 bp) — Monthly | (492) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BB.9 Index | (3804) | 28000 | 8714 | 9/17/58 | (500 bp) — Monthly | 4883 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (196183) | 1590000 | 275547 | 11/17/59 | (300 bp) — Monthly | 78437 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (151882) | 623000 | 107966 | 11/17/59 | (300 bp) — Monthly | (44280) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (49002) | 226000 | 39166 | 11/17/59 | (300 bp) — Monthly | (9968) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (43032) | 199000 | 34487 | 11/17/59 | (300 bp) — Monthly | (8662) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (23716) | 187000 | 32407 | 11/17/59 | (300 bp) — Monthly | 8582 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (36186) | 153000 | 26515 | 11/17/59 | (300 bp) — Monthly | (9761) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.10 Index | (13217) | 126000 | 21836 | 11/17/59 | (300 bp) — Monthly | 8545 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.11 Index | (25498) | 162000 | 24592 | 11/18/54 | (300 bp) — Monthly | (1001) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (68165) | 300000 | 54240 | 8/17/61 | (300 bp) — Monthly | (14100) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (54047) | 259000 | 46827 | 8/17/61 | (300 bp) — Monthly | (7370) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (50930) | 246000 | 44477 | 8/17/61 | (300 bp) — Monthly | (6597) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.12 Index | (72026) | 233000 | 42126 | 8/17/61 | (300 bp) — Monthly | (30036) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (84840) | 606000 | 96354 | 10/17/57 | (300 bp) — Monthly | 11161 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (93274) | 602000 | 95718 | 10/17/57 | (300 bp) — Monthly | 2093 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (74279) | 584000 | 92856 | 10/17/57 | (300 bp) — Monthly | 18238 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;CMBX NA BBB-.8 Index | (2053) | 15000 | 2385 | 10/17/57 | (300 bp) — Monthly | 323 |
| **Upfront premium received** | **Upfront premium received** | **—** |  |  | **Unrealized appreciation** | **Unrealized appreciation** | **1842983** |
| **Upfront premium (paid)** | **Upfront premium (paid)** | **(8369314)** |  |  | **Unrealized (depreciation)** | **Unrealized (depreciation)** | **(1230807)** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Total** | **$(8369314)** |  |  |  | **Total** | **$612176** |
| ***\**** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** | ***Payments related to the referenced debt are made upon a credit default event.*** |
| ***\*\**** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** | ***Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.*** |

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------

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| | | |
|:---|:---|:---|
|  | ***Key to holding's abbreviations*** | ***Key to holding's abbreviations*** |
| bp | Basis Points | Basis Points |
| FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. |
| ICE | Intercontinental Exchange | Intercontinental Exchange |
| IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. |
| IO | Interest Only | Interest Only |
| LIBOR | London Interbank Offered Rate | London Interbank Offered Rate |
| OTC | Over-the-counter | Over-the-counter |
| PO | Principal Only | Principal Only |
| REMIC | Real Estate Mortgage Investment Conduits | Real Estate Mortgage Investment Conduits |
| SOFR | Secured Overnight Financing Rate | Secured Overnight Financing Rate |
| TBA | To Be Announced Commitments | To Be Announced Commitments |
|  | **Notes to the fund's portfolio** | **Notes to the fund's portfolio** |
|  | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2022 through December 31, 2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. | Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1, 2022 through December 31, 2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 *Fair Value Measurements and Disclosures* and references to "OTC", if any, represent over-the-counter. |
| ***<sup>(a)</sup>*** | Percentages indicated are based on net assets of $468,224,473. | Percentages indicated are based on net assets of $468,224,473. |
| ***<sup>(AFF)</sup>*** | Affiliated company. For investments in Putnam Government Money Market Fund and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | Affiliated company. For investments in Putnam Government Money Market Fund and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Name of affiliate** | **Shares outstanding<br>and fair<br>value as of<br>12/31/22** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;**Short-term investments** |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Putnam Government Money Market Fund\* | $10000 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;Putnam Short Term Investment Fund\*\* | 42731463 |
|  | **Total Short-term investments** | **$42741463** |
|  | \* Management fees incurred through investment in Putnam Government Money Market Fund have been waived by the fund. There were no realized or unrealized gains or losses during the period. | \* Management fees incurred through investment in Putnam Government Money Market Fund have been waived by the fund. There were no realized or unrealized gains or losses during the period. |
|  | \*\* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | \*\* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. |
| ***<sup>(SEG)</sup>*** | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $1,623,350. | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $1,623,350. |
| ***<sup>(SEGSF)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $2,863,389. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $2,863,389. |
| ***<sup>(SEGTBA)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $2,454,626. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $2,454,626. |
| ***<sup>(SEGCCS)</sup>*** | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $8,541,665. | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $8,541,665. |
| ***<sup>(i)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. |
| ***<sup>(P)</sup>*** | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. |
| ***<sup>(WAC)</sup>*** | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. |
|  | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. |
|  | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
|  | The dates shown on debt obligations are the original maturity dates. | The dates shown on debt obligations are the original maturity dates. |
|  | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | **Security valuation:** Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. |
|  | Investments, including mortgage backed securities and short-term investments with remaining maturities of 60 days or less, are valued on the basis of valuations provided by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such service providers use information with respect to transactions in bonds, quotations from bond dealers, market transactions in comparable securities and various relationships between securities in determining value. These securities will generally be categorized as Level 2. | Investments, including mortgage backed securities and short-term investments with remaining maturities of 60 days or less, are valued on the basis of valuations provided by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such service providers use information with respect to transactions in bonds, quotations from bond dealers, market transactions in comparable securities and various relationships between securities in determining value. These securities will generally be categorized as Level 2. |
|  | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. |
|  | Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. |
|  | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. |
|  | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. | **Stripped securities:** The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. |
|  | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks. | **Options contracts:** The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks. |
|  | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. | The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. |
|  | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. | Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. |
|  | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. | Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. |
|  | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. | For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. |
|  | **Futures contracts:** The fund used futures contracts to hedge treasury term structure risk and for yield curve positioning. | **Futures contracts:** The fund used futures contracts to hedge treasury term structure risk and for yield curve positioning. |
|  | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. |
|  | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". | Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin". |
|  | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. | For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. |
|  | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to hedge term structure risk and for yield curve positioning. | **Interest rate swap contracts:** The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to hedge term structure risk and for yield curve positioning. |
|  | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. | An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. |
|  | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. | The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. |
|  | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes. |
|  | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure to specific sectors. | **Credit default contracts:** The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure to specific sectors. |
|  | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. | In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss. |
|  | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. | In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount. |
|  | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. | For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes. |
|  | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. | **TBA commitments:** The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. |
|  | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. |
|  | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. | TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. |
|  | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. | Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. |
|  | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. | **Master agreements:** The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. |
|  | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. | Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty. |
|  | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. | With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity. |
|  | At the close of the reporting period, the fund had a net liability position of $2,964,557 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,863,389 and may include amounts related to unsettled agreements. | At the close of the reporting period, the fund had a net liability position of $2,964,557 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,863,389 and may include amounts related to unsettled agreements. |

---

------

---

| | | | |
|:---|:---|:---|:---|
| ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 1:** Valuations based on quoted prices for identical securities in active markets. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 2:** Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. |
| &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. | &nbsp;&nbsp;&nbsp;&nbsp;**Level 3:** Valuations based on inputs that are unobservable and significant to the fair value measurement. |
| The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Investments in securities:** | **Level 1** | **Level 2** | **Level 3** |
| Asset-backed securities | $— | $2360533 | $— |
| Mortgage-backed securities |  | 389343596 |  |
| U.S. government and agency mortgage obligations |  | 822218862 |  |
| U.S. treasury obligations |  | 4377981 |  |
| Short-term investments | 17318000 | 67788933 |  |
| **Totals by level** | **$17318000** | **$1286089905** | **$—** |
|  | **Valuation inputs** | **Valuation inputs** | **Valuation inputs** |
| **Other financial instruments:** | **Level 1** | **Level 2** | **Level 3** |
| Futures contracts | $(202101) | $— | $— |
| Forward premium swap option contracts |  | 11728787 |  |
| Interest rate swap contracts |  | 21537621 |  |
| Credit default contracts |  | (1369041) |  |
| **Totals by level** | **$(202101)** | **$31897367** | **$—** |
| The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased swap option contracts (contract amount) | $1575500000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Written swap option contracts (contract amount) | $611900000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Futures contracts (number of contracts) | 900 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC interest rate swap contracts (notional) | $420000000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Centrally cleared interest rate swap contracts (notional) | $2753100000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OTC credit default contracts (notional) | $94500000 |  |  |
| For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com | For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com |

---

## 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:** 1-800-225-1581

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

- **a. Name of Series:** Putnam Mortgage 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:** 2023-09-30

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1354648416.72

**Total Liabilities:** $885965526.82

**Net Assets:** $468682889.47

**Cash Not Reported:** $103133.40

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0 | **1-Year:** 59532.92 | **5-Year:** 134687.75 | **10-Year:** 224519.32 | **30-Year:** 67931.63

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

- **3-Month:** 0 | **1-Year:** 0 | **5-Year:** 0 | **10-Year:** 0 | **30-Year:** 0

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000200295 | 0.07%                | 4.41%                | -2.12%               |
| Class ID C000017924 | 0.08%                | 4.19%                | -2.11%               |
| Class ID C000017922 | 0.04%                | 4.32%                | -2.13%               |
| Class ID C000017923 | 0.08%                | 4.16%                | -2.11%               |
| Class ID C000017926 | 0.01%                | 4.35%                | -2.18%               |
| Class ID C000017927 | 0.06%                | 4.29%                | -2.03%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $20661786.27             | $-29580494.28                              |
| Month 2  | $-20828749.81            | $51406257.08                               |
| Month 3  | $-28235184.30            | $4477406.44                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CWABS ASSET-BACKED CERTIFICATES TRUST 2007-10                               | ASSET BACKED SECURITY                 | CUSIP: 23246BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4170936 | PA      | $3853302.58   | 0.82%             | 2047-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-NC2                              | ASSET BACKED SECURITY                 | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3466891 | PA      | $3318155.48   | 0.71%             | 2036-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY ASSET-BACKED SECURITIES 2007-2 TRUST                | ASSET BACKED SECURITY                 | CUSIP: 9497EYAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    694298 | PA      | $668681.39    | 0.14%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I INC TRUST 2004-HE9                             | ASSET BACKED SECURITY                 | CUSIP: 61744CJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280468 | PA      | $260297.67    | 0.06%             | 2034-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                            | ASSET BACKED SECURITY                 | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    862000 | PA      | $735973.96    | 0.16%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4                           | ASSET BACKED SECURITY                 | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    485000 | PA      | $412575.05    | 0.09%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL MORTGAGE PASS-THROUGH TRUST 2006-C                        | ASSET BACKED SECURITY                 | CUSIP: 07325DAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4733844 | PA      | $4423817.00   | 0.94%             | 2036-11-28      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| COMM 2013-LC6 MORTGAGE TRUST                                                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 20048EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1077000 | PA      | $1067436.24   | 0.23%             | 2046-01-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C55                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95002EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1091000 | PA      | $682755.33    | 0.15%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    788000 | PA      | $642205.34    | 0.14%             | 2053-08-15      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| BWAY 2022-26BW MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12429EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2305000 | PA      | $1519645.01   | 0.32%             | 2044-02-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| PFP 2021-8 LTD                                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 69357XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1363621 | PA      | $1309366.31   | 0.28%             | 2037-08-09      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17323CAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1731000 | PA      | $1590872.95   | 0.34%             | 2048-02-10      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |   3030000 | PA      | $2289274.08   | 0.49%             | 2057-06-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2289000 | PA      | $2008995.33   | 0.43%             | 2051-11-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2022-FL9 LLC                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 75574EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1283188 | PA      | $1274727.15   | 0.27%             | 2037-06-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |   1010000 | PA      | $855099.94    | 0.18%             | 2057-06-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC19 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 200474AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1786000 | PA      | $1481092.47   | 0.32%             | 2048-02-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C24                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61765LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1780000 | PA      | $1410685.60   | 0.30%             | 2048-05-15      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B1 MORTGAGE TRUST                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08162PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1840000 | PA      | $899428.80    | 0.19%             | 2051-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17323CAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1743000 | PA      | $1332508.51   | 0.28%             | 2048-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C2                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46590LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2330000 | PA      | $1460760.65   | 0.31%             | 2049-06-15      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS5                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000CBJ1<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |   2473000 | PA      | $2055566.01   | 0.44%             | 2059-01-15      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |   2673000 | PA      | $2102039.18   | 0.45%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2012-C1                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    646014 | PA      | $571855.69    | 0.12%             | 2045-05-10      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD3 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2112000 | PA      | $1489219.56   | 0.32%             | 2050-02-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C5                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46590TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1858000 | PA      | $1433100.85   | 0.31%             | 2050-03-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-RB1                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1983000 | PA      | $1442751.48   | 0.31%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2017-GS5                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36252HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1021000 | PA      | $718904.58    | 0.15%             | 2050-03-10      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 465968AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1453000 | PA      | $1168281.74   | 0.25%             | 2050-09-15      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| UBS-CITIGROUP COMMERCIAL MORTGAGE TRUST 2011-C1                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90268TAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2552759 | PA      | $2292883.15   | 0.49%             | 2045-01-10      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C3                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90276GAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3138000 | PA      | $2518555.66   | 0.54%             | 2050-08-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| COMM 2017-COR2 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12595EAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2254000 | PA      | $1723543.64   | 0.37%             | 2050-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B3 MORTGAGE TRUST                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08161BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3362000 | PA      | $2248748.34   | 0.48%             | 2051-04-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   2316000 | PA      | $486996.44    | 0.10%             | 2046-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK11                                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 06540TAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2981000 | PA      | $2000559.24   | 0.43%             | 2061-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM 2018-COR3 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12595VAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    869000 | PA      | $570497.20    | 0.12%             | 2051-05-10      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1550000 | PA      | $1086295.96   | 0.23%             | 2048-11-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C46                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95001QAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    823000 | PA      | $680841.81    | 0.15%             | 2051-08-15      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC24                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36253GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4747000 | PA      | $3094703.64   | 0.66%             | 2047-09-10      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| CSAIL 2018-C14 COMMERCIAL MORTGAGE TRUST                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12596GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $964063.49    | 0.21%             | 2051-11-15      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MORTGAGE TRUST                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08162VAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    801000 | PA      | $522935.17    | 0.11%             | 2062-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C50                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95001XBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935000 | PA      | $743114.53    | 0.16%             | 2052-05-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17323CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1018000 | PA      | $891168.40    | 0.19%             | 2048-02-10      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B11 MORTGAGE TRUST                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08162BAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2608000 | PA      | $1760592.99   | 0.38%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD 2019-CD8 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12515BAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $938585.00    | 0.20%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C4                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07335CAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1810000 | PA      | $1220850.43   | 0.26%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C17 COMMERCIAL MORTGAGE TRUST                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12597BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1626000 | PA      | $966916.02    | 0.21%             | 2052-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   5890866 | PA      | $5530845.32   | 1.18%             | 2049-10-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B13 MORTGAGE TRUST                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08162DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1788000 | PA      | $1251600.00   | 0.27%             | 2057-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C54                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95001YAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    967000 | PA      | $592287.50    | 0.13%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46629PAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1890522 | PA      | $1762110.93   | 0.38%             | 2047-05-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS COMMERCIAL MORTGAGE SECURITIES TRUST 2007-TOP26                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07388VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13229 | PA      | $12765.87     | 0.00%             | 2045-01-12      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2010-C1                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36249KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842000 | PA      | $633203.79    | 0.14%             | 2043-08-10      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2164000 | PA      | $1586757.76   | 0.34%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46635TBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1629000 | PA      | $705767.83    | 0.15%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| DBUBS 2011-LC3 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3202539 | PA      | $2926160.32   | 0.62%             | 2044-08-10      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1659568 | PA      | $1270717.94   | 0.27%             | 2044-06-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2012-C4                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61760VAF0<br>LEI: 5493005SNWQW3UUOQX45 | Long             | ABS-MBS          | CORP              | US        |   2436000 | PA      | $1778280.00   | 0.38%             | 2045-03-15      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1847000 | PA      | $1033482.75   | 0.22%             | 2045-06-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92930RAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000774 | PA      | $2835326.45   | 0.60%             | 2045-11-15      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE4 MORTGAGE TRUST                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12624QBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2419000 | PA      | $1983580.00   | 0.42%             | 2045-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36192CAQ8<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   2209000 | PA      | $2197824.67   | 0.47%             | 2046-02-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8                                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17318UAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426727 | PA      | $1426727.36   | 0.30%             | 2045-09-10      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C10               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1929000 | PA      | $1850556.83   | 0.39%             | 2047-12-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762DAG6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |   1234000 | PA      | $1084044.81   | 0.23%             | 2046-05-15      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762DBB6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    946000 | PA      | $860832.38    | 0.18%             | 2046-05-15      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $615380.29    | 0.13%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2891000 | PA      | $2084578.10   | 0.44%             | 2046-04-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE7 MORTGAGE TRUST                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12625FBA3<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |   1442000 | PA      | $1294195.00   | 0.28%             | 2046-03-10      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4088000 | PA      | $2224235.01   | 0.47%             | 2046-08-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| COMM 2013-LC13 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12626GAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2546000 | PA      | $2387078.68   | 0.51%             | 2046-08-10      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC15                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17321JAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1567000 | PA      | $1532635.69   | 0.33%             | 2046-09-10      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C12                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479000 | PA      | $431518.84    | 0.09%             | 2046-10-15      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C16               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1295000 | PA      | $1228536.20   | 0.26%             | 2046-12-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1906000 | PA      | $1606037.91   | 0.34%             | 2046-11-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630BBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355000 | PA      | $1279790.59   | 0.27%             | 2046-11-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2011-C3                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61760RAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7724130 | PA      | $6584070.04   | 1.40%             | 2049-07-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1235000 | PA      | $1114708.90   | 0.24%             | 2045-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC18                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36252RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4153000 | PA      | $2824040.00   | 0.60%             | 2047-01-10      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92930RAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1461000 | PA      | $1458045.86   | 0.31%             | 2045-11-15      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2012-C1                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2266000 | PA      | $883286.80    | 0.19%             | 2045-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE16 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2441904 | PA      | $2210086.24   | 0.47%             | 2047-04-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3623000 | PA      | $3149777.51   | 0.67%             | 2047-05-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61761DAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1288000 | PA      | $824320.00    | 0.18%             | 2045-11-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC22                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36253BBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1431000 | PA      | $1352428.08   | 0.29%             | 2047-06-10      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C21                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |   2558000 | PA      | $2207349.36   | 0.47%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS4 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591QAW2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |   1158060 | PA      | $1068158.76   | 0.23%             | 2047-08-10      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2294000 | PA      | $2066047.51   | 0.44%             | 2047-09-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE19 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12592GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2082000 | PA      | $1863718.33   | 0.40%             | 2047-08-10      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS3 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591YBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    956000 | PA      | $899448.68    | 0.19%             | 2047-06-10      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C16                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1695000 | PA      | $1623945.60   | 0.35%             | 2047-06-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61764PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2815000 | PA      | $2431295.80   | 0.52%             | 2047-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C12                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2040618 | PA      | $1524553.05   | 0.33%             | 2046-10-15      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3439000 | PA      | $2906174.41   | 0.62%             | 2050-07-15      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C3 COMMERCIAL MORTGAGE TRUST                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12635FAZ7<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    922000 | PA      | $773123.48    | 0.16%             | 2048-08-15      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1050500 | PA      | $880730.06    | 0.19%             | 2058-09-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17324DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3226000 | PA      | $2640205.82   | 0.56%             | 2048-09-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C29                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989KBC6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |   1138000 | PA      | $965363.35    | 0.21%             | 2048-06-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE26 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12593QBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1696375 | PA      | $1370607.89   | 0.29%             | 2048-10-10      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61765TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1824000 | PA      | $1647513.59   | 0.35%             | 2048-10-15      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989WAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1373000 | PA      | $1213704.27   | 0.26%             | 2048-11-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989WBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1248000 | PA      | $1004921.80   | 0.21%             | 2048-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989QBA7<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-MBS          | CORP              | US        |   1653000 | PA      | $1446734.36   | 0.31%             | 2048-09-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2016-GS2                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36252TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1149000 | PA      | $873788.53    | 0.19%             | 2049-05-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EAGLE RE                                                                    | CORP CMO                              | CUSIP: 26982LAH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    765000 | PA      | $693960.65    | 0.15%             | 2030-01-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    780811 | PA      | $811994.18    | 0.17%             | 2029-01-25      | Floating      | 14.64%                | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R02                                | CORP CMO                              | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    311000 | PA      | $279604.43    | 0.06%             | 2040-01-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-SBT1                               | CORP CMO                              | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1887000 | PA      | $1863666.30   | 0.40%             | 2040-02-25      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-SBT1                               | CORP CMO                              | CUSIP: 20753VBT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2355000 | PA      | $2102945.29   | 0.45%             | 2040-02-25      | Floating      | 11.14%                | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE CORP 2018-1 LTD                                             | CORP CMO                              | CUSIP: 89052WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2130845 | PA      | $2031281.31   | 0.43%             | 2023-03-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA3                                     | CORP CMO                              | CUSIP: 35565MBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    916000 | PA      | $991570.00    | 0.21%             | 2050-07-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| 1SHARPE MORTGAGE TRUST 2020-1                                               | CORP CMO                              | CUSIP: 68257LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1273787 | PA      | $1257864.80   | 0.27%             | 2024-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA4                                     | CORP CMO                              | CUSIP: 35565XBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2647000 | PA      | $2875303.75   | 0.61%             | 2050-08-25      | Floating      | 14.39%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA3                                     | CORP CMO                              | CUSIP: 35565MBD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1335841 | PA      | $1375674.78   | 0.29%             | 2050-07-25      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2021-RTL1                                              | CORP CMO                              | CUSIP: 501894AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    511000 | PA      | $485450.00    | 0.10%             | 2026-02-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| HOME RE 2021-2 LTD                                                          | CORP CMO                              | CUSIP: 43730VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1000000 | PA      | $839263.00    | 0.18%             | 2034-01-25      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                | CORP CMO                              | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2198000 | PA      | $2072302.97   | 0.44%             | 2042-01-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                 | CORP CMO                              | CUSIP: 58552FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1216000 | PA      | $1102667.58   | 0.24%             | 2024-10-22      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7                     | CORP CMO                              | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    235135 | PA      | $199675.19    | 0.04%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-8                                             | CORP CMO                              | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    405055 | PA      | $334280.68    | 0.07%             | 2035-10-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0KQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   2761803 | PA      | $2864702.03   | 0.61%             | 2028-12-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1                              | CORP CMO                              | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5364870 | PA      | $2924268.34   | 0.62%             | 2047-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   1518000 | PA      | $1646373.01   | 0.35%             | 2029-09-25      | Floating      | 9.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   2577000 | PA      | $2606964.84   | 0.56%             | 2030-01-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XQW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   3742000 | PA      | $3897338.28   | 0.83%             | 2030-02-25      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2017-1 LTD                                                    | CORP CMO                              | CUSIP: 078767AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    522708 | PA      | $522012.56    | 0.11%             | 2027-10-25      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   3203000 | PA      | $3285080.08   | 0.70%             | 2030-02-25      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   3800000 | PA      | $3893553.34   | 0.83%             | 2030-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-DNA2                                           | CORP CMO                              | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-CBDO         | CORP              | US        |   2018000 | PA      | $2020686.16   | 0.43%             | 2030-12-25      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0QN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $261877.98    | 0.06%             | 2029-12-25      | Floating      | 9.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   1154000 | PA      | $1165540.00   | 0.25%             | 2030-10-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-2                                       | CORP CMO                              | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    969633 | PA      | $326560.67    | 0.07%             | 2035-05-19      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R01                                | CORP CMO                              | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     13225 | PA      | $13192.15     | 0.00%             | 2031-07-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2                           | CORP CMO                              | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1129000 | PA      | $962999.29    | 0.21%             | 2058-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-HQA2                                           | CORP CMO                              | CUSIP: 35563XBD3<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-CBDO         | CORP              | US        |   1347000 | PA      | $1378665.28   | 0.29%             | 2048-10-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA19                                            | CORP CMO                              | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2001570 | PA      | $1507726.27   | 0.32%             | 2047-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-3                                                | CORP CMO                              | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    750000 | PA      | $587718.45    | 0.13%             | 2048-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE III LTD                                                          | CORP CMO                              | CUSIP: 67400KAD2<br>LEI: 2549008N2FD0KB1Y5E03 | Long             | ABS-CBDO         | CORP              | BM        |    574000 | PA      | $566600.34    | 0.12%             | 2029-07-25      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE III LTD                                                          | CORP CMO                              | CUSIP: 67400KAE0<br>LEI: 2549008N2FD0KB1Y5E03 | Long             | ABS-CBDO         | CORP              | BM        |    695000 | PA      | $701146.79    | 0.15%             | 2029-07-25      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   2739000 | PA      | $2818861.30   | 0.60%             | 2030-05-25      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R01                                | CORP CMO                              | CUSIP: 20754FAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    653000 | PA      | $665243.75    | 0.14%             | 2031-07-25      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711X3M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   1687000 | PA      | $1690582.68   | 0.36%             | 2031-03-25      | Floating      | 8.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711X5V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   1273000 | PA      | $1290581.78   | 0.28%             | 2031-03-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA1                                           | CORP CMO                              | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-CBDO         | CORP              | US        |   4520000 | PA      | $4899161.10   | 1.05%             | 2049-01-25      | Floating      | 15.14%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA2                                           | CORP CMO                              | CUSIP: 35564LBE6<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-CBDO         | CORP              | US        |    282000 | PA      | $302081.95    | 0.06%             | 2049-03-25      | Floating      | 14.89%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA4                                           | CORP CMO                              | CUSIP: 35565ABE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1070000 | PA      | $1006416.86   | 0.21%             | 2049-10-25      | Floating      | 10.64%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-HQA2                                           | CORP CMO                              | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-CBDO         | CORP              | US        |   2108000 | PA      | $2278165.14   | 0.49%             | 2048-10-25      | Floating      | 15.39%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    505475 | PA      | $508039.81    | 0.11%             | 2029-04-25      | Floating      | 13.64%                | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-3                           | CORP CMO                              | CUSIP: 35563PGR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    876000 | PA      | $766857.23    | 0.16%             | 2057-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-FTR3                                           | CORP CMO                              | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-CBDO         | CORP              | US        |    371000 | PA      | $296800.00    | 0.06%             | 2047-09-25      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R01                                | CORP CMO                              | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    347000 | PA      | $323241.19    | 0.07%             | 2040-01-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| MORTGAGE INSURANCE-LINKED NOTES SERIES 2020-1                               | CORP CMO                              | CUSIP: 750493AF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    430000 | PA      | $385284.73    | 0.08%             | 2030-01-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2006-A6                                    | CORP CMO                              | CUSIP: 466285AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1369647 | PA      | $1184577.94   | 0.25%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-HQA2                                           | CORP CMO                              | CUSIP: 35564MBE4<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-CBDO         | CORP              | US        |    637000 | PA      | $670229.04    | 0.14%             | 2049-04-25      | Floating      | 15.64%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                            | CORP CMO                              | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    240460 | PA      | $307470.93    | 0.07%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR8                     | CORP CMO                              | CUSIP: 92922FS41<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    587798 | PA      | $512045.76    | 0.11%             | 2045-07-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0GZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    329591 | PA      | $338363.17    | 0.07%             | 2028-04-25      | Floating      | 13.74%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0GM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   2713761 | PA      | $2715096.50   | 0.58%             | 2028-03-25      | Floating      | 13.19%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   2822011 | PA      | $3059201.13   | 0.65%             | 2028-10-25      | Floating      | 16.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    467250 | PA      | $506482.36    | 0.11%             | 2028-10-25      | Floating      | 17.14%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    450931 | PA      | $473896.29    | 0.10%             | 2028-10-25      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST                                                   | CORP CMO IO                           | CUSIP: 36228FCH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    311571 | PA      | $778.93       | 0.00%             | 2027-09-19      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FQZQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5132089 | PA      | $979664.49    | 0.21%             | 2050-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BG4J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3081304 | PA      | $483733.90    | 0.10%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FVJG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8079054 | PA      | $932272.05    | 0.20%             | 2050-08-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137F8R54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12591231 | PA      | $2272232.41   | 0.48%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FQJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6745270 | PA      | $770268.74    | 0.16%             | 2049-12-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BABH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9768999 | PA      | $907559.51    | 0.19%             | 2044-04-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137H0LW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7960501 | PA      | $1656197.67   | 0.35%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FXV62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24342719 | PA      | $4788339.48   | 1.02%             | 2050-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137F9RB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19883338 | PA      | $3372281.38   | 0.72%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137F7Q24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11779067 | PA      | $2152059.11   | 0.46%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FNKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10234503 | PA      | $1019738.20   | 0.22%             | 2049-09-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137F6RL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8029452 | PA      | $1827269.53   | 0.39%             | 2050-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137H0YY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9181342 | PA      | $1761348.70   | 0.38%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137F9A68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13171157 | PA      | $2335144.60   | 0.50%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8106915 | PA      | $1679786.03   | 0.36%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FRC90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4745058 | PA      | $469735.07    | 0.10%             | 2050-02-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BGFV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3251488 | PA      | $421532.70    | 0.09%             | 2045-02-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BG4Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2178706 | PA      | $342035.08    | 0.07%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BH6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2955403 | PA      | $615013.50    | 0.13%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | FHLMC CMO IO                          | CUSIP: 31392UZA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3258099 | PA      | $24418.83     | 0.01%             | 2033-07-25      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | FHLMC CMO IO                          | CUSIP: 31394PPT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2060225 | PA      | $14414.01     | 0.00%             | 2043-10-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | FHLMC CMO IO                          | CUSIP: 3133TBN22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313404 | PA      | $1567.02      | 0.00%             | 2028-11-15      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AMVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644019 | PA      | $44252.32     | 0.01%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AN3W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1432054 | PA      | $103312.69    | 0.02%             | 2041-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ANL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    753583 | PA      | $87071.27     | 0.02%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AV3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1666297 | PA      | $329133.60    | 0.07%             | 2042-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS                                                          | FHLMC CMO IO                          | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399936 | PA      | $15615.46     | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AXVR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4571486 | PA      | $342495.77    | 0.07%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AYSK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5485459 | PA      | $435468.68    | 0.09%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AYEY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2920303 | PA      | $296111.99    | 0.06%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AX2K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3337686 | PA      | $408228.06    | 0.09%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137B0DZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1983905 | PA      | $137087.86    | 0.03%             | 2042-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137B32J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1165774 | PA      | $38113.25     | 0.01%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AYQL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1478996 | PA      | $225128.84    | 0.05%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AWHJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3422676 | PA      | $476813.27    | 0.10%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137B25U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1819019 | PA      | $82432.65     | 0.02%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137AY2Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3790979 | PA      | $473872.32    | 0.10%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO PO                          | CUSIP: 31397BDU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1241 | PA      | $1199.54      | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO PO                          | CUSIP: 31397P6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28480 | PA      | $23282.41     | 0.00%             | 2037-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO PO                          | CUSIP: 31397KMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2044 | PA      | $1617.99      | 0.00%             | 2037-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO PO                          | CUSIP: 31396T2M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14306 | PA      | $11824.84     | 0.00%             | 2036-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B0LV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6433280 | PA      | $671632.46    | 0.14%             | 2048-01-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA CMO IO                           | CUSIP: 3136B6ZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2775778 | PA      | $428482.91    | 0.09%             | 2049-11-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B9JP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10179732 | PA      | $1212154.79   | 0.26%             | 2050-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B5P41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8411858 | PA      | $802809.65    | 0.17%             | 2049-09-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B9WV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11388794 | PA      | $2106267.44   | 0.45%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BDLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9039889 | PA      | $1355983.32   | 0.29%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B9Y68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5909285 | PA      | $513603.76    | 0.11%             | 2050-06-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BHEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23902060 | PA      | $4085818.21   | 0.87%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B8BC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15856173 | PA      | $1950708.85   | 0.42%             | 2050-01-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BBZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32843829 | PA      | $5870552.00   | 1.25%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BBVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7264783 | PA      | $1337324.58   | 0.29%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15161263 | PA      | $2168192.45   | 0.46%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 31392AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1714742 | PA      | $8568.77      | 0.00%             | 2041-10-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 31392BMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    841344 | PA      | $5213.66      | 0.00%             | 2045-03-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 1998-W2                                              | FNMA CMO IO                           | CUSIP: 31359UPF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2093324 | PA      | $31391.94     | 0.01%             | 2028-06-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 1998-W5                                              | FNMA CMO IO                           | CUSIP: 31359UWD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    671048 | PA      | $10061.55     | 0.00%             | 2028-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ADBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459160 | PA      | $3305.03      | 0.00%             | 2041-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ADBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164138 | PA      | $351.83       | 0.00%             | 2041-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ADLY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262307 | PA      | $836.08       | 0.00%             | 2041-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AEPV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1497788 | PA      | $61749.63     | 0.01%             | 2042-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AEQA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2060640 | PA      | $265999.74    | 0.06%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AAY82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820511 | PA      | $30315.43     | 0.01%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AC2R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2146433 | PA      | $315776.83    | 0.07%             | 2042-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AA5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2546505 | PA      | $331980.21    | 0.07%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A9KT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2553947 | PA      | $164774.79    | 0.04%             | 2041-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A8DU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1787862 | PA      | $86538.58     | 0.02%             | 2027-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AMZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    982656 | PA      | $30824.74     | 0.01%             | 2043-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A6LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611670 | PA      | $26139.54     | 0.01%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ABN33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4780470 | PA      | $597558.78    | 0.13%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A2QG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312802 | PA      | $27635.37     | 0.01%             | 2041-10-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ATZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4037601 | PA      | $572693.26    | 0.12%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 31398NRU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8303662 | PA      | $1093252.61   | 0.23%             | 2040-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AQJP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4452667 | PA      | $756597.15    | 0.16%             | 2045-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AVNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4956131 | PA      | $739950.31    | 0.16%             | 2047-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AUDM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14807212 | PA      | $1181263.07   | 0.25%             | 2046-11-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ATBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9621790 | PA      | $691161.10    | 0.15%             | 2046-08-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AA5L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3041210 | PA      | $472528.87    | 0.10%             | 2042-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136APW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5135103 | PA      | $956217.72    | 0.20%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AUCT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20017238 | PA      | $1645022.60   | 0.35%             | 2046-11-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B2RW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4498305 | PA      | $429138.29    | 0.09%             | 2048-07-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B2KV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5171126 | PA      | $507726.02    | 0.11%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AQKF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1221768 | PA      | $182626.18    | 0.04%             | 2043-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B07G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5258379 | PA      | $487977.57    | 0.10%             | 2048-03-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ARSF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8828991 | PA      | $880798.69    | 0.19%             | 2046-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B47M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5145626 | PA      | $462574.24    | 0.10%             | 2049-08-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AWLG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5256666 | PA      | $1023126.41   | 0.22%             | 2047-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO PO                           | CUSIP: 31397LJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9367 | PA      | $7927.61      | 0.00%             | 2036-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO PO                           | CUSIP: 31396K2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       989 | PA      | $783.02       | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO PO                           | CUSIP: 31396PCT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       646 | PA      | $560.09       | 0.00%             | 2037-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO PO                           | CUSIP: 31395D6Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1449 | PA      | $1274.19      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO PO                           | CUSIP: 31396PG62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3333 | PA      | $2745.74      | 0.00%             | 2037-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO PO                           | CUSIP: 31393CFC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38355 | PA      | $34847.27     | 0.01%             | 2043-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO PO                           | CUSIP: 31397LB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95332 | PA      | $77287.42     | 0.02%             | 2038-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  36000000 | PA      | $33794982.00  | 7.21%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 129000000 | PA      | $124343899.80 | 26.53%            | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 124000000 | PA      | $101211131.20 | 21.59%            | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34000000 | PA      | $29869530.40  | 6.37%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37000000 | PA      | $33649746.20  | 7.18%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  89000000 | PA      | $89264258.80  | 19.05%            | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 127000000 | PA      | $107672187.50 | 22.97%            | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 167000000 | PA      | $164677731.40 | 35.14%            | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34400000 | PA      | $34932140.48  | 7.45%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GIIARM                                | CUSIP: 36202K3W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2887 | PA      | $2806.11      | 0.00%             | 2026-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GN30                                  | CUSIP: 36292DKQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       111 | PA      | $113.15       | 0.00%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GN30                                  | CUSIP: 36210NTL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1 | PA      | $1.09         | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13556007 | PA      | $516937.04    | 0.11%             | 2065-06-20      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14369154 | PA      | $471222.05    | 0.10%             | 2066-07-20      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375USS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12688612 | PA      | $418813.02    | 0.09%             | 2064-12-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10168262 | PA      | $420211.58    | 0.09%             | 2067-03-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10031130 | PA      | $298686.93    | 0.06%             | 2067-04-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12819356 | PA      | $962789.67    | 0.21%             | 2066-09-20      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13422163 | PA      | $383282.34    | 0.08%             | 2064-12-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11559553 | PA      | $320199.61    | 0.07%             | 2067-04-20      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10784886 | PA      | $456615.12    | 0.10%             | 2067-02-20      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5591358 | PA      | $439828.44    | 0.09%             | 2067-06-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12565713 | PA      | $541542.91    | 0.12%             | 2067-02-20      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UT59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8368286 | PA      | $439335.01    | 0.09%             | 2067-11-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380VPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12915057 | PA      | $479148.63    | 0.10%             | 2068-03-20      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UZ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13739722 | PA      | $790678.01    | 0.17%             | 2067-12-20      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380UE66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4447112 | PA      | $855625.60    | 0.18%             | 2048-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UL81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20427602 | PA      | $1152700.17   | 0.25%             | 2067-10-20      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379GJA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3138351 | PA      | $535154.77    | 0.11%             | 2044-09-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375U4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12192748 | PA      | $799474.60    | 0.17%             | 2068-01-20      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RG42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7003225 | PA      | $326523.14    | 0.07%             | 2066-11-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375U2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9387617 | PA      | $401396.77    | 0.09%             | 2067-11-20      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380XKS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4044590 | PA      | $364728.68    | 0.08%             | 2048-06-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378MYG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4776276 | PA      | $720931.08    | 0.15%             | 2043-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R5P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6820358 | PA      | $348889.02    | 0.07%             | 2067-06-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375U7K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9036718 | PA      | $513511.51    | 0.11%             | 2068-02-20      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380YXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3912293 | PA      | $311966.26    | 0.07%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380YYB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59896 | PA      | $9145.45      | 0.00%             | 2045-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381RM71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5643990 | PA      | $344690.31    | 0.07%             | 2044-01-16      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381WUN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255210 | PA      | $18619.69     | 0.00%             | 2049-06-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XTX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    432398 | PA      | $37338.13     | 0.01%             | 2049-08-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XV45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4090868 | PA      | $321288.61    | 0.07%             | 2049-08-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381YWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6493410 | PA      | $653044.22    | 0.14%             | 2049-09-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379XFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7171809 | PA      | $746410.35    | 0.16%             | 2046-06-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8415345 | PA      | $1141869.76   | 0.24%             | 2049-10-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382AQY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8412393 | PA      | $1150791.10   | 0.25%             | 2049-10-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382BDZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6083653 | PA      | $594812.78    | 0.13%             | 2043-09-16      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382CRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    904409 | PA      | $63158.34     | 0.01%             | 2050-02-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381VWL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4934690 | PA      | $431406.28    | 0.09%             | 2049-05-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382EFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12013085 | PA      | $1036128.61   | 0.22%             | 2044-05-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RZM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23504034 | PA      | $940067.36    | 0.20%             | 2066-09-20      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5659098 | PA      | $718026.37    | 0.15%             | 2050-08-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382JB96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9178028 | PA      | $1172070.85   | 0.25%             | 2050-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382JX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19437064 | PA      | $2485411.52   | 0.53%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382LMM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12529560 | PA      | $2142142.67   | 0.46%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380HUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4876101 | PA      | $445756.60    | 0.10%             | 2047-10-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382QX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11555469 | PA      | $1379435.28   | 0.29%             | 2051-05-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382MUK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29640256 | PA      | $4066160.02   | 0.87%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383CUQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8893848 | PA      | $1448654.13   | 0.31%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RCA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22886743 | PA      | $864088.97    | 0.18%             | 2065-06-20      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382KPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8749424 | PA      | $1132432.75   | 0.24%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383CUP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5360229 | PA      | $1083466.74   | 0.23%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382RNV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12347190 | PA      | $1739719.00   | 0.37%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376VFR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480614 | PA      | $44327.03     | 0.01%             | 2040-02-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WP82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1355972 | PA      | $257495.74    | 0.05%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FJQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6528253 | PA      | $1256688.67   | 0.27%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378GHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2704160 | PA      | $490561.70    | 0.10%             | 2042-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WM85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1098732 | PA      | $227927.25    | 0.05%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1287593 | PA      | $274033.93    | 0.06%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375CMY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3169861 | PA      | $543431.19    | 0.12%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378JUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4980647 | PA      | $937063.89    | 0.20%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378TJH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2351378 | PA      | $261402.72    | 0.06%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378JNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1076233 | PA      | $123680.66    | 0.03%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378TR36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7515655 | PA      | $718622.10    | 0.15%             | 2043-06-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375AX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5336716 | PA      | $1117401.50   | 0.24%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375AXQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3177724 | PA      | $661252.57    | 0.14%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378YRM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1166103 | PA      | $182388.37    | 0.04%             | 2043-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WK46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3473119 | PA      | $603363.51    | 0.13%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378YP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    675717 | PA      | $111089.55    | 0.02%             | 2044-01-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38377X4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5902893 | PA      | $831220.07    | 0.18%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378MTJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2927196 | PA      | $403009.08    | 0.09%             | 2043-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    839392 | PA      | $41635.52     | 0.01%             | 2041-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375ASD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3596501 | PA      | $671967.66    | 0.14%             | 2039-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379GV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1894738 | PA      | $107064.15    | 0.02%             | 2029-11-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379HRB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5543437 | PA      | $582441.12    | 0.12%             | 2039-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379CQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3982244 | PA      | $480077.87    | 0.10%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379JUR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581486 | PA      | $4861.11      | 0.00%             | 2037-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379JWT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322561 | PA      | $4723.33      | 0.00%             | 2037-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3523999 | PA      | $638138.79    | 0.14%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15973965 | PA      | $528738.23    | 0.11%             | 2065-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379MGK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9402754 | PA      | $1771731.78   | 0.38%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1624141 | PA      | $118870.67    | 0.03%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8667758 | PA      | $381381.33    | 0.08%             | 2065-07-20      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19590658 | PA      | $1032427.67   | 0.22%             | 2065-08-20      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RGU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20102149 | PA      | $870423.04    | 0.19%             | 2065-09-20      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3335891 | PA      | $56640.10     | 0.01%             | 2065-09-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375BKQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11256268 | PA      | $283657.95    | 0.06%             | 2061-02-20      | Floating      | 1.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13420177 | PA      | $675034.90    | 0.14%             | 2065-09-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10395093 | PA      | $413724.69    | 0.09%             | 2065-10-20      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RHG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4295512 | PA      | $235394.05    | 0.05%             | 2065-09-20      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379FY60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2026892 | PA      | $261158.00    | 0.06%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15406807 | PA      | $494019.25    | 0.11%             | 2064-10-20      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2271745 | PA      | $455351.71    | 0.10%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RQP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12420858 | PA      | $279861.32    | 0.06%             | 2066-02-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10988211 | PA      | $358950.47    | 0.08%             | 2066-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378DRC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6096222 | PA      | $1067082.72   | 0.23%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RQY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9456036 | PA      | $304484.35    | 0.06%             | 2065-07-20      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14056264 | PA      | $290388.36    | 0.06%             | 2065-07-20      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RSL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10280708 | PA      | $435192.66    | 0.09%             | 2066-02-20      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379DLW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2564140 | PA      | $171009.16    | 0.04%             | 2043-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3435773 | PA      | $595610.52    | 0.13%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RRT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21065172 | PA      | $1460797.22   | 0.31%             | 2066-03-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19158647 | PA      | $366849.77    | 0.08%             | 2066-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12538789 | PA      | $1081074.70   | 0.23%             | 2066-06-20      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379EAL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3403548 | PA      | $268329.31    | 0.06%             | 2044-08-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378A3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4430267 | PA      | $494144.11    | 0.11%             | 2038-04-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WR56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5393334 | PA      | $975006.91    | 0.21%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23032324 | PA      | $760066.68    | 0.16%             | 2066-10-20      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378JL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3806491 | PA      | $696861.49    | 0.15%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3838489 | PA      | $187169.52    | 0.04%             | 2066-11-20      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378PFQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3040058 | PA      | $335835.16    | 0.07%             | 2043-12-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379P4V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4001211 | PA      | $782877.01    | 0.17%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RK21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17215970 | PA      | $882008.59    | 0.19%             | 2066-12-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16701681 | PA      | $628818.27    | 0.13%             | 2067-02-20      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13738074 | PA      | $639727.15    | 0.14%             | 2066-06-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RS31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16308898 | PA      | $1278617.58   | 0.27%             | 2067-01-20      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8549273 | PA      | $693549.11    | 0.15%             | 2067-02-20      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44000000 | PA      | $39189766.00  | 8.36%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29000000 | PA      | $26644620.00  | 5.68%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17000000 | PA      | $16093422.30  | 3.43%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12000000 | PA      | $11643856.80  | 2.48%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11000000 | PA      | $9228670.00   | 1.97%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                      | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       909 | NC      | $186416016.53 | 39.77%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | GOVT CMO                              | CUSIP: 31396HU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13458 | PA      | $11861.36     | 0.00%             | 2036-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | GOVT CMO                              | CUSIP: 31397PUB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155772 | PA      | $241627.27    | 0.05%             | 2037-04-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | GOVT CMO                              | CUSIP: 31397LDE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615014 | PA      | $601946.98    | 0.13%             | 2038-02-25      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | GOVT CMO                              | CUSIP: 31394JDB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11302 | PA      | $10521.84     | 0.00%             | 2043-07-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE TRUST 2003-W3                                                    | GOVT CMO                              | CUSIP: 31392JYJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16353 | PA      | $15240.66     | 0.00%             | 2042-08-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 2004-W7                                              | GOVT CMO                              | CUSIP: 31393YZ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2533 | PA      | $2610.92      | 0.00%             | 2034-03-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED PASS-THROUGH CERTIFICATES                            | GOVT CMO                              | CUSIP: 31394PPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6084 | PA      | $4665.12      | 0.00%             | 2043-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 2003-W11                                             | GOVT CMO                              | CUSIP: 31393C6U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       248 | PA      | $248.27       | 0.00%             | 2033-06-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE TRUST 2004-W2                                                    | GOVT CMO                              | CUSIP: 31393XGT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4045 | PA      | $3897.16      | 0.00%             | 2044-02-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC TRUST 2003-W14                                             | GOVT CMO                              | CUSIP: 31393E6M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7626 | PA      | $7085.62      | 0.00%             | 2043-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | GOVT CMO                              | CUSIP: 31394FEA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439983 | PA      | $449323.80    | 0.10%             | 2035-05-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | GOVT CMO                              | CUSIP: 31396WCU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256917 | PA      | $403768.55    | 0.09%             | 2037-06-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | GOVT CMO                              | CUSIP: 31397QLM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464360 | PA      | $478129.65    | 0.10%             | 2040-05-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | GOVT CMO                              | CUSIP: 31395U2R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    570843 | PA      | $766941.29    | 0.16%             | 2035-05-15      | Floating      | 8.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | GOVT CMO                              | CUSIP: 31395V3D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177515 | PA      | $191639.50    | 0.04%             | 2034-06-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | GOVT CMO                              | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1410090 | PA      | $1783655.07   | 0.38%             | 2035-03-15      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | GOVT CMO                              | CUSIP: 31396FLW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313484 | PA      | $474064.72    | 0.10%             | 2035-11-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | GOVT CMO                              | CUSIP: 31394V2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213825 | PA      | $228734.54    | 0.05%             | 2036-03-25      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | GOVT CMO                              | CUSIP: 31395N7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168376 | PA      | $309661.85    | 0.07%             | 2036-07-25      | Floating      | 13.57%                | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | GOVT CMO                              | CUSIP: 31394UN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422314 | PA      | $566929.77    | 0.12%             | 2035-12-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5731000 | NC      | $16390.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3790000 | NC      | $37900.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2661000 | NC      | $17562.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  29385000 | NC      | $22332.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  44695000 | NC      | $42460.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7055000 | NC      | $18272.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  57204000 | NC      | $1128634.92   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  18902800 | NC      | $163887.28    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  29214700 | NC      | $1231983.90   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9830400 | NC      | $219217.92    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1933500 | NC      | $46752.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6879000 | NC      | $403659.72    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  35771000 | NC      | $479331.40    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4174000 | NC      | $89615.78     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  21097000 | NC      | $402952.70    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1708706 | NC      | $77575.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9910000 | NC      | $55694.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9785000 | NC      | $80921.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5036000 | NC      | $36511.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4426700 | NC      | $12439.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  25412000 | NC      | $27699.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  26632000 | NC      | $207995.92    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6233000 | NC      | $116183.12    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1516000 | NC      | $27015.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5355000 | NC      | $93926.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5355000 | NC      | $95693.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  21863000 | NC      | $378011.27    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4998000 | NC      | $92263.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  21022000 | NC      | $375873.36    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6296000 | NC      | $110557.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2233000 | NC      | $115669.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4194000 | NC      | $83544.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11294000 | NC      | $366264.42    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  54209000 | NC      | $375668.37    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14969000 | NC      | $74845.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 108418000 | NC      | $741579.12    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  42669000 | NC      | $81924.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 145033000 | NC      | $730966.32    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  29938000 | NC      | $126637.74    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  52540000 | NC      | $1656060.80   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17536000 | NC      | $29635.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  47813000 | NC      | $59766.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4940600 | NC      | $43180.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2624000 | NC      | $26791.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  36069000 | NC      | $116863.56    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    654000 | NC      | $14603.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3106400 | NC      | $58959.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6852500 | NC      | $92371.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2266200 | NC      | $40859.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4532400 | NC      | $52031.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6205100 | NC      | $15202.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4243200 | NC      | $84397.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3145000 | NC      | $62082.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13510256 | NC      | $600125.57    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  65519800 | NC      | $260113.61    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13314700 | NC      | $397976.38    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5329700 | NC      | $70991.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  27502000 | NC      | $109457.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16700000 | NC      | $149298.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2122800 | NC      | $14498.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  32520000 | NC      | $91056.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7900000 | NC      | $274288.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2409200 | NC      | $177268.94    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3088100 | NC      | $183031.69    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  38918000 | NC      | $175909.36    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 176109000 | NC      | $75726.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 169869000 | NC      | $3237703.14   | 0.69%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  48403000 | NC      | $2641835.74   | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10434000 | NC      | $78046.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8593000 | NC      | $32825.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99JF589S7<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |  17746600 | NC      | $3333698.81   | 0.71%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  28248000 | NC      | $2869714.32   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  44700000 | NC      | $7759026.00   | 1.66%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16940000 | NC      | $5593418.60   | 1.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  30378000 | NC      | $1221499.38   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  77601000 | NC      | $3118784.19   | 0.67%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8211000 | NC      | $831199.53    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  75507000 | NC      | $13108770.27  | 2.80%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10717000 | NC      | $3542504.35   | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2051000 | NC      | $644055.02    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4905000 | NC      | $491137.65    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2561900 | NC      | $168982.92    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9386000 | NC      | $2684020.56   | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9856000 | NC      | $2914222.08   | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  18503000 | NC      | $5375491.56   | 1.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10668100 | NC      | $944020.17    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  24475300 | NC      | $6188579.60   | 1.32%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11772000 | NC      | $447924.60    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1881000 | NC      | $507663.09    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5733000 | NC      | $805199.85    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  13299000 | NC      | $1096768.53   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7332800 | NC      | $1068828.93   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  20619900 | NC      | $3227632.95   | 0.69%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  21379100 | NC      | $3356518.70   | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11271000 | NC      | $1599580.32   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  14228000 | NC      | $415315.32    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12816000 | NC      | $680145.12    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11968000 | NC      | $1155031.68   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2606000 | NC      | $543168.58    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5859000 | NC      | $176297.31    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8956000 | NC      | $1473172.44   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2050000 | NC      | $171564.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9554000 | NC      | $503018.10    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  51844600 | NC      | $2333525.45   | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  96127500 | NC      | $2837683.80   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10207000 | NC      | $1373045.64   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  25683000 | NC      | $1646537.13   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6150000 | NC      | $689230.50    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  82198300 | NC      | $4825040.21   | 1.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9706600 | NC      | $2151273.76   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  19230000 | NC      | $784007.10    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  23054000 | NC      | $616925.04    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 124460000 | NC      | $2477998.60   | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  64279000 | NC      | $1628829.86   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Interest Rate Swap                    | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |  50000000 | NC      | $1024500.00   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Interest Rate Swap                    | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        | 370000000 | NC      | $7422200.00   | 1.58%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12203100 | NC      | $702898.56    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3707000 | NC      | $446174.52    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12761000 | NC      | $858942.91    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  19187400 | NC      | $1598310.42   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  19187400 | NC      | $1590443.59   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  18071900 | NC      | $1579845.50   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  26054000 | NC      | $2378730.20   | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  17670300 | NC      | $1673200.71   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4084700 | NC      | $183852.35    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3345600 | NC      | $241518.86    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5261700 | NC      | $613198.52    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: 99NV599V8<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              | CORP              | US        |   8918100 | NC      | $1089524.28   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3656500 | NC      | $453661.96    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  20916000 | NC      | $884119.32    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  29796000 | NC      | $2282969.52   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3797800 | NC      | $97983.24     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16263000 | NC      | $593111.61    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3069000 | NC      | $127854.54    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    301000 | NC      | $79373.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    647000 | NC      | $206263.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      8256 | NC      | $1111.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    236000 | NC      | $45241.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      4587 | NC      | $617.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      4587 | NC      | $617.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      2752 | NC      | $370.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     14219 | NC      | $1913.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    416000 | NC      | $138777.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    493000 | NC      | $100079.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1540000 | NC      | $133056.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    144945 | NC      | $55455.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   2469531 | NC      | $944842.45    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    716000 | NC      | $133176.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    664000 | NC      | $105576.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   2806000 | NC      | $521916.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1130000 | NC      | $210180.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   2260000 | NC      | $420360.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1024000 | NC      | $190464.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    146000 | NC      | $26396.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1918000 | NC      | $346774.40    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1460000 | NC      | $263968.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    671000 | NC      | $121316.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2144000 | NC      | $340896.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    187000 | NC      | $32407.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    873000 | NC      | $230210.10    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    492000 | NC      | $85263.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $17330.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    756000 | NC      | $199357.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1371000 | NC      | $361532.70    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    153000 | NC      | $40346.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     21000 | NC      | $3639.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    673000 | NC      | $177470.10    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    865000 | NC      | $228100.50    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    363000 | NC      | $95723.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    901000 | NC      | $237593.70    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    151000 | NC      | $39818.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    294000 | NC      | $77527.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    750000 | NC      | $119250.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    888000 | NC      | $160550.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    888000 | NC      | $153890.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1406000 | NC      | $437547.20    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    181000 | NC      | $56327.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    584000 | NC      | $92856.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    435807 | NC      | $157326.41    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1109328 | NC      | $400467.23    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    393000 | NC      | $62487.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    369000 | NC      | $68634.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    643565 | NC      | $232326.81    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    306321 | NC      | $110581.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    175000 | NC      | $58380.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     48000 | NC      | $16012.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    487000 | NC      | $91848.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    437000 | NC      | $145783.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    125621 | NC      | $45349.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    231000 | NC      | $77061.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    667000 | NC      | $57628.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    267000 | NC      | $23068.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    220000 | NC      | $40920.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1395000 | NC      | $120528.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    930000 | NC      | $80352.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    930000 | NC      | $80352.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    930000 | NC      | $80352.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    210000 | NC      | $18144.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     15000 | NC      | $2385.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    285000 | NC      | $24624.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    415000 | NC      | $79555.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    430000 | NC      | $82431.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    470000 | NC      | $40608.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    412000 | NC      | $35596.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    126000 | NC      | $21835.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    606000 | NC      | $96354.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     32855 | NC      | $11860.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    596000 | NC      | $114253.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    596000 | NC      | $114253.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1544000 | NC      | $368707.20    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1436000 | NC      | $228324.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    718000 | NC      | $124429.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    718000 | NC      | $114162.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    734000 | NC      | $63417.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    433000 | NC      | $83006.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1053584 | NC      | $403101.39    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    642000 | NC      | $123071.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    618000 | NC      | $125454.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    177000 | NC      | $16284.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1573000 | NC      | $375632.40    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    115590 | NC      | $15558.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1128000 | NC      | $64296.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    138000 | NC      | $29545.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1317000 | NC      | $409850.40    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    271000 | NC      | $84335.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1891000 | NC      | $588479.20    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    140000 | NC      | $43568.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     28000 | NC      | $8713.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    349000 | NC      | $111261.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    275000 | NC      | $91740.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    183000 | NC      | $58340.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    348000 | NC      | $110942.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $6423.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    139000 | NC      | $44313.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    113000 | NC      | $36024.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    160000 | NC      | $51008.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    168000 | NC      | $56044.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     78626 | NC      | $30082.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     31450 | NC      | $12032.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     45000 | NC      | $9634.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    360000 | NC      | $114768.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |   1141782 | NC      | $436845.76    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    336000 | NC      | $107116.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     54012 | NC      | $20665.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2074000 | NC      | $691886.40    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    149992 | NC      | $20188.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    324000 | NC      | $108086.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    147680 | NC      | $56502.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     75000 | NC      | $16057.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    328000 | NC      | $56842.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    149000 | NC      | $22618.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    213000 | NC      | $38510.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1964000 | NC      | $611196.80    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    497000 | NC      | $75444.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1618000 | NC      | $292534.40    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    233000 | NC      | $42126.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1062000 | NC      | $200293.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    146000 | NC      | $22162.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    162000 | NC      | $24591.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1502000 | NC      | $271561.60    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    259000 | NC      | $46827.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    246000 | NC      | $44476.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    300000 | NC      | $54240.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    915000 | NC      | $165432.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $1015.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    469000 | NC      | $81277.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    623000 | NC      | $107965.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    984000 | NC      | $170527.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    153000 | NC      | $26514.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1405000 | NC      | $243486.50    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     79000 | NC      | $16037.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    626000 | NC      | $108485.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    656000 | NC      | $113684.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    226000 | NC      | $39165.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    199000 | NC      | $34486.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2829000 | NC      | $490265.70    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    200000 | NC      | $40600.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $609.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    109392 | NC      | $41853.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    953000 | NC      | $144665.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $151.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    602000 | NC      | $95718.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      6000 | NC      | $1582.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1590000 | NC      | $275547.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    684000 | NC      | $108756.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Institutional U.S. Government Money Market Fund, Premier Class | SHORT TERM INV FUND                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |  17308000 | NS      | $17308000.00  | 3.69%             |  |  |  | No            |                  1 | On Loan: No      |
| PUTNAM INVESTMENT FUNDS-PUTNAM GOVERNMENT MONEY MARKET FUND                 | SHORT TERM INV FUND                   | CUSIP: 74680A869<br>LEI: 549300SEUI2XMME8T893 | Long             | STIV             | PF                | US        |     10000 | NS      | $10000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PUTNAM SHORT TERM INVESTMENT FUND                                           | SHORT TERM INV FUND                   | CUSIP: 74676P664<br>LEI: 5493003MK0Q7JP8CPP42 | Long             | STIV             | PF                | US        |  42731463 | NS      | $42731463.00  | 9.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |   4715100 | NC      | $44463.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |   4715100 | NC      | $-21689.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   9034500 | NC      | $-365535.87   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   9034500 | NC      | $274558.46    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  24704500 | NC      | $236669.11    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  24704500 | NC      | $-214929.15   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  12352300 | NC      | $-417137.17   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  12352300 | NC      | $281261.87    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  32653500 | NC      | $-366372.27   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  32653500 | NC      | $570783.18    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  31673900 | NC      | $-332259.21   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  31673900 | NC      | $583749.98    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  19953000 | NC      | $1795.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  19953000 | NC      | $-798.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   4497500 | NC      | $132991.07    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   4497500 | NC      | $-242235.35   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4579000 | NC      | $-358856.23   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4579000 | NC      | $173360.94    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   4579000 | NC      | $-304640.87   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |   4579000 | NC      | $167133.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    219200 | NC      | $-11308.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | SWAPTION                              | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | US        |    219200 | NC      | $-5819.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  12942000 | NC      | $-1051149.24  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  12942000 | NC      | $2021669.82   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  14080100 | NC      | $-450422.40   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  14080100 | NC      | $642897.37    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   7647900 | NC      | $-233031.51   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   7647900 | NC      | $583764.21    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   5742300 | NC      | $-186624.75   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   5742300 | NC      | $540522.70    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  10707100 | NC      | $-317251.37   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  10707100 | NC      | $795323.39    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   2820300 | NC      | $157372.74    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK/THE                                                   | SWAPTION                              | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | N/A              | DIR              | CORP              | CA        |   2820300 | NC      | $-68420.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  28930400 | NC      | $363655.13    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  20251300 | NC      | $-762258.93   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   8587600 | NC      | $149681.87    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   8587600 | NC      | $-81152.82    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  57860800 | NC      | $-2136799.34  | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        | 115721600 | NC      | $1270623.17   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   6879800 | NC      | $358299.98    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   6879800 | NC      | $-175985.28   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |  12539500 | NC      | $-572929.76   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | SWAPTION                              | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DIR              | CORP              | US        |  12539500 | NC      | $907232.82    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  71961800 | NC      | $-425294.24   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  71961800 | NC      | $1532786.34   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        | 176037200 | NC      | $-1242822.63  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        | 176037200 | NC      | $4510073.06   | 0.96%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  86001300 | NC      | $4628589.97   | 0.99%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  86001300 | NC      | $-1538563.26  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2526100 | NC      | $359691.38    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2526100 | NC      | $-217497.21   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  27464600 | NC      | $-1565207.55  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |  27464600 | NC      | $457010.94    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4234200 | NC      | $136214.21    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   4234200 | NC      | $-346569.27   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  17079100 | NC      | $-510323.51   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  17079100 | NC      | $1107067.26   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  23191700 | NC      | $1244698.54   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  23191700 | NC      | $-708506.44   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   9762800 | NC      | $-730062.18   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   9762800 | NC      | $1949338.28   | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   5918800 | NC      | $1156651.90   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   5918800 | NC      | $-438997.40   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   8812200 | NC      | $-645405.53   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   8812200 | NC      | $1754244.65   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  53614900 | NC      | $614426.75    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  53614900 | NC      | $-592980.79   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  21231500 | NC      | $-232272.61   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  21231500 | NC      | $199788.42    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |  22133600 | NC      | $-74590.23    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  39112600 | NC      | $126333.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                                        | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  39112600 | NC      | $-91914.61    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                                         | SWAPTION                              | CUSIP: N/A<br>LEI: KB1H1DSPRFMYMCUFXT09       | N/A              | DIR              | CORP              | US        |  24703100 | NC      | $-180579.66   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |  22530900 | NC      | $307997.40    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |  22530900 | NC      | $-394741.37   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $2698100.74   | 0.58%             | 2023-01-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796ZH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9300000 | PA      | $9300000.00   | 1.98%             | 2023-01-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2990481.65   | 0.64%             | 2023-02-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796ZL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $997759.56    | 0.21%             | 2023-01-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. BOND                          | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    189000 | PA      | $121296.42    | 0.03%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2099000 | PA      | $1769624.92   | 0.38%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CED9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    310000 | PA      | $294611.60    | 0.06%             | 2025-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    257000 | PA      | $242844.44    | 0.05%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CBM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    236000 | PA      | $224327.44    | 0.05%             | 2024-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    468000 | PA      | $401492.52    | 0.09%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 9128285C0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    448000 | PA      | $436705.92    | 0.09%             | 2025-09-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    284000 | PA      | $271026.88    | 0.06%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 912828VS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    424000 | PA      | $422254.48    | 0.09%             | 2023-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T. NOTE                          | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    216000 | PA      | $193797.36    | 0.04%             | 2026-10-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-24

**Name of Applicant:** Putnam Investments Inc

**Signature:** Janet C. Smith

**Name of Signer:** NPORT

**Title:** Principal Financial Officer