# EDGAR Filing Document

**Accession Number:** 0001005942
**File Stem:** 0002071691-26-001222
**Filing Date:** 2026-1
**Character Count:** 199583
**Document Hash:** 9e75d548e2cbcdb786092a76cf310d6c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-001222.hdr.sgml**: 20260127

**ACCESSION NUMBER**: 0002071691-26-001222

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260127

**DATE AS OF CHANGE**: 20260127

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM FUNDS TRUST
- **CENTRAL INDEX KEY:** 0001005942

**ORGANIZATION NAME:**
- **EIN:** 043299786
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07513
- **FILM NUMBER:** 26562782

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6177601000

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

## Series and Classes Contracts Data

### PUTNAM MORTGAGE OPPORTUNITIES FUND (Series ID: S000048370)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000152757 | CLASS I         |  |
| C000213253 | Class Y Shares  |  |
| C000213254 | Class A Shares  |  |
| C000213255 | Class C Shares  |  |
| C000219743 | Class R6 Shares |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Funds Trust

- **b. Investment Company Act file number:** 811-07513

- **c. CIK number of Registrant:** 0001005942

- **d. LEI of Registrant:** 549300S9JYWEMKQCLW53

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

- **a. Name of Series:** Putnam Mortgage Opportunities Fund

- **b. EDGAR series identifier (if any):** S000048370

- **c. LEI of Series:** 549300SDR1EM41OFS298

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

- **a. Date of fiscal year-end:** 2026-05-31

- **b. Date as of which information is reported:** 2025-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $839994263.95

**Total Liabilities:** $398913841.95

**Net Assets:** $441080422.00

**Delayed Delivery Securities:** $389129934.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -189.54000000 | **1-Year:** -1614.27000000 | **5-Year:** -1223.04000000 | **10-Year:** -5139.35000000 | **30-Year:** -17613.20000000

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

- **3-Month:** -334.35000000 | **1-Year:** 165192.13000000 | **5-Year:** -135116.42000000 | **10-Year:** 238348.66000000 | **30-Year:** -144154.89000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000152757 | -0.19%               | 0.24%                | 0.45%                |
| Class ID C000213253 | -0.20%               | 0.22%                | 0.43%                |
| Class ID C000213254 | -0.22%               | 0.32%                | 0.41%                |
| Class ID C000213255 | -0.29%               | 0.14%                | 0.35%                |
| Class ID C000219743 | -0.19%               | 0.24%                | 0.44%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3307207.27              | $-7096166.78                               |
| Month 2  | $2659738.84              | $-3526203.14                               |
| Month 3  | $2826620.54              | $-445766.83                                |

**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        |     753988 | PA      | $756183.73    | 0.17%             | 2068-05-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM4, Class A2                                    | CUSIP: 00002MAB5<br>LEI: 9845002EOD0CFAFA4F48 | Long             | ABS-MBS          | CORP              | US        |    2292664 | PA      | $2328899.48   | 0.53%             | 2068-09-25      | Fixed         | 7.83%                 | 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        |    1529197 | PA      | $1541250.95   | 0.35%             | 2069-02-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $11062668.89  | 2.51%             | 2055-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3553310.32   | 0.81%             | 2055-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $925080.12    | 0.21%             | 2055-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0406C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1000000 | PA      | $-952570.06   | -0.22%            | 2055-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3916336.20   | 0.89%             | 2055-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14000000 | PA      | $13973543.92  | 3.17%             | 2055-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  183000000 | PA      | $185335497.24 | 42.02%            | 2055-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  130000000 | PA      | $133120702.00 | 30.18%            | 2055-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2006-OA10, Class 3A1                               | CUSIP: 02146QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154675 | PA      | $145922.18    | 0.03%             | 2046-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2006-OA10, Class 4A1                               | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187866 | PA      | $168164.66    | 0.04%             | 2046-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2006-43CB, Class 1A10                              | CUSIP: 02149FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3414703 | PA      | $1707240.54   | 0.39%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                | American Home Mortgage Investment Trust, Series 2007-1, Class GA1C                | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1330571 | PA      | $816422.52    | 0.19%             | 2047-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust, Series 2020-1, Class M1                                    | CUSIP: 04285CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     442000 | PA      | $417740.61    | 0.09%             | 2055-03-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C5, Class E                       | CUSIP: 05492JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1117000 | PA      | $823197.84    | 0.19%             | 2052-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C5, Class F                       | CUSIP: 05492JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1881000 | PA      | $1149885.58   | 0.26%             | 2052-11-15      | Variable      | 2.70%                 | 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        |   25120262 | PA      | $1327789.24   | 0.30%             | 2057-09-15      | Variable      | 1.82%                 | 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        |   15366871 | PA      | $665158.09    | 0.15%             | 2057-09-15      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2020-BN26, Class XA                                                  | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13979548 | PA      | $528092.80    | 0.12%             | 2063-03-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2018-BN11, Class D                                                   | CUSIP: 06540TAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     609000 | PA      | $511893.55    | 0.12%             | 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        |    9437152 | PA      | $760579.74    | 0.17%             | 2057-10-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2020-BN30, Class XA                                                  | CUSIP: 06541UCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17546200 | PA      | $844349.45    | 0.19%             | 2053-12-15      | Variable      | 1.36%                 | 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        |   17651125 | PA      | $705702.59    | 0.16%             | 2057-10-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C4, Class D                       | CUSIP: 07335CAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1010000 | PA      | $645044.28    | 0.15%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C4, Class E                       | CUSIP: 07335CAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     793000 | PA      | $431663.76    | 0.10%             | 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        |   12250563 | PA      | $1020920.25   | 0.23%             | 2062-02-15      | Variable      | 1.36%                 | 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        |     210032 | PA      | $173176.04    | 0.04%             | 2035-10-25      | Variable      | 5.21%                 | 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        |      71795 | PA      | $69132.84     | 0.02%             | 2036-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                    | Bear Stearns Mortgage Funding Trust, Series 2006-AR2, Class 2A1                   | CUSIP: 07401AAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1702642 | PA      | $1636161.87   | 0.37%             | 2046-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B3, Class D                                 | CUSIP: 08161BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1504000 | PA      | $1066778.63   | 0.24%             | 2051-04-10      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B11, Class D                                | CUSIP: 08162BAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     963000 | PA      | $521041.65    | 0.12%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B13, Class D                                | CUSIP: 08162DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1295000 | PA      | $771939.27    | 0.18%             | 2057-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class D                                 | CUSIP: 08162PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1021000 | PA      | $593065.10    | 0.13%             | 2051-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class C                                 | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     608000 | PA      | $505174.31    | 0.11%             | 2051-01-15      | Variable      | 4.34%                 | 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        |   38675724 | PA      | $791568.31    | 0.18%             | 2057-11-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Mortgage Trust, Series 2022-26BW, Class F                                    | CUSIP: 12429EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2210000 | PA      | $1089454.20   | 0.25%             | 2044-02-10      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| CAFL Issuer LP                                         | CAFL Issuer LP, Series 2025-RRTL1, Class M1                                       | CUSIP: 124760AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     577000 | PA      | $583175.63    | 0.13%             | 2040-05-28      | Fixed         | 8.16%                 | No            |                  2 | On Loan: No      |
| CAFL Issuer LLC                                        | CAFL Issuer LLC, Series 2023-RTL1, Class A1                                       | CUSIP: 124762AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     928000 | PA      | $930141.64    | 0.21%             | 2030-12-28      | Variable      | 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        |     507000 | PA      | $328447.43    | 0.07%             | 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        |    1712000 | PA      | $1633181.40   | 0.37%             | 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        |     888000 | PA      | $591828.38    | 0.13%             | 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        |     615000 | PA      | $225381.14    | 0.05%             | 2050-02-10      | Variable      | 4.73%                 | 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        |     815565 | PA      | $44335.83     | 0.01%             | 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        |    1801000 | PA      | $1710701.46   | 0.39%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                  | Cantor Commercial Real Estate Lending LP, Series 2019-CF3, Class XA               | CUSIP: 12529TAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12044851 | PA      | $277067.70    | 0.06%             | 2053-01-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                               | CFMT LLC, Series 2024-HB13, Class M1                                              | CUSIP: 12530VAB1<br>LEI: 984500D67D63D8645054 | Long             | ABS-O            | CORP              | US        |    3750000 | PA      | $3630855.75   | 0.82%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                         | Cascade Funding Mortgage Trust, Series 2025-HB16, Class M2                        | CUSIP: 12531BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     932000 | PA      | $895093.73    | 0.20%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                         | Cascade Funding Mortgage Trust, Series 2025-HB16, Class M3                        | CUSIP: 12531BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $953315.20    | 0.22%             | 2035-03-25      | Variable      | 3.00%                 | 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        |    1450806 | PA      | $1378443.97   | 0.31%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS4, Class C                                    | CUSIP: 12591QAW2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |     324000 | PA      | $250512.75    | 0.06%             | 2047-08-10      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR15, Class D                                    | CUSIP: 12591RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     923000 | PA      | $869819.97    | 0.20%             | 2047-02-10      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR16, Class C                                    | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1226000 | PA      | $1166321.14   | 0.26%             | 2047-04-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS3, Class C                                    | CUSIP: 12591YBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     301000 | PA      | $279002.32    | 0.06%             | 2047-06-10      | Variable      | 4.75%                 | 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        |     574805 | PA      | $566434.74    | 0.13%             | 2047-09-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS6, Class C                                    | CUSIP: 12592PBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128625 | PA      | $127379.35    | 0.03%             | 2047-12-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-CR26, Class D                                    | CUSIP: 12593QBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     875000 | PA      | $718350.94    | 0.16%             | 2048-10-10      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2017-COR2, Class D                                    | CUSIP: 12595EAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1656000 | PA      | $1493409.45   | 0.34%             | 2050-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class D                         | CUSIP: 12597BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     594000 | PA      | $324700.36    | 0.07%             | 2052-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                             | CSMC Trust, Series 2021-RPL7, Class A1                                            | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276185 | PA      | $275229.09    | 0.06%             | 2061-07-27      | Variable      | 4.21%                 | 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        |    2413225 | PA      | $1860075.15   | 0.42%             | 2044-12-10      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class AM                                    | CUSIP: 12624QAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2432000 | PA      | $2252420.63   | 0.51%             | 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        |    1072000 | PA      | $766294.97    | 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        |     860995 | PA      | $823289.42    | 0.19%             | 2046-03-10      | Variable      | 4.39%                 | 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        |     266369 | PA      | $248014.14    | 0.06%             | 2046-08-10      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR13, Class D                                    | CUSIP: 12630BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3650000 | PA      | $2062359.50   | 0.47%             | 2046-11-10      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR14, Class D                                    | CUSIP: 12630DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1479000 | PA      | $1268242.50   | 0.29%             | 2047-02-10      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR14, Class C                                    | CUSIP: 12630DBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1154000 | PA      | $1111879.00   | 0.25%             | 2047-02-10      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class D                                    | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1247000 | PA      | $1045621.35   | 0.24%             | 2047-05-10      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class E                                    | CUSIP: 12631DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     804000 | PA      | $572858.04    | 0.13%             | 2047-05-10      | Variable      | 5.01%                 | 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        |     490318 | PA      | $477206.52    | 0.11%             | 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        |    1940500 | PA      | $1804795.60   | 0.41%             | 2047-05-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class B                          | CUSIP: 12634NAY4<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    1182872 | PA      | $1142569.24   | 0.26%             | 2057-06-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class C                          | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     915000 | PA      | $825893.18    | 0.19%             | 2057-06-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class D                          | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    1121000 | PA      | $865401.35    | 0.20%             | 2057-06-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class C                          | CUSIP: 12635FAZ7<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    1277000 | PA      | $1134479.14   | 0.26%             | 2048-08-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                             | CSMC Mortgage-Backed Trust, Series 2007-1, Class 1A3                              | CUSIP: 126378AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5456643 | PA      | $1264270.98   | 0.29%             | 2037-02-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                             | CSMC Trust, Series 2020-SPT1, Class M1                                            | CUSIP: 12659LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     392000 | PA      | $382928.96    | 0.09%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2005-38, Class A1                                  | CUSIP: 12667GY98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     504957 | PA      | $467305.46    | 0.11%             | 2035-09-25      | Floating      | 5.58%                 | 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        |     940680 | PA      | $776173.25    | 0.18%             | 2047-02-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                        | CHL Mortgage Pass-Through Trust, Series 2006-OA5, Class 2A1                       | CUSIP: 126694M96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26648 | PA      | $23738.40     | 0.01%             | 2046-04-25      | Floating      | 4.47%                 | 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        |    1150154 | PA      | $1168262.05   | 0.26%             | 2050-08-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust                      | Chase Home Lending Mortgage Trust, Series 2025-3, Class A11                       | CUSIP: 16160MAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     448903 | PA      | $449465.63    | 0.10%             | 2056-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding LLC                                | Chevy Chase Funding LLC, Series 2006-4A, Class A2                                 | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |     682083 | PA      | $625156.92    | 0.14%             | 2047-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                              | CIM Trust, Series 2024-R1, Class A1                                               | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     621382 | PA      | $620156.15    | 0.14%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                    | Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3, Class A2D                  | CUSIP: 17312EAE6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     140899 | PA      | $125294.41    | 0.03%             | 2037-03-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C                     | CUSIP: 17318UAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     627421 | PA      | $622713.27    | 0.14%             | 2045-09-10      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class C                    | CUSIP: 17322MBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218135 | PA      | $213297.89    | 0.05%             | 2047-05-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class D                    | CUSIP: 17322YAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     239000 | PA      | $131452.39    | 0.03%             | 2047-10-10      | Fixed         | 3.55%                 | 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        |    1151761 | PA      | $1119847.44   | 0.25%             | 2048-02-10      | Variable      | 4.52%                 | 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        |    2077000 | PA      | $1833546.73   | 0.42%             | 2048-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC31, Class D                    | CUSIP: 17323YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1541000 | PA      | $110721.77    | 0.03%             | 2048-06-10      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2017-P7, Class C                      | CUSIP: 17325HBT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     373000 | PA      | $321062.47    | 0.07%             | 2050-04-14      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-LC19, Class E                                    | CUSIP: 200474AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1070000 | PA      | $902287.67    | 0.20%             | 2048-02-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-LC6, Class E                                     | CUSIP: 20048EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460000 | PA      | $433123.21    | 0.10%             | 2046-01-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2023-R03, Class 2B1              | CUSIP: 20753ACF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $939302.45    | 0.21%             | 2043-04-25      | Floating      | 10.42%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R09, Class 2M2              | CUSIP: 20753DAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1061897.40   | 0.24%             | 2042-09-25      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R09, Class 2B1              | CUSIP: 20753DAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $544811.60    | 0.12%             | 2042-09-25      | Floating      | 10.82%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B1              | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2146000 | PA      | $2223004.49   | 0.50%             | 2042-01-25      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R05, Class 2B1              | CUSIP: 20754DAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2540000 | PA      | $2653754.66   | 0.60%             | 2042-04-25      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R06, Class 1B2              | CUSIP: 20754NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $561680.80    | 0.13%             | 2042-05-25      | Floating      | 14.67%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2023-R08, Class 1B1              | CUSIP: 20755CAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1570362.45   | 0.36%             | 2043-10-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20000000 | PA      | $19564453.00  | 4.44%             | 2055-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $999031.87    | 0.23%             | 2055-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3000000 | PA      | $3030101.70   | 0.69%             | 2055-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                   | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13000000 | PA      | $13251634.50  | 3.00%             | 2055-12-15      | Fixed         | 6.00%                 | 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        |    1752020 | PA      | $1549653.37   | 0.35%             | 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        |    1242000 | PA      | $1088624.80   | 0.25%             | 2058-09-10      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC33, Class D                    | CUSIP: 29425AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     347000 | PA      | $215143.47    | 0.05%             | 2058-09-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C01, Class 1B               | CUSIP: 30711XBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      26303 | PA      | $26926.44     | 0.01%             | 2028-08-25      | Floating      | 15.94%                | 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        |     337034 | PA      | $350339.28    | 0.08%             | 2028-10-25      | Floating      | 15.94%                | 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        |     811194 | PA      | $846140.17    | 0.19%             | 2028-10-25      | Floating      | 16.94%                | 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        |     568287 | PA      | $598560.68    | 0.14%             | 2029-01-25      | Floating      | 14.44%                | 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        |    1546017 | PA      | $1644641.39   | 0.37%             | 2029-04-25      | Floating      | 13.44%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C07, Class 2B               | CUSIP: 30711XEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     591971 | PA      | $632675.93    | 0.14%             | 2029-05-25      | Floating      | 13.69%                | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2015-69                                                              | CUSIP: 3136AP4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152550 | PA      | $31209.49     | 0.01%             | 2045-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2016-3, Class NI                                                     | CUSIP: 3136ARFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28834 | PA      | $4117.80      | 0.00%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-50                                                              | CUSIP: 3136BAZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5433004 | PA      | $1432101.89   | 0.32%             | 2050-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-62, Class GI                                                    | CUSIP: 3136BBWT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10970067 | PA      | $2226072.23   | 0.50%             | 2048-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-99, Class IB                                                    | CUSIP: 3136BDFP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7305854 | PA      | $1328777.73   | 0.30%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-98, Class OI                                                    | CUSIP: 3136BDTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8206339 | PA      | $2184308.23   | 0.50%             | 2051-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-3, Class IB                                                     | CUSIP: 3136BDYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9652300 | PA      | $1643514.46   | 0.37%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-5, Class PI                                                     | CUSIP: 3136BDZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2457087 | PA      | $465113.57    | 0.11%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-17, Class GI                                                    | CUSIP: 3136BF3U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1689149 | PA      | $367493.27    | 0.08%             | 2051-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-17, Class KI                                                    | CUSIP: 3136BF4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2064412 | PA      | $475362.22    | 0.11%             | 2051-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-8, Class ID                                                     | CUSIP: 3136BFES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6478837 | PA      | $1396701.85   | 0.32%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-15, Class JI                                                    | CUSIP: 3136BFWT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2025340 | PA      | $523700.19    | 0.12%             | 2051-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2022-13, Class CI                                                    | CUSIP: 3136BL6M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12534447 | PA      | $2021449.11   | 0.46%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2022-43, Class SB                                                    | CUSIP: 3136BNSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13088127 | PA      | $912016.05    | 0.21%             | 2052-07-25      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-54, Class FC                                                    | CUSIP: 3136BSSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423861 | PA      | $425159.09    | 0.10%             | 2054-08-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2024-82, Class FE                                                    | CUSIP: 3136BTGC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3006078 | PA      | $3000181.11   | 0.68%             | 2054-11-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5065, Class MI                                                      | CUSIP: 3137F8RM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2735292 | PA      | $527253.55    | 0.12%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4839, Class WS                                                      | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11979579 | PA      | $1808836.10   | 0.41%             | 2056-08-15      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4915, Class SD                                                      | CUSIP: 3137FNKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1375744 | PA      | $163236.66    | 0.04%             | 2049-09-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4949                                                                | CUSIP: 3137FR6Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9971260 | PA      | $2209873.52   | 0.50%             | 2050-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4976, Class MI                                                      | CUSIP: 3137FTBB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2152698 | PA      | $500891.46    | 0.11%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Debt Notes, Series 2016-DNA1, Class B                                 | CUSIP: 3137G0HZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245301 | PA      | $248414.70    | 0.06%             | 2028-07-25      | Floating      | 14.19%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Debt Notes, Series 2017-DNA1, Class B2                                | CUSIP: 3137G0MY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     516001 | PA      | $554917.27    | 0.13%             | 2029-07-25      | Floating      | 14.19%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5116, Class BI                                                      | CUSIP: 3137H0JE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10163466 | PA      | $2096830.83   | 0.48%             | 2050-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5119, Class IB                                                      | CUSIP: 3137H0SA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3838367 | PA      | $399260.45    | 0.09%             | 2041-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5274                                                                | CUSIP: 3137H9F46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12770229 | PA      | $2190018.85   | 0.50%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5349, Class IB                                                      | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     334137 | PA      | $72661.67     | 0.02%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5410, Class AS                                                      | CUSIP: 3137HCTR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36130694 | PA      | $2193906.35   | 0.50%             | 2054-05-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5529, Class EI                                                      | CUSIP: 3137HKUM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5177910 | PA      | $1148350.24   | 0.26%             | 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        |   33115071 | PA      | $3304708.62   | 0.75%             | 2055-07-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 427, Class C93                                                       | CUSIP: 31423XQX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10089347 | PA      | $1759835.82   | 0.40%             | 2042-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                            | FIGRE Trust, Series 2025-HE5, Class A                                             | CUSIP: 31684MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     408755 | PA      | $411618.56    | 0.09%             | 2055-08-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multi-family Structured Credit Risk Trust, Series 2021-MN1, Class M1        | CUSIP: 35563FAA9<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | CORP              | US        |     446340 | PA      | $445542.04    | 0.10%             | 2051-01-25      | Floating      | 6.07%                 | 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        |    1350000 | PA      | $1397515.41   | 0.32%             | 2051-01-25      | Floating      | 7.82%                 | 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        |    2059000 | PA      | $2138418.10   | 0.48%             | 2051-11-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA1, Class B2                                     | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-MBS          | CORP              | US        |     439000 | PA      | $542049.46    | 0.12%             | 2049-01-25      | Floating      | 14.94%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2018-DNA3, Class B2                                     | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-MBS          | CORP              | US        |    1318000 | PA      | $1515304.60   | 0.34%             | 2048-09-25      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2018-HQA2, Class B2                                     | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |    3028000 | PA      | $3779377.91   | 0.86%             | 2048-10-25      | Floating      | 15.19%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2021-DNA1, Class B2                               | CUSIP: 35564KBE8<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1225126.32   | 0.28%             | 2051-01-25      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2021-DNA3, Class B2                               | CUSIP: 35564KFH7<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | CORP              | US        |    2879000 | PA      | $3597604.73   | 0.82%             | 2033-10-25      | Floating      | 10.32%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                               | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |    1975000 | PA      | $2037108.02   | 0.46%             | 2042-02-25      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M2                               | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    2759000 | PA      | $2899941.86   | 0.66%             | 2042-03-25      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class B2                               | CUSIP: 35564KUL1<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2888530.84   | 0.65%             | 2042-03-25      | Floating      | 15.07%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M2                               | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |    1471000 | PA      | $1596127.53   | 0.36%             | 2042-06-25      | Floating      | 10.82%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR1, Class B2                                     | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |    3900000 | PA      | $4642559.22   | 1.05%             | 2048-01-25      | Floating      | 12.54%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-HQA3, Class B2                                     | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1121305.20   | 0.25%             | 2049-09-25      | Floating      | 11.69%                | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR3, Class B2                                     | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $873462.32    | 0.20%             | 2047-09-25      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-HQA1, Class B2                               | CUSIP: 35565JBE0<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $892427.60    | 0.20%             | 2050-01-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-DNA3, Class B2                               | CUSIP: 35565WBE1<br>LEI: 5493000ITGOA1OPGRQ72 | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $962018.40    | 0.22%             | 2050-06-25      | Floating      | 13.54%                | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2013-GC13, Class D                           | CUSIP: 36198EBB0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |     739000 | PA      | $548568.94    | 0.12%             | 2046-07-10      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                 | GSAA Home Equity Trust, Series 2006-17, Class A1                                  | CUSIP: 362257AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8201661 | PA      | $1986197.10   | 0.45%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                 | GSAA Home Equity Trust, Series 2007-2, Class AF4A                                 | CUSIP: 3622EUAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1143656 | PA      | $307415.75    | 0.07%             | 2037-03-25      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                | GSR Mortgage Loan Trust, Series 2007-OA1, Class 2A3A                              | CUSIP: 3622NAAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     279711 | PA      | $156729.42    | 0.04%             | 2037-05-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                 | GSAA Home Equity Trust, Series 2006-1, Class A1                                   | CUSIP: 362341Z28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     973720 | PA      | $268550.47    | 0.06%             | 2036-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                 | GSAA Home Equity Trust, Series 2006-8, Class 2A2                                  | CUSIP: 362348AS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      74820 | PA      | $15649.99     | 0.00%             | 2036-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2017-GS5, Class D                            | CUSIP: 36252HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3043000 | PA      | $490426.92    | 0.11%             | 2050-03-10      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2019-GC38, Class D                           | CUSIP: 36252SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     439000 | PA      | $369938.93    | 0.08%             | 2052-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC24, Class B                           | CUSIP: 36253GAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2306000 | PA      | $2226012.93   | 0.50%             | 2047-09-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC24, Class D                           | CUSIP: 36253GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1920000 | PA      | $1219219.20   | 0.28%             | 2047-09-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2024-HE1, Class A1                    | CUSIP: 36270AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2505218 | PA      | $2512321.92   | 0.57%             | 2054-08-25      | Floating      | 5.67%                 | 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        |     285028 | PA      | $281187.37    | 0.06%             | 2061-09-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H01, Class AI                                                   | CUSIP: 38375U3K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5746069 | PA      | $260400.34    | 0.06%             | 2068-01-20      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H10, Class MI                                                   | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1505848 | PA      | $44576.12     | 0.01%             | 2067-04-20      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H16, Class JI                                                   | CUSIP: 38375UG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     194508 | PA      | $8351.18      | 0.00%             | 2067-08-20      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H19, Class MI                                                   | CUSIP: 38375UK25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1093652 | PA      | $42148.25     | 0.01%             | 2067-04-20      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H21, Class AI                                                   | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     294191 | PA      | $12372.80     | 0.00%             | 2064-10-20      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H11, Class KI                                                   | CUSIP: 38375UXD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26130587 | PA      | $938187.36    | 0.21%             | 2066-05-20      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H02, Class BI                                                   | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     650242 | PA      | $26701.53     | 0.01%             | 2067-01-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H09                                                             | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     160245 | PA      | $4584.93      | 0.00%             | 2067-04-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class NI                                                   | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127568 | PA      | $4073.24      | 0.00%             | 2067-03-20      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H11, Class DI                                                   | CUSIP: 38376R4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93345 | PA      | $4714.76      | 0.00%             | 2067-05-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H23, Class NI                                                   | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46711 | PA      | $2297.46      | 0.00%             | 2066-10-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class CI                                                   | CUSIP: 38376RAF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28951 | PA      | $767.73       | 0.00%             | 2065-04-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class HI                                                   | CUSIP: 38376RAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34071 | PA      | $1842.18      | 0.00%             | 2065-04-20      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H13, Class AI                                                   | CUSIP: 38376RCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57724 | PA      | $3138.37      | 0.00%             | 2065-06-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class DI                                                   | CUSIP: 38376RDU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     630791 | PA      | $51861.11     | 0.01%             | 2065-07-20      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class XI                                                   | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1689881 | PA      | $96872.46     | 0.02%             | 2065-07-20      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class CI                                                   | CUSIP: 38376RF35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     906070 | PA      | $21906.06     | 0.00%             | 2066-10-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class HI                                                   | CUSIP: 38376RF84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4018682 | PA      | $275291.79    | 0.06%             | 2066-09-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class AI                                                   | CUSIP: 38376RFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27523 | PA      | $886.40       | 0.00%             | 2065-08-20      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class CI                                                   | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     395332 | PA      | $21085.85     | 0.00%             | 2065-08-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H23, Class BI                                                   | CUSIP: 38376RHE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18335 | PA      | $448.84       | 0.00%             | 2065-09-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24                                                             | CUSIP: 38376RJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119687 | PA      | $7422.02      | 0.00%             | 2066-09-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class AI                                                   | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46241 | PA      | $705.19       | 0.00%             | 2065-09-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class CI                                                   | CUSIP: 38376RJH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21537 | PA      | $894.14       | 0.00%             | 2065-10-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H25, Class EI                                                   | CUSIP: 38376RJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17289 | PA      | $673.29       | 0.00%             | 2065-10-20      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H26, Class DI                                                   | CUSIP: 38376RJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22890 | PA      | $1158.94      | 0.00%             | 2065-10-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H26, Class EI                                                   | CUSIP: 38376RJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41905 | PA      | $1445.80      | 0.00%             | 2065-10-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H27, Class EI                                                   | CUSIP: 38376RK47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7421973 | PA      | $318603.03    | 0.07%             | 2066-12-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H04, Class KI                                                   | CUSIP: 38376RQP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4446608 | PA      | $106364.65    | 0.02%             | 2066-02-20      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H04, Class BI                                                   | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1329875 | PA      | $56589.89     | 0.01%             | 2067-02-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H09, Class BI                                                   | CUSIP: 38376RTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1427058 | PA      | $58907.54     | 0.01%             | 2066-04-20      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class BI                                                   | CUSIP: 38376RV78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     263067 | PA      | $8917.98      | 0.00%             | 2067-02-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H15, Class AI                                                   | CUSIP: 38376RWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2318113 | PA      | $112815.63    | 0.03%             | 2066-07-20      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class MI                                                   | CUSIP: 38376RX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     393848 | PA      | $16859.06     | 0.00%             | 2067-02-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H18, Class QI                                                   | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     415296 | PA      | $22785.19     | 0.01%             | 2066-06-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H19, Class AI                                                   | CUSIP: 38376RZM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1232739 | PA      | $55571.87     | 0.01%             | 2066-09-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2010-26, Class QS                                                    | CUSIP: 38376VQP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15278603 | PA      | $1740570.59   | 0.39%             | 2040-02-20      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-156, Class SK                                                   | CUSIP: 38378A3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21725 | PA      | $2545.23      | 0.00%             | 2038-04-20      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-34, Class HI                                                    | CUSIP: 38378JL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        705 | PA      | $124.55       | 0.00%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-182, Class SP                                                   | CUSIP: 38378PFQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     493694 | PA      | $71748.00     | 0.02%             | 2043-12-20      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H04, Class AI                                                   | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     882898 | PA      | $25905.64     | 0.01%             | 2064-12-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-132                                                             | CUSIP: 38379EW99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     509350 | PA      | $102806.88    | 0.02%             | 2044-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-53, Class MI                                                    | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54347 | PA      | $10806.15     | 0.00%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-79, Class GI                                                    | CUSIP: 38379LX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35351 | PA      | $7263.26      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-105, Class LI                                                   | CUSIP: 38379NRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     330862 | PA      | $70661.50     | 0.02%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-89, Class LI                                                    | CUSIP: 38379P4V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     306706 | PA      | $54951.21     | 0.01%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-17, Class IA                                                    | CUSIP: 38379T5K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1094 | PA      | $211.87       | 0.00%             | 2045-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-75, Class LI                                                    | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17839 | PA      | $2509.04      | 0.00%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-104, Class GI                                                   | CUSIP: 38380FYN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5233109 | PA      | $1045256.95   | 0.24%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H05, Class BI                                                   | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     724696 | PA      | $30943.07     | 0.01%             | 2068-02-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H15, Class IH                                                   | CUSIP: 38380LC27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6938229 | PA      | $263291.92    | 0.06%             | 2069-09-20      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2018-H20, Class BI                                                   | CUSIP: 38380LNF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3109832 | PA      | $111232.80    | 0.03%             | 2068-06-20      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H02, Class DI                                                   | CUSIP: 38380LQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9266918 | PA      | $392985.90    | 0.09%             | 2068-11-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H07, Class EI                                                   | CUSIP: 38380LSF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11027138 | PA      | $515044.53    | 0.12%             | 2069-03-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H12, Class GI                                                   | CUSIP: 38380LWX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5531795 | PA      | $229698.40    | 0.05%             | 2069-07-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-H04, Class AI                                                   | CUSIP: 38380LY98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4862473 | PA      | $239768.55    | 0.05%             | 2070-02-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-H14, Class IB                                                   | CUSIP: 38380LYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128444 | PA      | $5419.71      | 0.00%             | 2069-08-20      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-H08                                                             | CUSIP: 38380Q2G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23624378 | PA      | $903750.56    | 0.20%             | 2071-01-20      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-179, Class WI                                                   | CUSIP: 38380UMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     226322 | PA      | $51785.36     | 0.01%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-32                                                              | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |   16059412 | PA      | $829039.86    | 0.19%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-96, Class SY                                                    | CUSIP: 38381XK39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12920029 | PA      | $1687698.15   | 0.38%             | 2049-08-20      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-121, Class SD                                                   | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2853116 | PA      | $372414.96    | 0.08%             | 2049-10-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-32, Class IM                                                    | CUSIP: 38382DQA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39754 | PA      | $7722.20      | 0.00%             | 2050-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-47, Class SA                                                    | CUSIP: 38382EFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2824766 | PA      | $324195.62    | 0.07%             | 2044-05-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-112, Class MS                                                   | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6166005 | PA      | $921831.29    | 0.21%             | 2050-08-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-151, Class MI                                                   | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3758546 | PA      | $545447.64    | 0.12%             | 2050-10-20      | 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        |   12714124 | PA      | $1859818.18   | 0.42%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-167, Class PI                                                   | CUSIP: 38382LDU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2066357 | PA      | $431369.12    | 0.10%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-173, Class MI                                                   | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139517 | PA      | $20157.55     | 0.00%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-7, Class MI                                                     | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14531509 | PA      | $2155123.09   | 0.49%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-189, Class S                                                    | CUSIP: 38382MFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14106308 | PA      | $1678745.15   | 0.38%             | 2049-12-20      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-29, Class TI                                                    | CUSIP: 38382NT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19575022 | PA      | $3419362.87   | 0.78%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-57, Class SD                                                    | CUSIP: 38382QAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8161070 | PA      | $1181720.43   | 0.27%             | 2051-03-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-59, Class IK                                                    | CUSIP: 38382RRX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56172 | PA      | $11146.67     | 0.00%             | 2051-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class NI                                                    | CUSIP: 38382VKU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10811400 | PA      | $1267352.26   | 0.29%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-149, Class CI                                                   | CUSIP: 38382XBY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13581937 | PA      | $2009254.73   | 0.46%             | 2051-08-20      | 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        |   93833476 | PA      | $1853023.48   | 0.42%             | 2071-08-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H01, Class EI                                                   | CUSIP: 38382YKW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3483659 | PA      | $186048.30    | 0.04%             | 2072-01-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H09, Class GI                                                   | CUSIP: 38382YRN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14848195 | PA      | $755862.21    | 0.17%             | 2072-04-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-H09, Class IG                                                   | CUSIP: 38382YRQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10911729 | PA      | $520871.38    | 0.12%             | 2072-04-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-162                                                             | CUSIP: 38383AA95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29090 | PA      | $5876.82      | 0.00%             | 2051-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-182, Class TI                                                   | CUSIP: 38383CAC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82424 | PA      | $15389.47     | 0.00%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-176, Class IA                                                   | CUSIP: 38383CCM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12155306 | PA      | $2206465.24   | 0.50%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-176, Class IK                                                   | CUSIP: 38383CCY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4226600 | PA      | $831785.97    | 0.19%             | 2051-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-191, Class HI                                                   | CUSIP: 38383CNQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2604663 | PA      | $453637.94    | 0.10%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-214, Class AI                                                   | CUSIP: 38383FDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11631550 | PA      | $2327542.85   | 0.53%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-214, Class DI                                                   | CUSIP: 38383FHC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76590 | PA      | $13533.76     | 0.00%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-10, Class GI                                                    | CUSIP: 38383GGP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4411970 | PA      | $975795.81    | 0.22%             | 2052-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SL                                                    | CUSIP: 38383HLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15486941 | PA      | $1098827.88   | 0.25%             | 2053-01-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SB                                                    | CUSIP: 38383HMT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23830339 | PA      | $1637797.27   | 0.37%             | 2053-01-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-213, Class IH                                                   | CUSIP: 38383LC57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2088443 | PA      | $407342.46    | 0.09%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-139                                                             | CUSIP: 38383M3L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9128350 | PA      | $1802599.04   | 0.41%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-34, Class IV                                                    | CUSIP: 38383MBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37901 | PA      | $7097.46      | 0.00%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-45, Class SP                                                    | CUSIP: 38383MD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30842917 | PA      | $3256065.15   | 0.74%             | 2050-05-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-128, Class SH                                                   | CUSIP: 38383T8J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23948134 | PA      | $2694026.15   | 0.61%             | 2052-07-20      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-120, Class SH                                                   | CUSIP: 38383TB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36262835 | PA      | $2909646.49   | 0.66%             | 2052-07-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-125, Class BS                                                   | CUSIP: 38383TWH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12305467 | PA      | $1066922.17   | 0.24%             | 2052-07-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-35, Class ES                                                    | CUSIP: 38383VK64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12920079 | PA      | $961123.38    | 0.22%             | 2053-02-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-35, Class SH                                                    | CUSIP: 38383VL97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11240891 | PA      | $986560.14    | 0.22%             | 2053-02-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SB                                                    | CUSIP: 38383VWQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21627444 | PA      | $2029651.24   | 0.46%             | 2053-02-20      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SP                                                    | CUSIP: 38383VYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18983191 | PA      | $1426307.74   | 0.32%             | 2053-02-20      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-24, Class SQ                                                    | CUSIP: 38383WDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15957022 | PA      | $1138153.71   | 0.26%             | 2053-02-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-56, Class AS                                                    | CUSIP: 38383XS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22639513 | PA      | $1682530.10   | 0.38%             | 2053-04-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-179, Class SD                                                   | CUSIP: 38383Y5C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10550810 | PA      | $1280024.23   | 0.29%             | 2049-11-20      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-160, Class IB                                                   | CUSIP: 38383YSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16010914 | PA      | $3367618.73   | 0.76%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-84, Class DS                                                    | CUSIP: 38384AN58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17309772 | PA      | $1382136.79   | 0.31%             | 2053-06-20      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-101, Class HS                                                   | CUSIP: 38384CBH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19872175 | PA      | $1303203.35   | 0.30%             | 2053-07-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-103, Class SK                                                   | CUSIP: 38384CCX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40593337 | PA      | $2629210.14   | 0.60%             | 2053-07-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-149, Class SE                                                   | CUSIP: 38384DEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19790969 | PA      | $1032229.66   | 0.23%             | 2063-09-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-152, Class SL                                                   | CUSIP: 38384DXW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22157945 | PA      | $1738815.95   | 0.39%             | 2053-10-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-114, Class SB                                                   | CUSIP: 38384EAG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32229966 | PA      | $2170272.42   | 0.49%             | 2053-08-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-114, Class SK                                                   | CUSIP: 38384EAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36552581 | PA      | $2134279.63   | 0.48%             | 2053-08-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-11, Class S                                                     | CUSIP: 38384G3V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18558781 | PA      | $1171673.37   | 0.27%             | 2054-01-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-173, Class ES                                                   | CUSIP: 38384GDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12987001 | PA      | $956540.67    | 0.22%             | 2053-11-20      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-7, Class SA                                                     | CUSIP: 38384GL81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17775768 | PA      | $1189499.28   | 0.27%             | 2054-01-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class ES                                                     | CUSIP: 38384HW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23722506 | PA      | $2053356.04   | 0.47%             | 2054-01-20      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class AS                                                     | CUSIP: 38384HXC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17855208 | PA      | $1707752.42   | 0.39%             | 2054-01-20      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class GS                                                     | CUSIP: 38384HYW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16733027 | PA      | $1156262.23   | 0.26%             | 2054-01-20      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class IG                                                     | CUSIP: 38384HZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7402065 | PA      | $1415428.05   | 0.32%             | 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        |    7252678 | PA      | $1778374.14   | 0.40%             | 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        |   17906374 | PA      | $1201139.84   | 0.27%             | 2054-01-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class WS                                                    | CUSIP: 38384JKZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34184548 | PA      | $1962777.59   | 0.44%             | 2054-02-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class EI                                                    | CUSIP: 38384JPU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49880000 | PA      | $3311922.24   | 0.75%             | 2054-02-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-30, Class SU                                                    | CUSIP: 38384JRW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29840832 | PA      | $2044613.24   | 0.46%             | 2054-02-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-51, Class HS                                                    | CUSIP: 38384KTQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39418526 | PA      | $2564754.57   | 0.58%             | 2054-03-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-64, Class QS                                                    | CUSIP: 38384MPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46925259 | PA      | $3581523.50   | 0.81%             | 2054-04-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-126, Class LS                                                   | CUSIP: 38384UYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25368124 | PA      | $2044077.16   | 0.46%             | 2054-08-20      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-186                                                             | CUSIP: 38384XVG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8230622 | PA      | $1251466.12   | 0.28%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-197, Class SC                                                   | CUSIP: 38385BBW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20868262 | PA      | $1754686.95   | 0.40%             | 2054-12-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-61, Class SB                                                    | CUSIP: 38385FYB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24060869 | PA      | $1739562.36   | 0.39%             | 2055-04-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class E | CUSIP: 46639YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     643000 | PA      | $20254.50     | 0.00%             | 2046-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                            | HOMES Trust, Series 2024-NQM1, Class A1                                           | CUSIP: 40390TAA8<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |     730492 | PA      | $737972.09    | 0.17%             | 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        |    1417250 | PA      | $1423589.41   | 0.32%             | 2037-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Home Re Ltd.                                           | Home Re Ltd., Series 2022-1, Class B1                                             | CUSIP: 43730GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     900000 | PA      | $997479.00    | 0.23%             | 2034-10-25      | Floating      | 13.07%                | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust                           | Imperial Fund Mortgage Trust, Series 2022-NQM4, Class A3                          | CUSIP: 45276NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000386 | PA      | $997168.86    | 0.23%             | 2067-06-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust                           | Imperial Fund Mortgage Trust, Series 2023-NQM1, Class A1                          | CUSIP: 45290BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     834264 | PA      | $833541.13    | 0.19%             | 2068-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                       | IndyMac INDX Mortgage Loan Trust, Series 2006-AR11, Class 2A1                     | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18335 | PA      | $16287.34     | 0.00%             | 2036-06-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class D               | CUSIP: 46590LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1101000 | PA      | $542874.58    | 0.12%             | 2049-06-15      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A4              | CUSIP: 46590TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     515835 | PA      | $509750.14    | 0.12%             | 2050-03-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-HE2, Class A1                             | CUSIP: 46593HAA6<br>LEI: 529900ELA1S09AZO9Q54 | Long             | ABS-O            | CORP              | US        |     632513 | PA      | $632984.99    | 0.14%             | 2054-10-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust             | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class D              | CUSIP: 465968AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     388000 | PA      | $264345.33    | 0.06%             | 2050-09-15      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class E | CUSIP: 46631QAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18783 | PA      | $26484.59     | 0.01%             | 2051-02-12      | Variable      | 8.68%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class G   | CUSIP: 46634SAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $88624.77     | 0.02%             | 2045-05-15      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class D   | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450000 | PA      | $414772.74    | 0.09%             | 2046-02-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D  | CUSIP: 46639EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2291000 | PA      | $2181668.21   | 0.49%             | 2047-12-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class C  | CUSIP: 46639JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193113 | PA      | $187474.51    | 0.04%             | 2047-12-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class E              | CUSIP: 46639NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     625000 | PA      | $431275.00    | 0.10%             | 2045-07-15      | Variable      | 4.07%                 | 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        |    1000000 | PA      | $934289.00    | 0.21%             | 2045-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class E | CUSIP: 46639YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9504000 | PA      | $299376.00    | 0.07%             | 2046-04-15      | Variable      | 3.25%                 | 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        |    4212000 | PA      | $265356.00    | 0.06%             | 2046-04-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class F              | CUSIP: 46640LAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     402000 | PA      | $34270.30     | 0.01%             | 2046-08-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class D              | CUSIP: 46641JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1135000 | PA      | $1027175.00   | 0.23%             | 2047-02-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class B              | CUSIP: 46642NBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399000 | PA      | $389291.53    | 0.09%             | 2047-09-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class C              | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     354000 | PA      | $334169.10    | 0.08%             | 2047-09-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class D              | CUSIP: 46643AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2857000 | PA      | $2646637.09   | 0.60%             | 2047-09-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class D              | CUSIP: 46643PAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1390000 | PA      | $677638.90    | 0.15%             | 2047-11-15      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class B              | CUSIP: 46643PBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1947000 | PA      | $1819003.64   | 0.41%             | 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        |    3819120 | PA      | $3857685.49   | 0.87%             | 2064-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-10, Class A11                             | CUSIP: 46658LAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1398387 | PA      | $1396585.00   | 0.32%             | 2055-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     221000 | PA      | $11846.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     223000 | PA      | $24963.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1024000 | PA      | $-104319.89   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     289000 | PA      | $-125631.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    3436000 | PA      | $-110079.89   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     326000 | PA      | $-860.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   12982000 | PA      | $734419.31    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     424000 | PA      | $47464.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     200000 | PA      | $6519.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     114000 | PA      | $6111.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     114000 | PA      | $3607.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    4663000 | PA      | $-381448.54   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    3724000 | PA      | $352494.46    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1567000 | PA      | $682553.71    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     576000 | PA      | $2064.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1069000 | PA      | $-145570.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     438000 | PA      | $22286.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      47000 | PA      | $21528.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1293000 | PA      | $68150.63     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   12982000 | PA      | $367360.42    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     836000 | PA      | $53976.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   20730000 | PA      | $802484.33    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   20730000 | PA      | $962084.70    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $989.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $-23750.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $25712.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $989.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1293000 | PA      | $-1810.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    2375000 | PA      | $-15041.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    3233000 | PA      | $70080.53     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    1457000 | PA      | $-2242.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     943000 | PA      | $32214.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -310533900 | PA      | $-2833168.63  | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  310533900 | PA      | $391669.29    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   22615300 | PA      | $595819.07    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2023-RTL4, Class A1                                  | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1045000 | PA      | $1049567.17   | 0.24%             | 2028-11-25      | Fixed         | 7.63%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                        | Lehman XS Trust, Series 2006-17, Class 1A4A                                       | CUSIP: 52523KBH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2748411 | PA      | $2607824.03   | 0.59%             | 2046-08-25      | Floating      | 4.41%                 | 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        |     440256 | PA      | $443864.84    | 0.10%             | 2068-07-25      | Fixed         | 6.62%                 | 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        |     233625 | PA      | $234136.30    | 0.05%             | 2054-09-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                 | Merrill Lynch Mortgage Investors Trust, Series 2006-HE3, Class A4                 | CUSIP: 590212AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     756832 | PA      | $200853.49    | 0.05%             | 2037-06-25      | Floating      | 4.57%                 | 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        |    2015000 | PA      | $1804432.50   | 0.41%             | 2048-04-15      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class D      | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1242000 | PA      | $1208776.50   | 0.27%             | 2050-07-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2016-BNK2, Class C                         | CUSIP: 61690YBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     571000 | PA      | $513779.63    | 0.12%             | 2049-11-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2016-UB12, Class C                         | CUSIP: 61691EBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     498000 | PA      | $403598.22    | 0.09%             | 2049-12-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Re-REMIC Trust                          | Morgan Stanley Re-REMIC Trust, Series 2010-R4, Class 4B                           | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     287886 | PA      | $279269.89    | 0.06%             | 2037-02-26      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2011-C3, Class G                           | CUSIP: 61760RAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     753000 | PA      | $714677.04    | 0.16%             | 2049-07-15      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class C       | CUSIP: 61761DAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     694593 | PA      | $652316.83    | 0.15%             | 2045-11-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E       | CUSIP: 61761DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1303000 | PA      | $728820.02    | 0.17%             | 2045-11-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class G       | CUSIP: 61761DAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1441000 | PA      | $84382.80     | 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 G       | CUSIP: 61762DAL5<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1004187.45   | 0.23%             | 2046-05-15      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class C       | CUSIP: 61762DBB6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     917000 | PA      | $857859.92    | 0.19%             | 2046-05-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class F      | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    1286000 | PA      | $148375.59    | 0.03%             | 2046-07-15      | Variable      | 4.08%                 | 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        |    1509731 | PA      | $1439532.03   | 0.33%             | 2046-07-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class C      | CUSIP: 61762MCB5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    1543000 | PA      | $1432333.57   | 0.32%             | 2046-07-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class D      | CUSIP: 61762XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1139000 | PA      | $1065032.54   | 0.24%             | 2046-10-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class E      | CUSIP: 61762XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     405000 | PA      | $312663.85    | 0.07%             | 2046-10-15      | Variable      | 4.86%                 | 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        |     426100 | PA      | $408474.69    | 0.09%             | 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        |    2004000 | PA      | $1970127.39   | 0.45%             | 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        |     677000 | PA      | $657702.12    | 0.15%             | 2048-05-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class C      | CUSIP: 61767EAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     691000 | PA      | $619147.82    | 0.14%             | 2052-11-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class D      | CUSIP: 61767EAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     663000 | PA      | $491943.02    | 0.11%             | 2052-11-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2016-UB11, Class C                         | CUSIP: 61767FBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2716000 | PA      | $2662137.92   | 0.60%             | 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-NQM1, Class A1        | CUSIP: 61775UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1055515 | PA      | $1064588.33   | 0.24%             | 2068-12-25      | Fixed         | 6.15%                 | 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        |    2620407 | PA      | $2618654.58   | 0.59%             | 2054-07-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| New Economy Assets - Phase 1 Sponsor LLC               | New Economy Assets - Phase 1 Sponsor LLC, Series 2021-1, Class A1                 | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1431000 | PA      | $1216873.32   | 0.28%             | 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        |     301000 | PA      | $298890.11    | 0.07%             | 2043-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                               | PRET LLC, Series 2025-NPL9, Class A1                                              | CUSIP: 740937AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2798216 | PA      | $2806292.47   | 0.64%             | 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        |    2377050 | PA      | $2392146.57   | 0.54%             | 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        |    3751305 | PA      | $3756065.06   | 0.85%             | 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        |    3594214 | PA      | $3604413.04   | 0.82%             | 2054-07-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                             | PRPM Trust, Series 2024-NQM2, Class A1                                            | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     756466 | PA      | $766136.12    | 0.17%             | 2069-06-25      | Fixed         | 6.33%                 | 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        |   37250823 | NS      | $37250823.38  | 8.45%             |  |  |  | No            |                  1 | On Loan: No      |
| RCO VIII Mortgage LLC                                  | RCO VIII Mortgage LLC, Series 2025-3, Class A1                                    | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1145644 | PA      | $1149161.21   | 0.26%             | 2030-05-25      | Fixed         | 6.43%                 | No            |                  2 | 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        |    1262000 | PA      | $1233645.19   | 0.28%             | 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        |    2979000 | PA      | $2999445.77   | 0.68%             | 2030-07-25      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                     | Station Place Securitization Trust, Series 2025-1, Class A                        | CUSIP: 85772UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1810000 | PA      | $1840646.92   | 0.42%             | 2026-07-23      | Floating      | 4.85%                 | 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        |     131069 | PA      | $118373.80    | 0.03%             | 2036-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust         | Structured Asset Mortgage Investments II Trust, Series 2007-AR1, Class 2A1        | CUSIP: 86362XAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21340 | PA      | $19442.19     | 0.00%             | 2037-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  352038000 | PA      | $2463470.04   | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   54782000 | PA      | $260280.24    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  879666000 | PA      | $-1778458.49  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  185673000 | PA      | $-3606446.92  | -0.82%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   37243300 | PA      | $701717.79    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   53932000 | PA      | $-297918.63   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   94176000 | PA      | $-1596.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     764500 | PA      | $-105.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   20448000 | PA      | $-22187.51    | -0.01%            |  |  |  | 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        |     647275 | PA      | $627475.92    | 0.14%             | 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        |     381190 | PA      | $267382.31    | 0.06%             | 2029-02-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2012-C1, Class E                            | CUSIP: 90269GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     503044 | PA      | $457716.85    | 0.10%             | 2045-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2017-C1, Class D                            | CUSIP: 90276EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1223000 | PA      | $1016559.92   | 0.23%             | 2050-06-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C11, Class D                           | CUSIP: 90276XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2195000 | PA      | $1409371.75   | 0.32%             | 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        |     641000 | PA      | $598334.21    | 0.14%             | 2051-06-15      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                               | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     200000 | PA      | $199935.58    | 0.05%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                               | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    2324000 | PA      | $2311737.27   | 0.52%             | 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        |     800000 | PA      | $788398.73    | 0.18%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Unlock Hea Trust                                       | Unlock Hea Trust, Series 2023-1, Class A                                          | CUSIP: 91528JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     650865 | PA      | $655120.13    | 0.15%             | 2038-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust          | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1C4       | CUSIP: 92922F4W5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29004 | PA      | $28156.19     | 0.01%             | 2045-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E                          | CUSIP: 92936CAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     806022 | PA      | $762715.81    | 0.17%             | 2044-06-15      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                         | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1510000 | PA      | $1333652.84   | 0.30%             | 2045-03-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C                         | CUSIP: 92938CAJ6<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |    1390000 | PA      | $1257990.73   | 0.29%             | 2046-08-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class D                         | CUSIP: 92938CAL1<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |    1317468 | PA      | $757570.23    | 0.17%             | 2046-08-15      | Variable      | 4.28%                 | 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        |    2775980 | PA      | $2717664.06   | 0.62%             | 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        |     816000 | PA      | $770296.00    | 0.17%             | 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        |    1125000 | PA      | $1092153.15   | 0.25%             | 2057-10-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class D                  | CUSIP: 94988QAU5<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |     381000 | PA      | $219075.00    | 0.05%             | 2046-07-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class D                  | CUSIP: 94988XAC0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |     232024 | PA      | $28072.95     | 0.01%             | 2050-08-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class D                  | CUSIP: 94989AAA3<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |    1981000 | PA      | $1831453.72   | 0.42%             | 2047-12-15      | Variable      | 3.96%                 | 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        |    2341500 | PA      | $1324094.84   | 0.30%             | 2048-11-15      | Variable      | 4.90%                 | 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        |     470558 | PA      | $463700.63    | 0.11%             | 2048-11-15      | Variable      | 4.90%                 | 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        |    1488500 | PA      | $1318796.86   | 0.30%             | 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        |     371000 | PA      | $286488.83    | 0.06%             | 2059-01-15      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class D                   | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $917304.90    | 0.21%             | 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        |    1112000 | PA      | $490586.49    | 0.11%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2020-C55, Class D                   | CUSIP: 95002EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     919000 | PA      | $621769.39    | 0.14%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2019-C52, Class XA                  | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16993475 | PA      | $763611.99    | 0.17%             | 2052-08-15      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2021-C59, Class XA                  | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23338046 | PA      | $1335960.76   | 0.30%             | 2054-04-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   14236452 | PA      | $1050023.78   | 0.24%             | 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        |      -1626 | NC      | $31193.18     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Bonds                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1229 | NC      | $-259875.74   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-30

**Name of Applicant:** Putnam Funds Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer