# EDGAR Filing Document

**Accession Number:** 0000732337
**File Stem:** 0002071691-26-003941
**Filing Date:** 2026-2
**Character Count:** 197194
**Document Hash:** d340d81275cac2bde5ec85e9edef92d7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-003941.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0002071691-26-003941

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20260930

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03897
- **FILM NUMBER:** 26675056

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

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

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

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

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

## Series and Classes Contracts Data

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

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000017922 | Class A Shares  | PGSIX           |
| C000017924 | Class C Shares  | PGVCX           |
| C000017926 | Class R Shares  | PGVRX           |
| C000017927 | Class Y Shares  | PUSYX           |
| C000200295 | Class R6 Shares |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Mortgage Securities Fund

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

- **a. Name of Series:** Putnam Morgtage Securities Fund

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

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

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2025-12-31

**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:** $1101266170.48

**Total Liabilities:** $711269116.65

**Net Assets:** $389997053.83

**Delayed Delivery Securities:** $694072011.74

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -301.36000000 | **1-Year:** -1856.50000000 | **5-Year:** -907.75000000 | **10-Year:** -4322.25000000 | **30-Year:** -13892.26000000

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

- **3-Month:** -326.37000000 | **1-Year:** 114925.82000000 | **5-Year:** -112227.57000000 | **10-Year:** 208896.46000000 | **30-Year:** -57495.21000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000017922 | 0.99%                | 0.68%                | 0.39%                |
| Class ID C000017924 | 0.81%                | 0.63%                | 0.33%                |
| Class ID C000017926 | 0.86%                | 0.68%                | 0.38%                |
| Class ID C000017927 | 1.02%                | 0.72%                | 0.29%                |
| Class ID C000200295 | 0.91%                | 0.73%                | 0.43%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-672459.12              | $1983024.18                                |
| Month 2  | $642304.95               | $1888535.47                                |
| Month 3  | $-884342.31              | $-1640273.94                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                   | Title                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM2, Class A1                                    | CUSIP: 00002DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1071408 | PA      | $1072667.21   | 0.28%             | 2068-05-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM4, Class A1                                    | CUSIP: 00002MAA7<br>LEI: 9845002EOD0CFAFA4F48 | Long             | ABS-MBS          | CORP              | US        |    1149185 | PA      | $1165073.12   | 0.30%             | 2068-09-25      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2024-NQM1, Class A1                                    | CUSIP: 00039GAA7<br>LEI: 984500E3BD374F778L95 | Long             | ABS-MBS          | CORP              | US        |    1275001 | PA      | $1285288.66   | 0.33%             | 2069-02-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM5, Class A1                                    | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |    1437048 | PA      | $1454928.56   | 0.37%             | 2068-11-25      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11000000 | PA      | $9955859.43   | 2.55%             | 2041-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18000000 | PA      | $16669687.50  | 4.27%             | 2041-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   81000000 | PA      | $65495771.37  | 16.79%            | 2056-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $8516601.54   | 2.18%             | 2041-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   67000000 | PA      | $56651640.96  | 14.53%            | 2056-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3848593.72   | 0.99%             | 2041-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $29193398.52  | 7.49%             | 2056-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1944538.84   | 0.50%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $30513398.19  | 7.82%             | 2056-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $18551154.45  | 4.76%             | 2056-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $7979375.04   | 2.05%             | 2056-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  137000000 | PA      | $138937021.08 | 35.63%            | 2056-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   72000000 | PA      | $73935627.84  | 18.96%            | 2056-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   69000000 | PA      | $71718381.27  | 18.39%            | 2056-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                | American Home Mortgage Investment Trust, Series 2007-1, Class GA1C                | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4710825 | PA      | $2871917.56   | 0.74%             | 2047-05-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust, Series 2019-3, Class M1                                    | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $706943.10    | 0.18%             | 2048-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C5, Class F                       | CUSIP: 05492JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1001000 | PA      | $616561.35    | 0.16%             | 2052-11-15      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2024-5C29, Class XA                                  | CUSIP: 05555PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19350391 | PA      | $996158.11    | 0.26%             | 2057-09-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                     | BMO Mortgage Trust, Series 2024-5C6, Class XA                                     | CUSIP: 05593QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11393673 | PA      | $480042.77    | 0.12%             | 2057-09-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2018-BN11, Class D                                                   | CUSIP: 06540TAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     839000 | PA      | $709112.65    | 0.18%             | 2061-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2024-BNK48, Class XA                                                 | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9719991 | PA      | $776935.38    | 0.20%             | 2057-10-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| BANK5 Trust                                            | BANK5 Trust, Series 2024-5YR10, Class XA                                          | CUSIP: 06604AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14878670 | PA      | $579540.58    | 0.15%             | 2057-10-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust              | Bayview Opportunity Master Fund VII Trust, Series 2023-1A, Class A                | CUSIP: 072927AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     317383 | PA      | $325296.93    | 0.08%             | 2060-10-28      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Mortgage Pass-Through Trust          | Bayview Financial Mortgage Pass-Through Trust, Series 2006-C, Class 1A3           | CUSIP: 07325DAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1343917 | PA      | $1330931.73   | 0.34%             | 2036-11-28      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C4, Class E                       | CUSIP: 07335CAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2034000 | PA      | $1119398.27   | 0.29%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2025-C32, Class XA                                   | CUSIP: 07337AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10555008 | PA      | $867648.02    | 0.22%             | 2062-02-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                               | Bear Stearns ALT-A Trust, Series 2005-8, Class 21A1                               | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255150 | PA      | $210109.05    | 0.05%             | 2035-10-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                               | Bear Stearns ALT-A Trust, Series 2005-10, Class 11A1                              | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153167 | PA      | $146991.22    | 0.04%             | 2036-01-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B15, Class XA                               | CUSIP: 08160KAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13461242 | PA      | $330243.30    | 0.08%             | 2072-12-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B3, Class D                                 | CUSIP: 08161BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1141000 | PA      | $819737.30    | 0.21%             | 2051-04-10      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B11, Class D                                | CUSIP: 08162BAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1556000 | PA      | $852665.28    | 0.22%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class E                                 | CUSIP: 08162PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1840000 | PA      | $978296.72    | 0.25%             | 2051-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class C                                 | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     718000 | PA      | $601355.95    | 0.15%             | 2051-01-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2024-V10, Class XA                               | CUSIP: 08163UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12777913 | PA      | $538861.18    | 0.14%             | 2057-09-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2024-V11, Class XA                               | CUSIP: 081921BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23288617 | PA      | $465821.25    | 0.12%             | 2057-11-15      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Mortgage Trust, Series 2022-26BW, Class E                                    | CUSIP: 12429EAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1133000 | PA      | $630412.98    | 0.16%             | 2044-02-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Mortgage Trust, Series 2022-26BW, Class F                                    | CUSIP: 12429EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2305000 | PA      | $1136697.15   | 0.29%             | 2044-02-10      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| CAFL Issuer LLC                                        | CAFL Issuer LLC, Series 2023-RTL1, Class A1                                       | CUSIP: 124762AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     526000 | PA      | $526000.00    | 0.13%             | 2030-12-28      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2019-CD8, Class D                                       | CUSIP: 12515BAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1450000 | PA      | $946235.06    | 0.24%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD4, Class B                                       | CUSIP: 12515DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1408000 | PA      | $1348251.52   | 0.35%             | 2050-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class B                                       | CUSIP: 12515GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     826000 | PA      | $552935.88    | 0.14%             | 2050-02-10      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class C                                       | CUSIP: 12515GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1638000 | PA      | $605099.97    | 0.16%             | 2050-02-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class D                                       | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2095856 | PA      | $120406.08    | 0.03%             | 2050-02-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                        | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class E                          | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     603000 | PA      | $573454.39    | 0.15%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                        | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3                         | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     624000 | PA      | $620093.45    | 0.16%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR12, Class AM                                   | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |    1425245 | PA      | $1354144.07   | 0.35%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS4, Class D                                    | CUSIP: 12591QAD4<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     757000 | PA      | $175073.66    | 0.04%             | 2047-08-10      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS4, Class C                                    | CUSIP: 12591QAW2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     397060 | PA      | $307005.60    | 0.08%             | 2047-08-10      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR16, Class C                                    | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1741904 | PA      | $1661340.94   | 0.43%             | 2047-04-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS3, Class C                                    | CUSIP: 12591YBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     409000 | PA      | $379316.83    | 0.10%             | 2047-06-10      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS5, Class AM                                   | CUSIP: 12592KBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     398155 | PA      | $392361.06    | 0.10%             | 2047-09-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-CR26, Class D                                    | CUSIP: 12593QBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1351375 | PA      | $1109313.33   | 0.28%             | 2048-10-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2017-COR2, Class D                                    | CUSIP: 12595EAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     882000 | PA      | $800055.76    | 0.21%             | 2050-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2018-COR3, Class D                                    | CUSIP: 12595VAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     499000 | PA      | $209161.19    | 0.05%             | 2051-05-10      | Variable      | 2.81%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class D                         | CUSIP: 12597BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     798000 | PA      | $432741.36    | 0.11%             | 2052-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-LC4, Class D                                     | CUSIP: 126192AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2254067 | PA      | $1737399.14   | 0.45%             | 2044-12-10      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class AM                                    | CUSIP: 12624QAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1721000 | PA      | $1598973.18   | 0.41%             | 2045-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class B                                     | CUSIP: 12624QBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     924000 | PA      | $663138.26    | 0.17%             | 2045-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR7, Class D                                     | CUSIP: 12625FBA3<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |     679466 | PA      | $649716.64    | 0.17%             | 2046-03-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-LC13, Class D                                    | CUSIP: 12626GAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2439484 | PA      | $2290980.04   | 0.59%             | 2046-08-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class B                          | CUSIP: 126281BE3<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |     792358 | PA      | $758818.52    | 0.19%             | 2050-04-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C                          | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |     644000 | PA      | $587856.98    | 0.15%             | 2050-04-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-DC1, Class B                                     | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1285000 | PA      | $1232572.26   | 0.32%             | 2048-02-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR13, Class D                                    | CUSIP: 12630BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2536000 | PA      | $1382120.00   | 0.35%             | 2046-11-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class D                                    | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1959000 | PA      | $1642658.72   | 0.42%             | 2047-05-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class B                                    | CUSIP: 12631DBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615153 | PA      | $598709.92    | 0.15%             | 2047-05-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class C                                    | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1360000 | PA      | $1264904.72   | 0.32%             | 2047-05-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class C                          | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     390222 | PA      | $375978.61    | 0.10%             | 2057-06-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class D                          | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     838000 | PA      | $678780.00    | 0.17%             | 2057-06-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class C                          | CUSIP: 12635FAZ7<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    1033000 | PA      | $947454.69    | 0.24%             | 2048-08-15      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2006-OA19, Class A1                                | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1556607 | PA      | $1278598.36   | 0.33%             | 2047-02-20      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                         | Carrington Mortgage Loan Trust, Series 2006-NC2, Class A4                         | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1864160 | PA      | $1806944.14   | 0.46%             | 2036-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Structured Trust                   | Castlelake Aircraft Structured Trust, Series 2025-2A, Class A                     | CUSIP: 14855XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     817212 | PA      | $828100.25    | 0.21%             | 2050-08-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C                     | CUSIP: 17318UAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1387488 | PA      | $1377076.68   | 0.35%             | 2045-09-10      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class D                    | CUSIP: 17323CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1652193 | PA      | $1607473.75   | 0.41%             | 2048-02-10      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class E                    | CUSIP: 17323CAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2035000 | PA      | $1797604.23   | 0.46%             | 2048-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                               | COLT Mortgage Loan Trust, Series 2023-3, Class A1                                 | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |    1756375 | PA      | $1777124.16   | 0.46%             | 2068-09-25      | Fixed         | 7.18%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-LC19, Class D                                    | CUSIP: 200474AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1240000 | PA      | $1161504.53   | 0.30%             | 2048-02-10      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-LC19, Class E                                    | CUSIP: 200474AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1436000 | PA      | $1303094.32   | 0.33%             | 2048-02-10      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-LC6, Class E                                     | CUSIP: 20048EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     701000 | PA      | $660048.98    | 0.17%             | 2046-01-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1M2             | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1887000 | PA      | $1945630.22   | 0.50%             | 2040-02-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1B1             | CUSIP: 20753VBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3455000 | PA      | $3639816.24   | 0.93%             | 2040-02-25      | Floating      | 10.74%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2              | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3048000 | PA      | $3104027.73   | 0.80%             | 2042-01-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-R01, Class 1B1              | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     347000 | PA      | $353581.41    | 0.09%             | 2040-01-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1              | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     311000 | PA      | $316399.30    | 0.08%             | 2040-01-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18000000 | PA      | $14911803.36  | 3.82%             | 2056-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37000000 | PA      | $31921172.06  | 8.18%             | 2056-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14000000 | PA      | $12742725.66  | 3.27%             | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13000000 | PA      | $12282460.97  | 3.15%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20000000 | PA      | $19484375.00  | 5.00%             | 2056-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10000000 | PA      | $9978708.00   | 2.56%             | 2056-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4000000 | PA      | $4039410.56   | 1.04%             | 2056-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12000000 | PA      | $12230156.28  | 3.14%             | 2056-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4000000 | PA      | $4135312.52   | 1.06%             | 2056-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                   | Cross Mortgage Trust, Series 2024-H1, Class A1                                    | CUSIP: 22757AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1446324 | PA      | $1458824.21   | 0.37%             | 2068-12-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc.                                            | CWABS, Inc. Asset-Backed Certificates Trust, Series 2007-10, Class 1A1            | CUSIP: 23246BAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2569472 | PA      | $2478236.88   | 0.64%             | 2047-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                   | DBUBS Mortgage Trust, Series 2011-LC3A, Class D                                   | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1278912 | PA      | $1238104.94   | 0.32%             | 2044-08-10      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer II LLC                                 | DataBank Issuer II LLC, Series 2025-1A, Class A2                                  | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     420000 | PA      | $414520.13    | 0.11%             | 2055-09-27      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-B Securities Mortgage Loan Trust          | Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A4B         | CUSIP: 251513AZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1718119 | PA      | $1507043.15   | 0.39%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class C                    | CUSIP: 29425AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     770000 | PA      | $673983.31    | 0.17%             | 2058-09-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class D                    | CUSIP: 29425AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $154685.00    | 0.04%             | 2058-09-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 1B               | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    2802437 | PA      | $2889026.33   | 0.74%             | 2028-10-25      | Floating      | 15.74%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 2B               | CUSIP: 30711XCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     465289 | PA      | $480973.19    | 0.12%             | 2028-10-25      | Floating      | 16.74%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C04, Class 1B               | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     776268 | PA      | $812069.81    | 0.21%             | 2029-01-25      | Floating      | 14.24%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C06, Class 1B               | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     502064 | PA      | $531023.42    | 0.14%             | 2029-04-25      | Floating      | 13.24%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 304, Class C37                                                      | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20591 | PA      | $323.68       | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 406, Class F30                                                      | CUSIP: 3133Q3H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     550006 | PA      | $553824.03    | 0.14%             | 2053-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2011-123, Class KS                                                   | CUSIP: 3136A2QG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165285 | PA      | $12378.15     | 0.00%             | 2041-10-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2012-104, Class HI                                                   | CUSIP: 3136A8DU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160627 | PA      | $2097.39      | 0.00%             | 2027-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2015-58, Class KI                                                    | CUSIP: 3136APW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2965542 | PA      | $479589.29    | 0.12%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-20, Class SB                                                    | CUSIP: 3136B07G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3603972 | PA      | $351314.86    | 0.09%             | 2048-03-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-51, Class BI                                                    | CUSIP: 3136B2KV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1474292 | PA      | $72296.35     | 0.02%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2019-51, Class SA                                                    | CUSIP: 3136B5P41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5560415 | PA      | $757940.76    | 0.19%             | 2049-09-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2019-83, Class QS                                                    | CUSIP: 3136B8BC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12740369 | PA      | $1720979.21   | 0.44%             | 2050-01-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-20, Class IK                                                    | CUSIP: 3136B9JP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5054970 | PA      | $751888.33    | 0.19%             | 2050-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-31                                                              | CUSIP: 3136B9WV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8099170 | PA      | $1475881.03   | 0.38%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-62, Class MI                                                    | CUSIP: 3136BBZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23596000 | PA      | $4300319.11   | 1.10%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-96                                                              | CUSIP: 3136BDLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6806417 | PA      | $1125051.70   | 0.29%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-3, Class IB                                                     | CUSIP: 3136BDYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5464515 | PA      | $919928.19    | 0.24%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-14, Class CI                                                    | CUSIP: 3136BFDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3698280 | PA      | $830073.48    | 0.21%             | 2049-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-25, Class IJ                                                    | CUSIP: 3136BHEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17862924 | PA      | $3449034.09   | 0.88%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-49, Class IA                                                    | CUSIP: 3136BQKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7112133 | PA      | $927884.47    | 0.24%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-49, Class IB                                                    | CUSIP: 3136BQKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6067459 | PA      | $941185.46    | 0.24%             | 2047-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-57, Class SC                                                    | CUSIP: 3136BQQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5058676 | PA      | $510630.29    | 0.13%             | 2049-10-25      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-105, Class FC                                                   | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1738347 | PA      | $1744714.05   | 0.45%             | 2055-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4018, Class DI                                                      | CUSIP: 3137AMVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104944 | PA      | $1212.34      | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4136, Class IQ                                                      | CUSIP: 3137AWHJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2480686 | PA      | $250040.75    | 0.06%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4326, Class GS                                                      | CUSIP: 3137BABH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6845298 | PA      | $703697.31    | 0.18%             | 2044-04-15      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5057, Class TI                                                      | CUSIP: 3137F7LN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13576988 | PA      | $2188491.03   | 0.56%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5050, Class IM                                                      | CUSIP: 3137F7Q24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8477625 | PA      | $1677538.90   | 0.43%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5071, Class IV                                                      | CUSIP: 3137F9RB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16177066 | PA      | $2880920.27   | 0.74%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4839, Class WS                                                      | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6294706 | PA      | $889113.43    | 0.23%             | 2056-08-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4915, Class SD                                                      | CUSIP: 3137FNKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6886643 | PA      | $770087.86    | 0.20%             | 2049-09-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4953, Class AI                                                      | CUSIP: 3137FQZQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3820317 | PA      | $772025.37    | 0.20%             | 2050-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5003, Class DS                                                      | CUSIP: 3137FVJG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5856601 | PA      | $772698.32    | 0.20%             | 2050-08-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5121, Class KI                                                      | CUSIP: 3137H0LW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6202256 | PA      | $1510631.93   | 0.39%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5349, Class IB                                                      | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4205138 | PA      | $919347.38    | 0.24%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5391, Class FC                                                      | CUSIP: 3137HBUJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     434107 | PA      | $436678.86    | 0.11%             | 2054-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5529, Class EI                                                      | CUSIP: 3137HKUM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3332805 | PA      | $740481.26    | 0.19%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5558, Class SG                                                      | CUSIP: 3137HM4N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19536653 | PA      | $1903983.62   | 0.49%             | 2055-07-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2001-79, Class BI                                                    | CUSIP: 31392BMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390492 | PA      | $2027.04      | 0.00%             | 2045-03-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2003-W3, Class 1A4                                                   | CUSIP: 31392JYJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11037 | PA      | $10797.81     | 0.00%             | 2042-08-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA REMIC Trust, Series 2003-W11, Class A1                                       | CUSIP: 31393C6U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $199.31       | 0.00%             | 2033-06-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2003-34, Class P1                                                    | CUSIP: 31393CFC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27599 | PA      | $25465.33     | 0.01%             | 2043-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA REMIC Trust, Series 2003-W14, Class 2A                                       | CUSIP: 31393E6M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5411 | PA      | $5318.57      | 0.00%             | 2043-01-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2004-W2, Class 4A                                                    | CUSIP: 31393XGT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1948 | PA      | $1926.55      | 0.00%             | 2044-02-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA REMIC Trust, Series 2004-W7, Class A2                                        | CUSIP: 31393YZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2007 | PA      | $2025.49      | 0.00%             | 2034-03-25      | Variable      | 7.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Structured Pass-Through Certificates, Series T-57, Class 2A1               | CUSIP: 31394JDB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8447 | PA      | $8311.22      | 0.00%             | 2043-07-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Structured Pass-Through Certificates, Series T-59, Class 2A1               | CUSIP: 31394PPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4301 | PA      | $3658.17      | 0.00%             | 2043-10-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3065, Class DC                                                      | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     672813 | PA      | $704709.26    | 0.18%             | 2035-03-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3117, Class AF                                                      | CUSIP: 31396HU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9153 | PA      | $8121.92      | 0.00%             | 2036-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2006-84, Class OT                                                    | CUSIP: 31396K2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        600 | PA      | $507.83       | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2007-14, Class KO                                                    | CUSIP: 31396PG62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1644 | PA      | $1406.09      | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3369, Class BO                                                      | CUSIP: 31397KMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        988 | PA      | $848.63       | 0.00%             | 2037-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2008-53, Class DO                                                    | CUSIP: 31397LB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60276 | PA      | $50720.81     | 0.01%             | 2038-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3391                                                                | CUSIP: 31397P6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17858 | PA      | $15716.40     | 0.00%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3408, Class EK                                                      | CUSIP: 31397PUB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92539 | PA      | $111519.80    | 0.03%             | 2037-04-15      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN1, Class M2        | CUSIP: 35563FAB7<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | CORP              | US        |    1051000 | PA      | $1087247.73   | 0.28%             | 2051-01-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN3, Class M2        | CUSIP: 35563GAB5<br>LEI: 549300FK6HM4FW58SP67 | Long             | ABS-MBS          | CORP              | US        |    2289000 | PA      | $2377736.75   | 0.61%             | 2051-11-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA1, Class B2                                     | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-MBS          | CORP              | US        |    4520000 | PA      | $5569798.02   | 1.43%             | 2049-01-25      | Floating      | 14.74%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2018-HQA2, Class B2                                     | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |    2108000 | PA      | $2618601.24   | 0.67%             | 2048-10-25      | Floating      | 14.99%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2021-DNA1, Class B2                               | CUSIP: 35564KBE8<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | CORP              | US        |    1330000 | PA      | $1478575.23   | 0.38%             | 2051-01-25      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-HQA2, Class B2                                     | CUSIP: 35564MBE4<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-MBS          | CORP              | US        |     637000 | PA      | $756440.94    | 0.19%             | 2049-04-25      | Floating      | 15.24%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR1, Class B2                                     | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |    2681000 | PA      | $3182514.83   | 0.82%             | 2048-01-25      | Floating      | 12.34%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA4, Class B2                                     | CUSIP: 35565ABE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1070000 | PA      | $1186602.61   | 0.30%             | 2049-10-25      | Floating      | 10.24%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR3, Class B2                                     | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-MBS          | CORP              | US        |     371000 | PA      | $404630.85    | 0.10%             | 2047-09-25      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-HQA2, Class B2                               | CUSIP: 35565LBE5<br>LEI: 5493000ITBJ4KEFYWF83 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1214136.90   | 0.31%             | 2050-03-25      | Floating      | 11.59%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-HQA3, Class B2                               | CUSIP: 35565MBE3<br>LEI: 5493000ITAM9GTFUKP51 | Long             | ABS-MBS          | CORP              | US        |     916000 | PA      | $1211732.98   | 0.31%             | 2050-07-25      | Floating      | 13.99%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-DNA4, Class B2                               | CUSIP: 35565XBE9<br>LEI: 5493000ITFTMJUMPDE35 | Long             | ABS-MBS          | CORP              | US        |    2647000 | PA      | $3533196.54   | 0.91%             | 2050-08-25      | Floating      | 13.99%                | No            |                  2 | On Loan: No      |
| GGAM Master Trust International Ltd.                   | GGAM Master Trust International Ltd., Series 2025-1A, Class A                     | CUSIP: 36173XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     819000 | PA      | $826085.33    | 0.21%             | 2060-09-30      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                                           | CUSIP: 36202K3W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        205 | PA      | $205.35       | 0.00%             | 2026-07-20      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2017-GS5, Class D                            | CUSIP: 36252HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1021000 | PA      | $133929.88    | 0.03%             | 2050-03-10      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC24, Class B                           | CUSIP: 36253GAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1608000 | PA      | $1552192.75   | 0.40%             | 2047-09-10      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC24, Class D                           | CUSIP: 36253GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1892000 | PA      | $1201401.08   | 0.31%             | 2047-09-10      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                    | CUSIP: 36292DKQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $58.98        | 0.00%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                   | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     555477 | PA      | $548130.34    | 0.14%             | 2061-09-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2009-121, Class CI                                                   | CUSIP: 38375ASD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2511123 | PA      | $403008.30    | 0.10%             | 2039-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H10, Class MI                                                   | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4854175 | PA      | $143368.07    | 0.04%             | 2067-04-20      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H21, Class AI                                                   | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4578580 | PA      | $205019.67    | 0.05%             | 2064-10-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H23, Class BI                                                   | CUSIP: 38375UT59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3822558 | PA      | $135846.07    | 0.03%             | 2067-11-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H09                                                             | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4714568 | PA      | $138231.15    | 0.04%             | 2067-04-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class GI                                                   | CUSIP: 38376R2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5855985 | PA      | $513523.08    | 0.13%             | 2067-02-20      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class NI                                                   | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3989696 | PA      | $125857.74    | 0.03%             | 2067-03-20      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H23, Class NI                                                   | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6766493 | PA      | $334149.73    | 0.09%             | 2066-10-20      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class HI                                                   | CUSIP: 38376RAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4707308 | PA      | $252434.07    | 0.06%             | 2065-04-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H14, Class AI                                                   | CUSIP: 38376RCA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9161207 | PA      | $495502.20    | 0.13%             | 2065-06-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H13, Class AI                                                   | CUSIP: 38376RCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4072878 | PA      | $223930.88    | 0.06%             | 2065-06-20      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class XI                                                   | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2064140 | PA      | $123097.07    | 0.03%             | 2065-07-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class CI                                                   | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5704610 | PA      | $298288.38    | 0.08%             | 2065-08-20      | Variable      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class JI                                                   | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2100244 | PA      | $131826.04    | 0.03%             | 2066-11-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H22, Class AI                                                   | CUSIP: 38376RGU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7075898 | PA      | $352117.90    | 0.09%             | 2065-09-20      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H23, Class TI                                                   | CUSIP: 38376RHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3227871 | PA      | $130935.38    | 0.03%             | 2065-09-20      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24                                                             | CUSIP: 38376RJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6171976 | PA      | $383662.38    | 0.10%             | 2066-09-20      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H27, Class GI                                                   | CUSIP: 38376RK21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7552850 | PA      | $477181.54    | 0.12%             | 2066-12-20      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H03, Class AI                                                   | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3551769 | PA      | $154981.46    | 0.04%             | 2066-01-20      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H07, Class PI                                                   | CUSIP: 38376RRT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5089475 | PA      | $323517.59    | 0.08%             | 2066-03-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H03, Class KI                                                   | CUSIP: 38376RS31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6318398 | PA      | $513717.31    | 0.13%             | 2067-01-20      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H06, Class DI                                                   | CUSIP: 38376RSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3153211 | PA      | $128843.34    | 0.03%             | 2065-07-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H04, Class BI                                                   | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4560918 | PA      | $194814.61    | 0.05%             | 2067-02-20      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H10, Class AI                                                   | CUSIP: 38376RUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6705628 | PA      | $202013.74    | 0.05%             | 2066-04-20      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H13, Class IK                                                   | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3993568 | PA      | $355347.72    | 0.09%             | 2066-06-20      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class MI                                                   | CUSIP: 38376RX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6000570 | PA      | $251117.84    | 0.06%             | 2067-02-20      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H18, Class QI                                                   | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4475806 | PA      | $238752.91    | 0.06%             | 2066-06-20      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H19, Class AI                                                   | CUSIP: 38376RZM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5409438 | PA      | $246843.46    | 0.06%             | 2066-09-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2010-20, Class SC                                                    | CUSIP: 38376VFR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     337334 | PA      | $39841.76     | 0.01%             | 2040-02-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-136                                                             | CUSIP: 38377X4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4181471 | PA      | $540239.00    | 0.14%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-156, Class SK                                                   | CUSIP: 38378A3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4492898 | PA      | $504205.59    | 0.13%             | 2038-04-20      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-38, Class MI                                                    | CUSIP: 38378DRC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4351903 | PA      | $755341.97    | 0.19%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-6, Class OI                                                     | CUSIP: 38378FJQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4597937 | PA      | $921815.98    | 0.24%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-39, Class IJ                                                    | CUSIP: 38378JUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3576056 | PA      | $544398.31    | 0.14%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-51, Class QI                                                    | CUSIP: 38378MTJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1720684 | PA      | $180049.11    | 0.05%             | 2043-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-182, Class SP                                                   | CUSIP: 38378PFQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2156095 | PA      | $305033.11    | 0.08%             | 2043-12-20      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-87, Class SA                                                    | CUSIP: 38378TR36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5291590 | PA      | $620185.48    | 0.16%             | 2043-06-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H04, Class AI                                                   | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5001350 | PA      | $155614.49    | 0.04%             | 2064-12-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-76                                                              | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1610649 | PA      | $334138.21    | 0.09%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-102, Class IG                                                   | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     167482 | PA      | $2403.30      | 0.00%             | 2041-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-119, Class SA                                                   | CUSIP: 38379EAL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2392661 | PA      | $242592.38    | 0.06%             | 2044-08-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-174, Class AI                                                   | CUSIP: 38379GV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     531865 | PA      | $12315.70     | 0.00%             | 2029-11-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-182, Class BI                                                   | CUSIP: 38379HRB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2813654 | PA      | $154608.60    | 0.04%             | 2039-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-53, Class MI                                                    | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2484663 | PA      | $493073.16    | 0.13%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-52, Class KI                                                    | CUSIP: 38379LWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     684371 | PA      | $23564.67     | 0.01%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-89, Class LI                                                    | CUSIP: 38379P4V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2854239 | PA      | $509502.28    | 0.13%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-80, Class SD                                                    | CUSIP: 38379XFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5230583 | PA      | $656968.57    | 0.17%             | 2046-06-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-75, Class LI                                                    | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1792670 | PA      | $252089.53    | 0.06%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H05, Class BI                                                   | CUSIP: 38380L4Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2070831 | PA      | $99352.25     | 0.03%             | 2070-03-20      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H19, Class JI                                                   | CUSIP: 38380LMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6290775 | PA      | $221787.55    | 0.06%             | 2068-10-20      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H18, Class AI                                                   | CUSIP: 38380QQG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14006486 | PA      | $945090.45    | 0.24%             | 2070-09-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H18, Class DI                                                   | CUSIP: 38380QQT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1610602 | PA      | $82511.14     | 0.02%             | 2070-11-20      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-32                                                              | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |   16654853 | PA      | $854054.21    | 0.22%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-110, Class SQ                                                   | CUSIP: 38381YWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4676842 | PA      | $532019.33    | 0.14%             | 2049-09-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-121, Class SD                                                   | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6629472 | PA      | $809772.81    | 0.21%             | 2049-10-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-125, Class SG                                                   | CUSIP: 38382AQY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6863134 | PA      | $804164.42    | 0.21%             | 2049-10-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-47, Class SA                                                    | CUSIP: 38382EFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8450836 | PA      | $916714.54    | 0.24%             | 2044-05-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-96, Class KS                                                    | CUSIP: 38382GU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11628920 | PA      | $1507015.04   | 0.39%             | 2050-07-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-112, Class MS                                                   | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4187323 | PA      | $589953.24    | 0.15%             | 2050-08-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-123, Class NI                                                   | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13063675 | PA      | $1938974.66   | 0.50%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-138, Class IB                                                   | CUSIP: 38382JX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20814170 | PA      | $3013498.36   | 0.77%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-162, Class UI                                                   | CUSIP: 38382KPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6934516 | PA      | $1010724.45   | 0.26%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-175, Class JI                                                   | CUSIP: 38382LMM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8994860 | PA      | $1719121.93   | 0.44%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-7, Class MI                                                     | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10369124 | PA      | $1549576.42   | 0.40%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-8, Class IP                                                     | CUSIP: 38382MUK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23078108 | PA      | $3401530.77   | 0.87%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-89, Class IL                                                    | CUSIP: 38382QB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6112120 | PA      | $1441118.67   | 0.37%             | 2051-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-77, Class SM                                                    | CUSIP: 38382QX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10827394 | PA      | $1468116.72   | 0.38%             | 2051-05-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-76, Class NI                                                    | CUSIP: 38382RNV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9054434 | PA      | $1473399.09   | 0.38%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-59, Class SM                                                    | CUSIP: 38382RPL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3489837 | PA      | $464648.41    | 0.12%             | 2051-04-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-98, Class SK                                                    | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7574300 | PA      | $1032886.10   | 0.26%             | 2051-06-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class NI                                                    | CUSIP: 38382VKU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8028693 | PA      | $942114.91    | 0.24%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-H12, Class IY                                                   | CUSIP: 38382YCJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37718187 | PA      | $740343.89    | 0.19%             | 2071-08-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H04, Class JI                                                   | CUSIP: 38382YMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17979642 | PA      | $872262.55    | 0.22%             | 2072-02-20      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-182, Class TI                                                   | CUSIP: 38383CAC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3924381 | PA      | $730883.71    | 0.19%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-176, Class GI                                                   | CUSIP: 38383CFG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6331356 | PA      | $967874.39    | 0.25%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-188, Class IW                                                   | CUSIP: 38383CUQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6917270 | PA      | $1185754.32   | 0.30%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SL                                                    | CUSIP: 38383HLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17096875 | PA      | $1193113.94   | 0.31%             | 2053-01-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-209, Class SG                                                   | CUSIP: 38383LQW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28334915 | PA      | $1726894.07   | 0.44%             | 2052-12-20      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-120, Class SH                                                   | CUSIP: 38383TB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13967758 | PA      | $1169714.49   | 0.30%             | 2052-07-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-125, Class CI                                                   | CUSIP: 38383TWM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7920249 | PA      | $1536355.60   | 0.39%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-19, Class S                                                     | CUSIP: 38383V3H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21230200 | PA      | $2423635.44   | 0.62%             | 2049-11-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-7, Class AS                                                     | CUSIP: 38383VGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23040563 | PA      | $1639458.19   | 0.42%             | 2053-01-20      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SP                                                    | CUSIP: 38383VYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10348573 | PA      | $772751.74    | 0.20%             | 2053-02-20      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-24, Class SQ                                                    | CUSIP: 38383WDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5884001 | PA      | $411573.52    | 0.11%             | 2053-02-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-56, Class AS                                                    | CUSIP: 38383XS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23505475 | PA      | $1708791.65   | 0.44%             | 2053-04-20      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-153, Class S                                                    | CUSIP: 38383YFW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9154158 | PA      | $971565.54    | 0.25%             | 2050-05-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-66, Class PS                                                    | CUSIP: 38384ARL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2346662 | PA      | $2319476.29   | 0.59%             | 2053-05-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-66, Class SH                                                    | CUSIP: 38384ARM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13099087 | PA      | $966196.55    | 0.25%             | 2053-05-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-103, Class SK                                                   | CUSIP: 38384CCX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12384297 | PA      | $785052.95    | 0.20%             | 2053-07-20      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-152, Class FB                                                   | CUSIP: 38384DZX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     884163 | PA      | $902829.17    | 0.23%             | 2051-04-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-140, Class JS                                                   | CUSIP: 38384EUV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |     795724 | PA      | $815290.07    | 0.21%             | 2053-09-20      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-181, Class DS                                                   | CUSIP: 38384FBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22598029 | PA      | $1446725.80   | 0.37%             | 2053-11-20      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-11, Class S                                                     | CUSIP: 38384G3V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7676552 | PA      | $479806.01    | 0.12%             | 2054-01-20      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-173, Class ES                                                   | CUSIP: 38384GDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7224396 | PA      | $529022.98    | 0.14%             | 2053-11-20      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-7, Class SA                                                     | CUSIP: 38384GL81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7963611 | PA      | $520449.86    | 0.13%             | 2054-01-20      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class ES                                                     | CUSIP: 38384HW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10382887 | PA      | $876354.04    | 0.22%             | 2054-01-20      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class IG                                                     | CUSIP: 38384HZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4885781 | PA      | $944492.87    | 0.24%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class GI                                                     | CUSIP: 38384HZX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3224700 | PA      | $805143.18    | 0.21%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class NS                                                     | CUSIP: 38384HZZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13992107 | PA      | $909701.06    | 0.23%             | 2054-01-20      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class WS                                                    | CUSIP: 38384JKZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15434302 | PA      | $866980.23    | 0.22%             | 2054-02-20      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class SU                                                    | CUSIP: 38384JRW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18543553 | PA      | $1236435.90   | 0.32%             | 2054-02-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-51, Class HS                                                    | CUSIP: 38384KTQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12175624 | PA      | $768396.32    | 0.20%             | 2054-03-20      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-H14, Class IA                                                   | CUSIP: 38384LQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27162519 | PA      | $809127.97    | 0.21%             | 2075-05-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-64, Class QS                                                    | CUSIP: 38384MPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33786871 | PA      | $2501313.03   | 0.64%             | 2054-04-20      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-126, Class LS                                                   | CUSIP: 38384UYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24718806 | PA      | $1973314.62   | 0.51%             | 2054-08-20      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                            | HOMES Trust, Series 2024-NQM1, Class A1                                           | CUSIP: 40390TAA8<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |     154015 | PA      | $155644.31    | 0.04%             | 2069-07-25      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| HTAP                                                   | HTAP Trust, Series 2024-1, Class A                                                | CUSIP: 40445NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1010591 | PA      | $1015654.13   | 0.26%             | 2037-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                         | HarborView Mortgage Loan Trust, Series 2005-2, Class 1A                           | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     949285 | PA      | $257914.29    | 0.07%             | 2035-05-19      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Home RE Ltd.                                           | Home RE Ltd., Series 2021-2, Class B1                                             | CUSIP: 43730VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    1000000 | PA      | $1016570.00   | 0.26%             | 2034-01-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class D               | CUSIP: 46590LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2330000 | PA      | $1152969.28   | 0.30%             | 2049-06-15      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class B               | CUSIP: 46591ABF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     636000 | PA      | $609782.11    | 0.16%             | 2051-06-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class C               | CUSIP: 46591ABG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     835000 | PA      | $761752.30    | 0.20%             | 2051-06-15      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-9, Class A11                              | CUSIP: 46593DAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1792274 | PA      | $1796894.09   | 0.46%             | 2055-02-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust             | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class D              | CUSIP: 465968AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     859000 | PA      | $593398.57    | 0.15%             | 2050-09-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                     | J.P. Morgan Alternative Loan Trust, Series 2006-A6, Class 1A1                     | CUSIP: 466285AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     881451 | PA      | $763975.20    | 0.20%             | 2036-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class D   | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1123000 | PA      | $1038305.81   | 0.27%             | 2046-02-15      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D  | CUSIP: 46639EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1408000 | PA      | $1340779.69   | 0.34%             | 2047-12-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class C  | CUSIP: 46639JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338342 | PA      | $328460.23    | 0.08%             | 2047-12-15      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class E              | CUSIP: 46639NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1235000 | PA      | $853755.50    | 0.22%             | 2045-07-15      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class D              | CUSIP: 46639NAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1408000 | PA      | $1315424.00   | 0.34%             | 2045-07-15      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class B | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     248931 | PA      | $230139.23    | 0.06%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     933000 | PA      | $58788.80     | 0.02%             | 2046-04-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class D              | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1732000 | PA      | $1356075.46   | 0.35%             | 2046-08-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C16, Class D  | CUSIP: 46641BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     924415 | PA      | $877154.54    | 0.22%             | 2046-12-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class B              | CUSIP: 46641JBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     703879 | PA      | $690619.63    | 0.18%             | 2047-02-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class C              | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1124000 | PA      | $1061023.18   | 0.27%             | 2047-09-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class D              | CUSIP: 46643AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     726000 | PA      | $673160.78    | 0.17%             | 2047-09-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class B              | CUSIP: 46643PBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1497000 | PA      | $1398630.63   | 0.36%             | 2047-11-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-VIS2, Class A1                            | CUSIP: 46658DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500652 | PA      | $1519167.91   | 0.39%             | 2064-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      69000 | PA      | $4190.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   26602700 | PA      | $495130.83    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        | -180000000 | PA      | $-82812.42    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   23866000 | PA      | $389373.55    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     784000 | PA      | $-12442.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2165000 | PA      | $-11354.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     130000 | PA      | $3336.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     216000 | PA      | $-94557.53    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      31000 | PA      | $14490.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    2413000 | PA      | $139891.36    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     349000 | PA      | $42346.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17140800 | PA      | $380813.48    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1013000 | PA      | $70921.17     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     348000 | PA      | $42225.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1792000 | PA      | $-186322.32   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    2354000 | PA      | $-191086.74   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1013000 | PA      | $68106.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  120000000 | PA      | $560164.74    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     141000 | PA      | $5466.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   11892700 | PA      | $531423.16    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      14000 | PA      | $1698.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     140000 | PA      | $8502.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     360000 | PA      | $-159877.78   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1274000 | PA      | $-36371.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   13681500 | PA      | $180038.17    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      31000 | PA      | $2993.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1425000 | PA      | $6531.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2467800 | PA      | $324133.67    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    2467800 | PA      | $190223.14    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    4531000 | PA      | $-493312.17   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17140800 | PA      | $665249.19    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   26602700 | PA      | $396757.55    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      65000 | PA      | $63.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   23866000 | PA      | $1480428.19   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1462000 | PA      | $141581.85    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   11892700 | PA      | $413310.47    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1670000 | PA      | $58091.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   12604500 | PA      | $314022.84    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    3640400 | PA      | $421603.27    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    3640400 | PA      | $345038.67    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-7135.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-6695.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-19619.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $17387.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     988000 | PA      | $-6586.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2873200 | PA      | $22947.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1017000 | PA      | $-15890.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2069000 | PA      | $-1758.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1035000 | PA      | $-7043.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     501000 | PA      | $16019.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2728900 | PA      | $329856.39    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2728900 | PA      | $278818.77    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -213943700 | PA      | $-1503992.22  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  213943700 | PA      | $246763.78    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  -60205200 | PA      | $-412055.37   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   34919000 | PA      | $402296.03    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1242000 | PA      | $-1863.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2023-RTL4, Class A1                                  | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     781000 | PA      | $783115.73    | 0.20%             | 2028-11-25      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                        | LSTAR Commercial Mortgage Trust, Series 2017-5, Class A5                          | CUSIP: 54910TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     796000 | PA      | $785923.04    | 0.20%             | 2050-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2023-NQM3, Class A1                                             | CUSIP: 55286MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     318398 | PA      | $320356.69    | 0.08%             | 2068-07-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2025-NQM3, Class A1                                             | CUSIP: 58004LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     979888 | PA      | $983066.45    | 0.25%             | 2070-08-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2024-NPL1, Class A1                                             | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     548600 | PA      | $549779.26    | 0.14%             | 2054-09-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class C      | CUSIP: 61690FAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1616000 | PA      | $1431944.87   | 0.37%             | 2048-04-15      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class D      | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     488741 | PA      | $476386.77    | 0.12%             | 2050-07-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust               | Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE9, Class M2               | CUSIP: 61744CJU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      11866 | PA      | $11906.53     | 0.00%             | 2034-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2011-C3, Class E                           | CUSIP: 61760RAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1859704 | PA      | $1836420.25   | 0.47%             | 2049-07-15      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E       | CUSIP: 61761DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1677000 | PA      | $937996.41    | 0.24%             | 2045-11-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class G       | CUSIP: 61761DAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1288000 | PA      | $75409.82     | 0.02%             | 2045-11-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class D       | CUSIP: 61762DAG6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    1122000 | PA      | $1038374.09   | 0.27%             | 2046-05-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class B       | CUSIP: 61762DAZ4<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    1005726 | PA      | $980045.42    | 0.25%             | 2046-05-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class C       | CUSIP: 61762DBB6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    1398000 | PA      | $1310146.19   | 0.34%             | 2046-05-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class F      | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    2316000 | PA      | $283548.11    | 0.07%             | 2046-07-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class B      | CUSIP: 61762MBZ3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    1080102 | PA      | $1031583.85   | 0.26%             | 2046-07-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class D      | CUSIP: 61762XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $748039.60    | 0.19%             | 2046-10-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class E      | CUSIP: 61762XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1232618 | PA      | $951581.10    | 0.24%             | 2046-10-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class D      | CUSIP: 61764PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     705879 | PA      | $680114.27    | 0.17%             | 2047-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class D      | CUSIP: 61765LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     903000 | PA      | $887781.11    | 0.23%             | 2048-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class E      | CUSIP: 61765LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1239000 | PA      | $1203730.63   | 0.31%             | 2048-05-15      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class C      | CUSIP: 61765TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     770555 | PA      | $768717.15    | 0.20%             | 2048-10-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class C      | CUSIP: 61767EAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     751000 | PA      | $660245.93    | 0.17%             | 2052-11-15      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2016-UB11, Class C                         | CUSIP: 61767FBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1920000 | PA      | $1887269.57   | 0.48%             | 2049-08-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-3, Class AF           | CUSIP: 61776QAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     991715 | PA      | $990955.47    | 0.25%             | 2054-07-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-4, Class AF           | CUSIP: 61777BBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     958227 | PA      | $957136.68    | 0.25%             | 2054-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Multi-family Connecticut Avenue Securities Trust, Series 2019-01, Class M10  | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    2528541 | PA      | $2573779.44   | 0.66%             | 2049-10-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| New Economy Assets - Phase 1 Sponsor LLC               | New Economy Assets - Phase 1 Sponsor LLC, Series 2021-1, Class A1                 | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1026000 | PA      | $859543.91    | 0.22%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| PK Alift Loan Funding 7 LP                             | PK Alift Loan Funding 7 LP, Series 2025-2, Class A                                | CUSIP: 69291NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     244196 | PA      | $245047.63    | 0.06%             | 2043-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Pioneer Aircraft Finance Ltd.                          | Pioneer Aircraft Finance Ltd., Series 2019-1, Class E                             | CUSIP: 72370EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     925000 | PA      | $444000.00    | 0.11%             | 2044-06-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2025-NPL9, Class A1                                              | CUSIP: 740937AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1826919 | PA      | $1832973.84   | 0.47%             | 2055-08-25      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2025-NPL4, Class A1                                              | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1084152 | PA      | $1090256.09   | 0.28%             | 2055-04-25      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2024-NPL9, Class A1                                              | CUSIP: 74143TAA7<br>LEI: 25490072TKR6YZ7BOH19 | Long             | ABS-MBS          | CORP              | US        |     731448 | PA      | $732404.89    | 0.19%             | 2054-12-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust                              | PRMI Securitization Trust, Series 2024-CMG1, Class A1                             | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     603778 | PA      | $605323.47    | 0.16%             | 2054-07-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Putnam Short Term Investment Fund                      | Putnam Short Term Investment Fund, Class P                                        | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |   44663616 | NS      | $44663615.57  | 11.45%            |  |  |  | No            |                  1 | On Loan: No      |
| SF Abs Issuer LLC                                      | SF ABS Issuer LLC, Series 2025-1A, Class A2                                       | CUSIP: 784193AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     991000 | PA      | $971689.97    | 0.25%             | 2055-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1               | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     509000 | PA      | $512369.48    | 0.13%             | 2030-07-25      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1               | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2609000 | PA      | $2629634.06   | 0.67%             | 2030-04-25      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2025-1, Class A                        | CUSIP: 85772UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1458000 | PA      | $1478753.17   | 0.38%             | 2026-07-23      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2025-3, Class A                        | CUSIP: 85779TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1450000 | PA      | $1454675.24   | 0.37%             | 2026-09-23      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2025-7, Class A                        | CUSIP: 85779XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1448000 | PA      | $1451608.42   | 0.37%             | 2026-11-24      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust         | Structured Asset Mortgage Investments II Trust, Series 2006-AR7, Class A1BG       | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     186480 | PA      | $167675.66    | 0.04%             | 2036-08-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  362432000 | PA      | $766414.90    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  756722000 | PA      | $-1037061.15  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  246525000 | PA      | $-449459.25   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   13884000 | PA      | $-758169.42   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   13289300 | PA      | $42895.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   49704000 | PA      | $196318.07    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  109516000 | PA      | $110608.35    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    5972000 | PA      | $111135.43    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   13680000 | PA      | $-69759.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2094000 | PA      | $-12337.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    5751000 | PA      | $20736.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   16424000 | PA      | $11487.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2019-2, Class A2                                | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     862000 | PA      | $792988.97    | 0.20%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2025-HE1, Class A1A                             | CUSIP: 89183LAA3<br>LEI: 2549002NBNESH9L3VV66 | Long             | ABS-O            | CORP              | US        |     890700 | PA      | $892029.13    | 0.23%             | 2065-07-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2012-C1, Class E                            | CUSIP: 90269GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1132786 | PA      | $1030715.59   | 0.26%             | 2045-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2017-C3, Class C                            | CUSIP: 90276GAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1405000 | PA      | $1320721.50   | 0.34%             | 2050-08-15      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C11, Class D                           | CUSIP: 90276XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1695000 | PA      | $1100053.47   | 0.28%             | 2051-06-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C11, Class C                           | CUSIP: 90276XBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     986000 | PA      | $919445.69    | 0.24%             | 2051-06-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                               | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    5335900 | PA      | $5326484.00   | 1.37%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                               | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    2200000 | PA      | $2176128.37   | 0.56%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust          | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR8, Class 2AC2        | CUSIP: 92922FS41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     432059 | PA      | $415786.05    | 0.11%             | 2045-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2012-C9, Class E                          | CUSIP: 92930RAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     584036 | PA      | $582677.46    | 0.15%             | 2045-11-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E                          | CUSIP: 92936CAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1066568 | PA      | $1012039.71   | 0.26%             | 2044-06-15      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class C                         | CUSIP: 92937EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1104500 | PA      | $1071768.36   | 0.27%             | 2045-03-15      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                         | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1406000 | PA      | $1245036.62   | 0.32%             | 2045-03-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C                         | CUSIP: 92938CAJ6<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |     985000 | PA      | $891444.21    | 0.23%             | 2046-08-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class B                         | CUSIP: 92939FAX7<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    1556771 | PA      | $1524082.97   | 0.39%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class C                         | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    1353000 | PA      | $1277232.00   | 0.33%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C23, Class B                         | CUSIP: 92939HBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     842000 | PA      | $816586.76    | 0.21%             | 2057-10-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Asset-Backed Securities Trust  | Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2007-2, Class A3    | CUSIP: 9497EYAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     310119 | PA      | $307993.27    | 0.08%             | 2037-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class D                   | CUSIP: 94989KBC6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |     343182 | PA      | $333834.26    | 0.09%             | 2048-06-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class E                   | CUSIP: 94989WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1550000 | PA      | $892025.00    | 0.23%             | 2048-11-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class C                   | CUSIP: 94989WAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     474857 | PA      | $467941.77    | 0.12%             | 2048-11-15      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class D                   | CUSIP: 94989WBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2189000 | PA      | $1939454.00   | 0.50%             | 2048-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class D                  | CUSIP: 95000CBJ1<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |    1174000 | PA      | $907479.34    | 0.23%             | 2059-01-15      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class C                  | CUSIP: 95000GBE3<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     790000 | PA      | $568917.95    | 0.15%             | 2049-08-15      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class D                   | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |    1206000 | PA      | $1106703.39   | 0.28%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class D                   | CUSIP: 95000TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     991000 | PA      | $446617.54    | 0.11%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2018-C46, Class C                   | CUSIP: 95001QAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     868000 | PA      | $821007.61    | 0.21%             | 2051-08-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2020-C57, Class C                   | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     418000 | PA      | $383675.34    | 0.10%             | 2053-08-15      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    8164892 | PA      | $587586.47    | 0.15%             | 2049-02-20      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Notes                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -199 | NC      | $17810.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24000000 | PA      | $22767814.56  | 5.84%             | 2056-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                     | Tricolor Auto Securitization Trust, Series 2024-1A, Class A                       | CUSIP: 89616LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     456614 | PA      | $447611.13    | 0.11%             | 2027-10-15      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                     | Tricolor Auto Securitization Trust, Series 2025-1A, Class A                       | CUSIP: 89617CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     266833 | PA      | $159779.97    | 0.04%             | 2029-02-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

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

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer