# EDGAR Filing Document

**Accession Number:** 0001005942
**File Stem:** 0000869392-23-000135
**Filing Date:** 2023-1
**Character Count:** 334591
**Document Hash:** 069528f670883b04fd07b4072ac70e9d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000869392-23-000135.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0000869392-23-000135

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM FUNDS TRUST
- **CENTRAL INDEX KEY:** 0001005942
- **IRS NUMBER:** 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:** 23556912

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

**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:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $1344580011.54

**Total Liabilities:** $909883250.71

**Net Assets:** $434696760.84

**Cash Not Reported:** $489391.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 148.35 | **1-Year:** 35049.88 | **5-Year:** 98934.26 | **10-Year:** 18474.91 | **30-Year:** 0

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000219743 | 1.54%                | 0.52%                | -1.07%               |
| Class ID C000213253 | 1.54%                | 0.51%                | -1.18%               |
| Class ID C000213254 | 1.52%                | 0.49%                | -1.09%               |
| Class ID C000152757 | 1.55%                | 0.52%                | -1.07%               |
| Class ID C000213255 | 1.56%                | 0.43%                | -1.26%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-10164818.21            | $23634030.36                               |
| Month 2  | $-3054251.21             | $-5354409.48                               |
| Month 3  | $-413959.84              | $-10539936.59                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GSAA HOME EQUITY TRUST 2006-8                                               | ASSET BACKED SECURITY                 | CUSIP: 362348AS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75288 | PA      | $18793.53     | 0.00%             | 2036-05-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                                           | ASSET BACKED SECURITY                 | CUSIP: 17312EAE6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    170164 | PA      | $142958.77    | 0.03%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2006-HE3                      | ASSET BACKED SECURITY                 | CUSIP: 590212AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810063 | PA      | $217408.87    | 0.05%             | 2037-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-1                                               | ASSET BACKED SECURITY                 | CUSIP: 362341Z28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1094222 | PA      | $361093.27    | 0.08%             | 2036-01-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| SECURITIZED TERM AUTO LOAN RECEIVABLES TRUST 2019-CRT                       | ASSET BACKED SECURITY                 | CUSIP: 81379MAD6<br>LEI: 549300DC604TIE09UO03 | Long             | ABS-MBS          | CORP              | CA        |   1297958 | PA      | $1249319.88   | 0.29%             | 2026-03-25      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4                           | ASSET BACKED SECURITY                 | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $310651.74    | 0.07%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-C59                              | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23954317 | PA      | $2016733.07   | 0.46%             | 2054-04-15      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C52                              | COMMERCIAL MORT BACKED SEC IO         | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9929953 | PA      | $738272.16    | 0.17%             | 2052-08-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| COMM 2013-LC6 MORTGAGE TRUST                                                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 20048EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    706000 | PA      | $687272.64    | 0.16%             | 2046-01-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSAIL 2020-C19 COMMERCIAL MORTGAGE TRUST                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12597NAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $818469.57    | 0.19%             | 2053-03-15      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC31                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17323YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1541000 | PA      | $1347188.43   | 0.31%             | 2048-06-10      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2020-FL4 LLC                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 75575JAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1468000 | PA      | $1432605.20   | 0.33%             | 2035-02-25      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| BWAY 2022-26BW MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12429EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $383890.98    | 0.09%             | 2044-02-10      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| PFP 2021-8 LTD                                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 69357XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1044374 | PA      | $1001569.27   | 0.23%             | 2037-08-09      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17323CAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    817000 | PA      | $755989.95    | 0.17%             | 2048-02-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |   1355000 | PA      | $1013111.82   | 0.23%             | 2057-06-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1581000 | PA      | $1395924.03   | 0.32%             | 2051-11-25      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2022-FL9 LLC                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 75574EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758321 | PA      | $747229.43    | 0.17%             | 2037-06-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C2 COMMERCIAL MORTGAGE TRUST                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |    504000 | PA      | $426138.40    | 0.10%             | 2057-06-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61764PBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    787000 | PA      | $708075.63    | 0.16%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-NWPT                                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12663MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1041000 | PA      | $1036119.79   | 0.24%             | 2024-09-09      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2015-MS1                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61765DAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    709000 | PA      | $616515.91    | 0.14%             | 2048-05-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC19 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 200474AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845000 | PA      | $702839.65    | 0.16%             | 2048-02-10      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C24                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61765LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    677000 | PA      | $543082.63    | 0.12%             | 2048-05-15      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC27                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17323CAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680000 | PA      | $519598.34    | 0.12%             | 2048-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-RB1                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2367000 | PA      | $1713364.79   | 0.39%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2017-P7                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17325HBT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373000 | PA      | $314970.08    | 0.07%             | 2050-04-14      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2017-GS5                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36252HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2215000 | PA      | $1624859.32   | 0.37%             | 2050-03-10      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 465968AM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388000 | PA      | $311288.13    | 0.07%             | 2050-09-15      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2011-C3                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61760RAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    753000 | PA      | $387720.68    | 0.09%             | 2049-07-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C3                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90276GAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $1937448.24   | 0.45%             | 2050-08-15      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2017-C3                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90276GAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1796000 | PA      | $1438499.02   | 0.33%             | 2050-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| COMM 2017-COR2 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12595EAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2120000 | PA      | $1616309.20   | 0.37%             | 2050-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2017-C34                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61767EAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168000 | PA      | $110572.07    | 0.03%             | 2052-11-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B1 MORTGAGE TRUST                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08162PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2021000 | PA      | $1613026.79   | 0.37%             | 2051-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B1 MORTGAGE TRUST                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $439726.90    | 0.10%             | 2051-01-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B3 MORTGAGE TRUST                                            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08161BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2459000 | PA      | $1779054.78   | 0.41%             | 2051-04-10      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   1286000 | PA      | $276926.34    | 0.06%             | 2046-07-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK11                                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 06540TAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2170000 | PA      | $1511714.66   | 0.35%             | 2061-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    783000 | PA      | $550859.37    | 0.13%             | 2048-11-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H3                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61767YBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1174000 | PA      | $1025431.47   | 0.24%             | 2051-07-15      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC24                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36253GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2089000 | PA      | $1398735.49   | 0.32%             | 2047-09-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-L1                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61691QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2079000 | PA      | $1540726.11   | 0.35%             | 2051-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSAIL 2018-C14 COMMERCIAL MORTGAGE TRUST                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12596GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1765000 | PA      | $1340206.86   | 0.31%             | 2051-11-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2019-GC38                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36252SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532000 | PA      | $375742.18    | 0.09%             | 2052-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12631DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1366000 | PA      | $947348.32    | 0.22%             | 2047-05-10      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C50                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95001XAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418000 | PA      | $280883.08    | 0.06%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C50                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95001XBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281000 | PA      | $231510.36    | 0.05%             | 2052-05-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B11 MORTGAGE TRUST                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08162BAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    963000 | PA      | $649969.15    | 0.15%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C3                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 05550MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1145000 | PA      | $783170.97    | 0.18%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD 2019-CD8 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12515BAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507000 | PA      | $334870.47    | 0.08%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C4                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07335CAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446000 | PA      | $300955.89    | 0.07%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C4                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 07335CAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $360650.89    | 0.08%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C17 COMMERCIAL MORTGAGE TRUST                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12597BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $254350.10    | 0.06%             | 2052-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE SECURITIES TRUST 2019-01                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   1376155 | PA      | $1269597.71   | 0.29%             | 2049-10-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B13 MORTGAGE TRUST                                           | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 08162DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1998000 | PA      | $1454983.56   | 0.33%             | 2057-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CANTOR COMMERCIAL REAL ESTATE LENDING 2019-CF2                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12528YAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313000 | PA      | $202240.54    | 0.05%             | 2052-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2019-C5                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 05492JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462000 | PA      | $284723.72    | 0.07%             | 2052-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2019-C54                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95001YAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259000 | PA      | $202922.87    | 0.05%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC21                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17322MAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1749000 | PA      | $1635700.65   | 0.38%             | 2047-05-10      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C19                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2156000 | PA      | $1962665.01   | 0.45%             | 2047-04-15      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61761DAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150000 | PA      | $729813.00    | 0.17%             | 2045-11-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643PAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $998724.00    | 0.23%             | 2047-11-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC25                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17322YAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239000 | PA      | $209142.52    | 0.05%             | 2047-10-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C25                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643PAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $58874.10     | 0.01%             | 2047-11-15      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-C21                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |   1151000 | PA      | $1035125.38   | 0.24%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS4 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591QAW2<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |    324000 | PA      | $298511.28    | 0.07%             | 2047-08-10      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C17                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763UAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2144500 | PA      | $1952076.59   | 0.45%             | 2047-08-15      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46642NBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    399000 | PA      | $374622.90    | 0.09%             | 2047-09-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C22                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354000 | PA      | $316792.83    | 0.07%             | 2047-09-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE19 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12592GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    721000 | PA      | $648311.45    | 0.15%             | 2047-08-10      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C23                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46643AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2023000 | PA      | $1727589.60   | 0.40%             | 2047-09-15      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS6 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12592PBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193000 | PA      | $177095.01    | 0.04%             | 2047-12-10      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| COMM 2014-UBS3 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591YBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301000 | PA      | $283219.99    | 0.07%             | 2047-06-10      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE21 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12592RBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    628000 | PA      | $566223.20    | 0.13%             | 2047-12-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C16                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61763MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    967000 | PA      | $930524.76    | 0.21%             | 2047-06-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| COMM 2015-LC19 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 200474AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1072000 | PA      | $930901.22    | 0.21%             | 2048-02-10      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61764PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    893000 | PA      | $765616.23    | 0.18%             | 2047-12-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12527DAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99580.00     | 0.02%             | 2047-12-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C22                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690FAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1437000 | PA      | $1282380.24   | 0.30%             | 2048-04-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1894000 | PA      | $1796608.44   | 0.41%             | 2046-03-15      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C12                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405000 | PA      | $300750.08    | 0.07%             | 2046-10-15      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C23                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1883000 | PA      | $1603381.84   | 0.37%             | 2050-07-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2090000 | PA      | $1766879.31   | 0.41%             | 2058-09-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17324DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2325000 | PA      | $1926999.29   | 0.44%             | 2048-09-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C29                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989KBC6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |   2017000 | PA      | $1720201.27   | 0.40%             | 2048-06-15      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| COMM 2015-CCRE26 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12593QBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875000 | PA      | $721356.13    | 0.17%             | 2048-10-10      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61765TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    854000 | PA      | $777116.77    | 0.18%             | 2048-10-15      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61765TAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562000 | PA      | $469298.94    | 0.11%             | 2048-10-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989WAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    711000 | PA      | $633061.82    | 0.15%             | 2048-11-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C31                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989WBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491000 | PA      | $399900.50    | 0.09%             | 2048-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94989QBA7<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-MBS          | CORP              | US        |   2119000 | PA      | $1856373.68   | 0.43%             | 2048-09-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2014-GC19                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17322AAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2130000 | PA      | $1990408.75   | 0.46%             | 2047-03-11      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2015-UBS8                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61691ABP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2528000 | PA      | $2154049.64   | 0.50%             | 2048-12-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P3                                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 29429CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1630000 | PA      | $1456044.93   | 0.33%             | 2049-04-15      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2016-GS2                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36252TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311000 | PA      | $240709.09    | 0.06%             | 2049-05-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C2                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46590LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1101000 | PA      | $697402.36    | 0.16%             | 2049-06-15      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS5                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000CBJ1<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |    781000 | PA      | $666356.31    | 0.15%             | 2059-01-15      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C33                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |   2533000 | PA      | $1995945.74   | 0.46%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2016-BNK2                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690YBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1682000 | PA      | $1324271.57   | 0.30%             | 2049-11-15      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2012-C1                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269GAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75697 | PA      | $66975.17     | 0.02%             | 2045-05-10      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| COMM 2016-COR1 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12594MAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1501500 | PA      | $1142048.68   | 0.26%             | 2049-10-10      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988XAC0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |    777000 | PA      | $121198.32    | 0.03%             | 2050-08-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD3 MORTGAGE TRUST                                                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    686000 | PA      | $481763.81    | 0.11%             | 2050-02-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640LAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402000 | PA      | $44553.94     | 0.01%             | 2046-08-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2017-C5                          | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46590TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566000 | PA      | $443237.49    | 0.10%             | 2050-03-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2006-HQ10                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61750HAH9<br>LEI: 549300T7A7LUR8384661 | Long             | ABS-MBS          | CORP              | US        |     24032 | PA      | $22314.97     | 0.01%             | 2041-11-12      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46629PAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    638274 | PA      | $594544.40    | 0.14%             | 2047-05-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST SERIES 2008-C1                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 22546NAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63742 | PA      | $32100.61     | 0.01%             | 2041-02-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2010-C1                                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36249KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    397000 | PA      | $299007.50    | 0.07%             | 2043-08-10      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $329557.37    | 0.08%             | 2046-02-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2011-C3                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46635TBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242000 | PA      | $104628.63    | 0.02%             | 2046-02-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C4                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936CAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    806022 | PA      | $614821.09    | 0.14%             | 2044-06-15      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2012-C4                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61760VAE3<br>LEI: 5493005SNWQW3UUOQX45 | Long             | ABS-MBS          | CORP              | US        |    869416 | PA      | $804209.68    | 0.19%             | 2045-03-15      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2012-C4                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61760VAF0<br>LEI: 5493005SNWQW3UUOQX45 | Long             | ABS-MBS          | CORP              | US        |    392000 | PA      | $283188.64    | 0.07%             | 2045-03-15      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46634SAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224000 | PA      | $171539.20    | 0.04%             | 2045-05-15      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269CAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24000 | PA      | $240.00       | 0.00%             | 2063-05-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1114000 | PA      | $624869.22    | 0.14%             | 2045-06-15      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C7                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92936TAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630228 | PA      | $47280.27     | 0.01%             | 2045-06-15      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2012-C6                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61761DAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1272000 | PA      | $1210384.32   | 0.28%             | 2045-11-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92930RAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161155 | PA      | $157126.00    | 0.04%             | 2045-11-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C4                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90270RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395096 | PA      | $392939.75    | 0.09%             | 2045-12-10      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| COMM 2012-CCRE4 MORTGAGE TRUST                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12624QBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1399000 | PA      | $1147180.00   | 0.26%             | 2045-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C10                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92890NAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406000 | PA      | $300002.82    | 0.07%             | 2045-12-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II                                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36192CAQ8<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    471000 | PA      | $465007.47    | 0.11%             | 2046-02-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8                                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17318UAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97978 | PA      | $95905.72     | 0.02%             | 2045-09-10      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8                                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17318UAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    766000 | PA      | $766000.00    | 0.18%             | 2045-09-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C8                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61761QAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579000 | PA      | $574145.37    | 0.13%             | 2048-12-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C10               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1101000 | PA      | $1050938.08   | 0.24%             | 2047-12-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762DAG6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |   2027000 | PA      | $1788799.32   | 0.41%             | 2046-05-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762DAZ4<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1671451.05   | 0.38%             | 2046-05-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C9                  | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762DBB6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |    269000 | PA      | $258943.11    | 0.06%             | 2046-05-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17320DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1348000 | PA      | $1327375.60   | 0.31%             | 2046-04-10      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $585933.26    | 0.13%             | 2046-04-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639NAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    438000 | PA      | $431183.41    | 0.10%             | 2045-07-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C11                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762TAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    932000 | PA      | $65435.72     | 0.02%             | 2046-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-C15                                    | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938CAL1<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |   1324000 | PA      | $811081.87    | 0.19%             | 2046-08-15      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2013-LC12                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 94988QAU5<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |    381000 | PA      | $154863.74    | 0.04%             | 2046-07-15      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2013-GC13                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36198EBB0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    739000 | PA      | $332785.74    | 0.08%             | 2046-07-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC15                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17321JAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    598000 | PA      | $583312.52    | 0.13%             | 2046-09-10      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2013-UBS1                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92938JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    883000 | PA      | $846765.65    | 0.19%             | 2046-03-15      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1744000 | PA      | $1533632.44   | 0.35%             | 2046-11-10      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE13 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630BBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656000 | PA      | $619052.31    | 0.14%             | 2046-11-10      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C17                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640UAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1394052.60   | 0.32%             | 2047-01-15      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC17                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17321RAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    856911 | PA      | $764192.97    | 0.18%             | 2046-11-10      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CR14 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1073000 | PA      | $974932.41    | 0.22%             | 2047-02-10      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CR14 MORTGAGE TRUST                                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12630DBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $612690.33    | 0.14%             | 2047-02-10      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C12                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $555335.56    | 0.13%             | 2045-07-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC18                                      | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36252RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1131000 | PA      | $769080.00    | 0.18%             | 2047-01-10      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2013-GC11                               | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 17320DAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1736343 | PA      | $1642281.48   | 0.38%             | 2046-04-10      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C14                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2109000 | PA      | $2040729.14   | 0.47%             | 2047-02-15      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014-C14                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61690GAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    855000 | PA      | $801072.07    | 0.18%             | 2047-02-15      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2012-C9                                     | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92930RAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456000 | PA      | $454120.37    | 0.10%             | 2045-11-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2012-C1                                       | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    671000 | PA      | $261690.00    | 0.06%             | 2045-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2                              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269CAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37000 | PA      | $0.37         | 0.00%             | 2063-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C18                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46641JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1135000 | PA      | $771880.59    | 0.18%             | 2047-02-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2014-LC14                                   | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 96221TAQ0<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |   1568000 | PA      | $1443872.57   | 0.33%             | 2047-03-15      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2012-C6                | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46634SAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $51120.00     | 0.01%             | 2045-05-15      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE16 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1226000 | PA      | $1104467.72   | 0.25%             | 2047-04-10      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11              | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46639YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    643000 | PA      | $501664.10    | 0.12%             | 2046-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 61762MBE0<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    369000 | PA      | $125496.90    | 0.03%             | 2046-07-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 MORTGAGE TRUST                                             | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1247000 | PA      | $1081007.59   | 0.25%             | 2047-05-10      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA2                                           | CORP CMO                              | CUSIP: 35564LBE6<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-CBDO         | CORP              | US        |    755000 | PA      | $793552.57    | 0.18%             | 2049-03-25      | Floating      | 14.52%                | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-DNA3                                                       | CORP CMO                              | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-CBDO         | CORP              | US        |    818000 | PA      | $757828.49    | 0.17%             | 2048-09-25      | Floating      | 11.77%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-HQA2                                           | CORP CMO                              | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-CBDO         | CORP              | US        |   1728000 | PA      | $1838246.05   | 0.42%             | 2048-10-25      | Floating      | 15.02%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-HQA1                                           | CORP CMO                              | CUSIP: 35563MBE5<br>LEI: 54930047IR7X5WWFY307 | Long             | ABS-CBDO         | CORP              | US        |   1100000 | PA      | $1194305.53   | 0.27%             | 2049-02-25      | Floating      | 16.27%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XDY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   1556210 | PA      | $1565235.65   | 0.36%             | 2029-04-25      | Floating      | 13.27%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-HQA1                                           | CORP CMO                              | CUSIP: 35563MBD7<br>LEI: 54930047IR7X5WWFY307 | Long             | ABS-CBDO         | CORP              | US        |   2950000 | PA      | $3002602.63   | 0.69%             | 2049-02-25      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-HQA2                                           | CORP CMO                              | CUSIP: 35564MBD6<br>LEI: 549300NKHCH87PYOHD44 | Long             | ABS-CBDO         | CORP              | US        |   2518000 | PA      | $2492645.25   | 0.57%             | 2049-04-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-3                                                     | CORP CMO                              | CUSIP: 61915RAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8325 | PA      | $7560.80      | 0.00%             | 2035-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0FZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   1336478 | PA      | $1334660.20   | 0.31%             | 2027-12-25      | Floating      | 11.57%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    709032 | PA      | $746255.95    | 0.17%             | 2028-04-25      | Floating      | 9.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0GZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    295388 | PA      | $303508.49    | 0.07%             | 2028-04-25      | Floating      | 13.37%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0HM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    248371 | PA      | $257929.22    | 0.06%             | 2028-05-25      | Floating      | 14.52%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0GM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    369109 | PA      | $369288.96    | 0.08%             | 2028-03-25      | Floating      | 12.82%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0HZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    246536 | PA      | $258176.01    | 0.06%             | 2028-07-25      | Floating      | 14.02%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     26597 | PA      | $28814.60     | 0.01%             | 2028-08-25      | Floating      | 15.77%                | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TRUST 2006-AR11                                  | CORP CMO                              | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25008 | PA      | $22342.40     | 0.01%             | 2036-06-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    111163 | PA      | $120427.78    | 0.03%             | 2028-10-25      | Floating      | 15.77%                | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XCY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    814780 | PA      | $885542.84    | 0.20%             | 2028-10-25      | Floating      | 16.77%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2007-AR1                     | CORP CMO                              | CUSIP: 86362XAP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     28289 | PA      | $23948.63     | 0.01%             | 2037-01-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7                     | CORP CMO                              | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    229784 | PA      | $212422.75    | 0.05%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MORTGAGE INVESTMENTS II TRUST 2006-AR7                     | CORP CMO                              | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     76427 | PA      | $68401.99     | 0.02%             | 2036-08-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-8                                             | CORP CMO                              | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    334291 | PA      | $276578.91    | 0.06%             | 2035-10-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0MX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    773000 | PA      | $793548.58    | 0.18%             | 2029-07-25      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1                              | CORP CMO                              | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1521824 | PA      | $816317.12    | 0.19%             | 2047-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2007-AR5                                      | CORP CMO                              | CUSIP: 17311LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    240204 | PA      | $201536.15    | 0.05%             | 2037-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2007-A2                                    | CORP CMO                              | CUSIP: 466278AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    159964 | PA      | $66854.55     | 0.02%             | 2037-06-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    203451 | PA      | $174084.39    | 0.04%             | 2046-08-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                            | CORP CMO                              | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    113171 | PA      | $141915.71    | 0.03%             | 2036-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    228223 | PA      | $180675.16    | 0.04%             | 2046-08-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-OA5                                    | CORP CMO                              | CUSIP: 126694M96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     31015 | PA      | $25331.79     | 0.01%             | 2046-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST              | CORP CMO                              | CUSIP: 92922F4W5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     46226 | PA      | $42304.34     | 0.01%             | 2045-10-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR12 TRUST              | CORP CMO                              | CUSIP: 92922FZV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     78990 | PA      | $71923.78     | 0.02%             | 2044-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| EAGLE RE                                                                    | CORP CMO                              | CUSIP: 26982LAH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    404000 | PA      | $353560.12    | 0.08%             | 2030-01-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1                           | CORP CMO                              | CUSIP: 35563PES4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    978319 | PA      | $848935.39    | 0.20%             | 2057-05-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2017-3                           | CORP CMO                              | CUSIP: 35563PCF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $340642.76    | 0.08%             | 2056-07-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE CORP 2018-1 LTD                                             | CORP CMO                              | CUSIP: 89052WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2755916 | PA      | $2701894.47   | 0.62%             | 2023-03-25      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA2                                     | CORP CMO                              | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    844902 | PA      | $843365.80    | 0.19%             | 2050-03-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2020-1                                                | CORP CMO                              | CUSIP: 04285CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    442000 | PA      | $360531.58    | 0.08%             | 2055-03-25      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-DNA3                                     | CORP CMO                              | CUSIP: 35565WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    750000 | PA      | $793125.00    | 0.18%             | 2050-06-25      | Floating      | 13.37%                | No            |                  2 | On Loan: No      |
| 1SHARPE MORTGAGE TRUST 2020-1                                               | CORP CMO                              | CUSIP: 68257LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    625131 | PA      | $615754.07    | 0.14%             | 2024-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES                                 | CORP CMO                              | CUSIP: 12659LAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    392000 | PA      | $314664.91    | 0.07%             | 2065-04-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    597426 | PA      | $598725.88    | 0.14%             | 2029-05-25      | Floating      | 13.52%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA2                                     | CORP CMO                              | CUSIP: 35565LBD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $985617.30    | 0.23%             | 2050-03-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-FTR1                                           | CORP CMO                              | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $975000.00    | 0.22%             | 2048-01-25      | Floating      | 12.37%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR 2019-HQA3                                                 | CORP CMO                              | CUSIP: 35564XBE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $919966.00    | 0.21%             | 2049-09-25      | Floating      | 11.52%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2020-HQA1                                     | CORP CMO                              | CUSIP: 35565JBE0<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $632115.20    | 0.15%             | 2050-01-25      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST 2021-RTL1                                              | CORP CMO                              | CUSIP: 501894AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    280000 | PA      | $266000.00    | 0.06%             | 2026-02-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| STATION PLACE SECURITIZATION TRUST SERIES 2021-14                           | CORP CMO                              | CUSIP: 85779JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    176000 | PA      | $176000.00    | 0.04%             | 2022-12-08      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                                | CORP CMO                              | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2146000 | PA      | $1960907.50   | 0.45%             | 2042-01-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA2                                     | CORP CMO                              | CUSIP: 35564KRF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2200000 | PA      | $2065285.86   | 0.48%             | 2042-02-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-HQA1                                     | CORP CMO                              | CUSIP: 35564KTJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2759000 | PA      | $2600357.50   | 0.60%             | 2042-03-25      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-HQA1                                     | CORP CMO                              | CUSIP: 35564KUL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2600000 | PA      | $2307500.00   | 0.53%             | 2042-03-25      | Floating      | 14.52%                | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R03                                | CORP CMO                              | CUSIP: 20753XAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1167000 | PA      | $1123966.88   | 0.26%             | 2042-03-25      | Floating      | 13.37%                | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R04                                | CORP CMO                              | CUSIP: 20753YAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $484400.00    | 0.11%             | 2042-03-25      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA3                                     | CORP CMO                              | CUSIP: 35564KVE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1940000 | PA      | $1816422.00   | 0.42%             | 2042-04-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| HOME RE 2022-1 LTD                                                          | CORP CMO                              | CUSIP: 43730GAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    900000 | PA      | $875349.90    | 0.20%             | 2034-10-25      | Floating      | 12.52%                | No            |                  2 | On Loan: No      |
| STATION PLACE SECURITIZATION TRUST SERIES 2022-3                            | CORP CMO                              | CUSIP: 85773LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | PA      | $1200000.00   | 0.28%             | 2023-05-29      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R05                                | CORP CMO                              | CUSIP: 20754DAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2540000 | PA      | $2391562.40   | 0.55%             | 2042-04-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| NEWREZ WAREHOUSE SECURITIZATION TRUST 2021-1                                | CORP CMO                              | CUSIP: 65246PAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1250000 | PA      | $1171550.00   | 0.27%             | 2055-05-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA4                                     | CORP CMO                              | CUSIP: 35564KXA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1855000.00   | 0.43%             | 2042-05-25      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2022-NQM4                                      | CORP CMO                              | CUSIP: 45276NAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1372582 | PA      | $1293528.38   | 0.30%             | 2067-06-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R06                                | CORP CMO                              | CUSIP: 20754NAR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $492583.00    | 0.11%             | 2042-05-25      | Floating      | 14.12%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 35564KYW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |   1471000 | PA      | $1517148.21   | 0.35%             | 2042-06-25      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                 | CORP CMO                              | CUSIP: 58552FAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    663000 | PA      | $604677.88    | 0.14%             | 2055-11-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2022-3                                 | CORP CMO                              | CUSIP: 24381YAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2200204 | PA      | $2067341.47   | 0.48%             | 2067-07-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| VISIO 2022-1 TRUST                                                          | CORP CMO                              | CUSIP: 92838CAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2195553 | PA      | $2103954.33   | 0.48%             | 2057-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 35564KB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $775808.80    | 0.18%             | 2042-07-25      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| MRA ISSUANCE TRUST 2020-2                                                   | CORP CMO                              | CUSIP: 55346HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    783000 | PA      | $783000.00    | 0.18%             | 2023-06-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST 2021-3                                 | CORP CMO                              | CUSIP: 58552FAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1206000 | PA      | $1099284.68   | 0.25%             | 2055-11-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R09                                | CORP CMO                              | CUSIP: 20753DAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $484227.40    | 0.11%             | 2042-09-25      | Floating      | 10.30%                | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R09                                | CORP CMO                              | CUSIP: 20753DAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000958.80   | 0.23%             | 2042-09-25      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL2 TRUST                                                        | CORP CMO                              | CUSIP: 22946BAP1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1974042 | PA      | $1926841.74   | 0.44%             | 2060-02-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2018-3 LTD                                                    | CORP CMO                              | CUSIP: 07877TAC5<br>LEI: 2549009SOTYJD2MZFC61 | Long             | ABS-CBDO         | CORP              | BM        |   2969198 | PA      | $2929259.32   | 0.67%             | 2028-10-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST 2006-AR2                                | CORP CMO                              | CUSIP: 07401AAX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     60919 | PA      | $44323.65     | 0.01%             | 2046-09-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    150000 | PA      | $155336.57    | 0.04%             | 2029-10-25      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                             | CORP CMO                              | CUSIP: 07386HVR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    180485 | PA      | $145019.15    | 0.03%             | 2035-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA10                                            | CORP CMO                              | CUSIP: 02146QAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     76136 | PA      | $61546.77     | 0.01%             | 2046-08-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4          | CORP CMO                              | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-CBDO         | CORP              | US        |    919862 | PA      | $794021.12    | 0.18%             | 2047-11-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XLU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    964000 | PA      | $1008022.02   | 0.23%             | 2029-11-25      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE 2017-1 LTD                                                    | CORP CMO                              | CUSIP: 078767AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    633000 | PA      | $635513.45    | 0.15%             | 2027-10-25      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    761000 | PA      | $778455.06    | 0.18%             | 2030-02-25      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-OA1                                            | CORP CMO                              | CUSIP: 3622NAAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    328682 | PA      | $234997.24    | 0.05%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES                        | CORP CMO                              | CUSIP: 3137G0RJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $252505.48    | 0.06%             | 2030-03-25      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| RADNOR RE 2018-1 LTD                                                        | CORP CMO                              | CUSIP: 750496AB7<br>LEI: 549300ED4YNDE7SVU538 | Long             | ABS-CBDO         | CORP              | BM        |    957222 | PA      | $953043.76    | 0.22%             | 2028-03-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                       | CORP CMO                              | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    238123 | PA      | $204445.44    | 0.05%             | 2037-02-26      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2019-R03                                | CORP CMO                              | CUSIP: 20753MAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1291000 | PA      | $1282931.25   | 0.30%             | 2031-09-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-2                           | CORP CMO                              | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    244000 | PA      | $201237.85    | 0.05%             | 2058-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2018-HQA2                                           | CORP CMO                              | CUSIP: 35563XBD3<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-CBDO         | CORP              | US        |   2920000 | PA      | $2887150.00   | 0.66%             | 2048-10-25      | Floating      | 8.27%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-OA19                                            | CORP CMO                              | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    247574 | PA      | $185285.26    | 0.04%             | 2047-02-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XWX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    996451 | PA      | $1005372.17   | 0.23%             | 2030-05-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE III LTD                                                          | CORP CMO                              | CUSIP: 67400KAD2<br>LEI: 2549008N2FD0KB1Y5E03 | Long             | ABS-CBDO         | CORP              | BM        |    159000 | PA      | $153922.34    | 0.04%             | 2029-07-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| OAKTOWN RE III LTD                                                          | CORP CMO                              | CUSIP: 67400KAE0<br>LEI: 2549008N2FD0KB1Y5E03 | Long             | ABS-CBDO         | CORP              | BM        |    191000 | PA      | $188821.11    | 0.04%             | 2029-07-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    284000 | PA      | $290186.77    | 0.07%             | 2030-05-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                                    | CORP CMO                              | CUSIP: 30711XR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    180000 | PA      | $184568.42    | 0.04%             | 2030-12-25      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR 2019-HQA3                                                 | CORP CMO                              | CUSIP: 35564XBD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $470000.00    | 0.11%             | 2049-09-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2019-DNA1                                           | CORP CMO                              | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-CBDO         | CORP              | US        |    439000 | PA      | $464252.07    | 0.11%             | 2049-01-25      | Floating      | 14.77%                | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FHLMC CMO IO                          | CUSIP: 3137H1EB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6962339 | PA      | $1551688.83   | 0.36%             | 2048-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FFX44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3297848 | PA      | $492731.40    | 0.11%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FXV62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8760879 | PA      | $1711112.69   | 0.39%             | 2050-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137F8RM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3779181 | PA      | $643783.57    | 0.15%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FNKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2061008 | PA      | $217314.74    | 0.05%             | 2049-09-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137F6RL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1864341 | PA      | $400959.52    | 0.09%             | 2050-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137H4PS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6992103 | PA      | $1180476.76   | 0.27%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137H3WP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4165134 | PA      | $465498.25    | 0.11%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137H3KN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2193092 | PA      | $457417.57    | 0.11%             | 2051-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2316657 | PA      | $469393.48    | 0.11%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FTBB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3086620 | PA      | $654675.21    | 0.15%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137H0SA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5687838 | PA      | $658102.61    | 0.15%             | 2041-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137F6JS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13909630 | PA      | $2107030.78   | 0.48%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137H5WD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14947208 | PA      | $2312303.18   | 0.53%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FXBF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12204539 | PA      | $2091377.10   | 0.48%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BT2F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21017504 | PA      | $2453415.30   | 0.56%             | 2046-11-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 31397JUJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1428914 | PA      | $130522.71    | 0.03%             | 2033-10-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ANL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117414 | PA      | $12873.01     | 0.00%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137B1HN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187996 | PA      | $26851.46     | 0.01%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BBLN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1833 | PA      | $35.07        | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BH6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29599 | PA      | $6101.69      | 0.00%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BG4Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141754 | PA      | $20853.38     | 0.00%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BRPB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193041 | PA      | $25562.53     | 0.01%             | 2046-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BPMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22825 | PA      | $2915.94      | 0.00%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BG5M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116698 | PA      | $7955.75      | 0.00%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BTKB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280506 | PA      | $47491.81     | 0.01%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BE6K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74509 | PA      | $4455.63      | 0.00%             | 2043-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ABAN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79401 | PA      | $1576.90      | 0.00%             | 2040-04-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BEK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89138 | PA      | $16027.00     | 0.00%             | 2044-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137ALXZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8347 | PA      | $1125.89      | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BYWK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61475 | PA      | $2798.34      | 0.00%             | 2043-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137BNAF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    799387 | PA      | $127305.14    | 0.03%             | 2039-05-15      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FG2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207555 | PA      | $29472.02     | 0.01%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FGKG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1608896 | PA      | $184512.93    | 0.04%             | 2048-07-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137F5BH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1167618 | PA      | $92136.71     | 0.02%             | 2048-05-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FCPP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2659669 | PA      | $311667.42    | 0.07%             | 2047-11-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7313900 | PA      | $897415.53    | 0.21%             | 2056-08-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FQAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5419186 | PA      | $587656.52    | 0.14%             | 2049-12-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FTXU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2368776 | PA      | $291169.97    | 0.07%             | 2050-06-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FRC90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1516064 | PA      | $158882.90    | 0.04%             | 2050-02-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FUYM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1740166 | PA      | $181648.29    | 0.04%             | 2050-07-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FQJT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1870506 | PA      | $229110.47    | 0.05%             | 2049-12-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137F7LK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2410729 | PA      | $261231.16    | 0.06%             | 2048-12-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FHLMC CMO IO                          | CUSIP: 3137FR6Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13833935 | PA      | $2891646.08   | 0.67%             | 2050-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BHEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6042225 | PA      | $995335.77    | 0.23%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BHDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2470935 | PA      | $386901.41    | 0.09%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BF4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2863788 | PA      | $588193.45    | 0.14%             | 2051-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BF3U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2332084 | PA      | $443048.34    | 0.10%             | 2051-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BGJ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3698324 | PA      | $853004.62    | 0.20%             | 2051-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BKU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2512066 | PA      | $394874.13    | 0.09%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BJDG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3904726 | PA      | $608562.86    | 0.14%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25623551 | PA      | $3684950.99   | 0.85%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BDFP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9944736 | PA      | $1827345.20   | 0.42%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BL6T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8138422 | PA      | $1018810.04   | 0.23%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                                          | FNMA CMO IO                           | CUSIP: 3136BNSV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17903010 | PA      | $1351407.29   | 0.31%             | 2052-07-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BFES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7864467 | PA      | $1579006.46   | 0.36%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BGWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25022654 | PA      | $3486950.94   | 0.80%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BGAW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17540885 | PA      | $2280315.06   | 0.52%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 31398PJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73272 | PA      | $8300.60      | 0.00%             | 2040-04-25      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                   | FNMA CMO IO                           | CUSIP: 3136FGRS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207071 | PA      | $41712.88     | 0.01%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP                                                   | FNMA CMO IO                           | CUSIP: 3136FGJ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146027 | PA      | $27083.90     | 0.01%             | 2040-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A1D44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166861 | PA      | $15005.19     | 0.00%             | 2041-10-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AAPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620013 | PA      | $103431.00    | 0.02%             | 2042-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ADQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35687 | PA      | $1012.47      | 0.00%             | 2042-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ABN33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26056 | PA      | $3256.96      | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ARFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50683 | PA      | $9032.89      | 0.00%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ATZK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37013 | PA      | $5271.36      | 0.00%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AF6C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298900 | PA      | $35231.57     | 0.01%             | 2043-09-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AEHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80107 | PA      | $3246.19      | 0.00%             | 2041-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AP4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224738 | PA      | $49193.85     | 0.01%             | 2045-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 31398T4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1019884 | PA      | $191749.05    | 0.04%             | 2040-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 31398NRU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729524 | PA      | $96681.33     | 0.02%             | 2040-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AU4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447146 | PA      | $95595.42     | 0.02%             | 2047-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A7RF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306122 | PA      | $32748.96     | 0.01%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B1GP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318852 | PA      | $48406.27     | 0.01%             | 2047-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AUDM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    969767 | PA      | $84520.66     | 0.02%             | 2046-11-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AUCT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2428481 | PA      | $219528.83    | 0.05%             | 2046-11-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A2R62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518413 | PA      | $13824.26     | 0.00%             | 2041-02-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ATSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    686227 | PA      | $56919.09     | 0.01%             | 2046-09-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136AUEP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1989010 | PA      | $170744.53    | 0.04%             | 2039-05-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B4DC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1625515 | PA      | $179389.87    | 0.04%             | 2049-04-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B4PX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2962085 | PA      | $253169.43    | 0.06%             | 2049-05-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136A2WA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3576841 | PA      | $368367.38    | 0.08%             | 2041-12-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B6HD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11209697 | PA      | $1239246.57   | 0.29%             | 2049-10-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B4VY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1863079 | PA      | $189612.09    | 0.04%             | 2049-06-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B6UL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870642 | PA      | $45299.50     | 0.01%             | 2049-10-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B7TL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4041368 | PA      | $408337.81    | 0.09%             | 2049-11-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136ATFQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3756815 | PA      | $359113.97    | 0.08%             | 2046-08-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B6ZC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2691042 | PA      | $245658.80    | 0.06%             | 2049-11-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BCMA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9603918 | PA      | $1834159.16   | 0.42%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136B9FQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2957371 | PA      | $458525.11    | 0.11%             | 2050-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BDZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3279332 | PA      | $559918.02    | 0.13%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BFUH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1830987 | PA      | $408571.78    | 0.09%             | 2049-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | FNMA CMO IO                           | CUSIP: 3136BFWT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2601383 | PA      | $554874.92    | 0.13%             | 2051-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5497500.00   | 1.26%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F0526C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  95000000 | PA      | $96083589.00  | 22.10%            | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7081875.20   | 1.63%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F0506C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 264000000 | PA      | $262844868.00 | 60.47%            | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F0506C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | 187000000 | PA      | $186181781.50 | 42.83%            | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  87000000 | PA      | $84689106.00  | 19.48%            | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  76000000 | PA      | $73981288.00  | 17.02%            | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $9869250.00   | 2.27%             | 2052-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $10254374.40  | 2.36%             | 2052-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4731250.00   | 1.09%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F0606C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16000000 | PA      | $16367500.80  | 3.77%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 187000000 | PA      | $186123344.00 | 42.82%            | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                             | FNMA TBA                              | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  87000000 | PA      | $84689106.00  | 19.48%            | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GII30                                 | CUSIP: 3617M6FK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22197 | PA      | $21373.41     | 0.00%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376VQP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21345052 | PA      | $2227996.48   | 0.51%             | 2040-02-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WP82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16297 | PA      | $3098.06      | 0.00%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378GHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56192 | PA      | $10252.77     | 0.00%             | 2042-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WM85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8304 | PA      | $1729.67      | 0.00%             | 2040-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112901 | PA      | $23709.19     | 0.01%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FVC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23201 | PA      | $2487.81      | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375AX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88819 | PA      | $18597.02     | 0.00%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375AXQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8567 | PA      | $1793.75      | 0.00%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378T7Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8392 | PA      | $611.22       | 0.00%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378GPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90886 | PA      | $14061.41     | 0.00%             | 2042-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77420 | PA      | $14500.82     | 0.00%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LXM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83059 | PA      | $10570.08     | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379LX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50244 | PA      | $9948.32      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105577 | PA      | $3246.68      | 0.00%             | 2065-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40342 | PA      | $1435.59      | 0.00%             | 2065-03-20      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RAF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109058 | PA      | $5212.97      | 0.00%             | 2065-04-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2802821 | PA      | $125148.38    | 0.03%             | 2065-07-20      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1341353 | PA      | $70689.32     | 0.02%             | 2065-08-20      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379JHX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22817 | PA      | $3637.04      | 0.00%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97427 | PA      | $4218.59      | 0.00%             | 2065-08-20      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119231 | PA      | $5961.57      | 0.00%             | 2065-06-20      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27881 | PA      | $500.55       | 0.00%             | 2065-09-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375BKQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76441 | PA      | $1949.25      | 0.00%             | 2061-02-20      | Floating      | 1.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158562 | PA      | $5771.66      | 0.00%             | 2065-09-20      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77560 | PA      | $2971.26      | 0.00%             | 2065-10-20      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RHG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105401 | PA      | $5775.97      | 0.00%             | 2065-09-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RHE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64640 | PA      | $2527.42      | 0.00%             | 2065-09-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76676 | PA      | $2898.36      | 0.00%             | 2065-10-20      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90179 | PA      | $4166.27      | 0.00%             | 2065-10-20      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126952 | PA      | $6411.07      | 0.00%             | 2065-10-20      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86366 | PA      | $3185.34      | 0.00%             | 2065-10-20      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379FY60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18551 | PA      | $2365.60      | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379TKW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1769165 | PA      | $292531.49    | 0.07%             | 2045-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RPW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145158 | PA      | $3363.07      | 0.00%             | 2066-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    897375 | PA      | $28172.20     | 0.01%             | 2064-10-20      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RQP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65244 | PA      | $1342.52      | 0.00%             | 2066-02-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33694 | PA      | $5853.16      | 0.00%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RTH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4697604 | PA      | $222666.45    | 0.05%             | 2066-04-20      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379TLM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26030 | PA      | $4199.93      | 0.00%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378A3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31920 | PA      | $3773.77      | 0.00%             | 2038-04-20      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376WR56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22634 | PA      | $4123.76      | 0.00%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379Q6W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30725 | PA      | $5064.66      | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379P5D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24963 | PA      | $3443.13      | 0.00%             | 2045-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379YKE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30515 | PA      | $3280.61      | 0.00%             | 2045-10-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12576794 | PA      | $451771.00    | 0.10%             | 2066-07-20      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153720 | PA      | $5059.77      | 0.00%             | 2066-10-20      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378JL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100263 | PA      | $18352.92     | 0.00%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379EW99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    719843 | PA      | $123956.98    | 0.03%             | 2044-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FJF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    708257 | PA      | $42464.54     | 0.01%             | 2039-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378PFQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    695970 | PA      | $65108.04     | 0.01%             | 2043-12-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379P4V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    429984 | PA      | $82673.10     | 0.02%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379NRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    474413 | PA      | $90489.49     | 0.02%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UER7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3429963 | PA      | $67103.81     | 0.02%             | 2064-02-20      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375USV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3266759 | PA      | $111945.31    | 0.03%             | 2065-01-20      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375GE98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356117 | PA      | $49245.26     | 0.01%             | 2042-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379CHL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    674847 | PA      | $127073.65    | 0.03%             | 2039-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RF35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3173480 | PA      | $136142.27    | 0.03%             | 2066-10-20      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375BZP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    430687 | PA      | $7922.05      | 0.00%             | 2062-10-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375BZR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    430687 | PA      | $7922.05      | 0.00%             | 2062-10-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1029990 | PA      | $40380.77     | 0.01%             | 2067-02-20      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1251601 | PA      | $57945.36     | 0.01%             | 2066-06-20      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189779 | PA      | $6645.51      | 0.00%             | 2065-06-20      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379T3W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160541 | PA      | $27034.43     | 0.01%             | 2046-02-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1410873 | PA      | $45304.55     | 0.01%             | 2066-07-20      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1731624 | PA      | $64994.88     | 0.01%             | 2066-12-20      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378PFL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17353 | PA      | $2053.27      | 0.00%             | 2043-12-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375USS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1164941 | PA      | $40242.89     | 0.01%             | 2064-12-20      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379FFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47340 | PA      | $9057.57      | 0.00%             | 2045-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507273 | PA      | $19631.48     | 0.00%             | 2067-02-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376MVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79970 | PA      | $15618.93     | 0.00%             | 2047-03-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313384 | PA      | $13224.82     | 0.00%             | 2067-03-20      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RV78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    721661 | PA      | $38033.68     | 0.01%             | 2067-02-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312135 | PA      | $9653.09      | 0.00%             | 2067-04-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RQ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391238 | PA      | $21151.05     | 0.00%             | 2067-01-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375BPP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252652 | PA      | $5880.96      | 0.00%             | 2062-01-20      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UZE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    992750 | PA      | $49100.41     | 0.01%             | 2067-03-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375B3X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75929 | PA      | $2004.52      | 0.00%             | 2063-03-20      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375BHE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72303 | PA      | $2821.25      | 0.00%             | 2060-10-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375BFJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150926 | PA      | $4621.65      | 0.00%             | 2060-08-20      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226810 | PA      | $16941.58     | 0.00%             | 2066-09-20      | Variable      | 2.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RR57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262885 | PA      | $8986.97      | 0.00%             | 2067-01-20      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376UHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59778 | PA      | $2510.69      | 0.00%             | 2043-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205528 | PA      | $10057.06     | 0.00%             | 2067-05-20      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2191371 | PA      | $57326.25     | 0.01%             | 2064-12-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3413914 | PA      | $99664.05     | 0.02%             | 2067-04-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1880486 | PA      | $62503.60     | 0.01%             | 2067-01-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3009188 | PA      | $126233.54    | 0.03%             | 2067-02-20      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376UEA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    418574 | PA      | $27607.14     | 0.01%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379T5K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158633 | PA      | $29055.54     | 0.01%             | 2045-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380BVQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41220 | PA      | $2856.01      | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1706948 | PA      | $53230.10     | 0.01%             | 2067-06-20      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379V6K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175767 | PA      | $33451.98     | 0.01%             | 2046-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359643 | PA      | $18387.20     | 0.00%             | 2067-08-20      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380BUS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    905495 | PA      | $180465.11    | 0.04%             | 2046-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1427581 | PA      | $108910.59    | 0.03%             | 2067-06-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376R2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1621736 | PA      | $71356.89     | 0.02%             | 2067-02-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380GZN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    717712 | PA      | $134423.08    | 0.03%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UK25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    649011 | PA      | $38096.94     | 0.01%             | 2067-04-20      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RK62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420757 | PA      | $12575.17     | 0.00%             | 2066-12-20      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380HJH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299805 | PA      | $55532.87     | 0.01%             | 2045-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38377YYF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289337 | PA      | $59201.11     | 0.01%             | 2040-04-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UM49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    863796 | PA      | $47583.96     | 0.01%             | 2067-10-20      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380UMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319415 | PA      | $67378.19     | 0.02%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375U3K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9405562 | PA      | $420325.25    | 0.10%             | 2068-01-20      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RK47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2101036 | PA      | $60812.39     | 0.01%             | 2066-12-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RU53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4297060 | PA      | $200569.55    | 0.05%             | 2067-02-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RYY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1906506 | PA      | $77000.78     | 0.02%             | 2066-09-20      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RP83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    818703 | PA      | $27346.99     | 0.01%             | 2066-12-20      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688045 | PA      | $38508.78     | 0.01%             | 2067-10-20      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379FE47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    860852 | PA      | $44174.36     | 0.01%             | 2041-07-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UL81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2030858 | PA      | $91388.59     | 0.02%             | 2067-10-20      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380XKS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    560734 | PA      | $52593.18     | 0.01%             | 2048-06-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380XLA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    380217 | PA      | $66271.79     | 0.02%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378MYG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    957561 | PA      | $146028.11    | 0.03%             | 2043-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38377JYM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1244443 | PA      | $91672.35     | 0.02%             | 2040-01-16      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375U6E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2843941 | PA      | $134198.46    | 0.03%             | 2068-01-20      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UU57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2013659 | PA      | $125384.87    | 0.03%             | 2067-11-20      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375U7K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1655016 | PA      | $101976.41    | 0.02%             | 2068-02-20      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380XYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    518392 | PA      | $48839.44     | 0.01%             | 2048-07-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380CFC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    590278 | PA      | $98699.39     | 0.02%             | 2046-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LDW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1629886 | PA      | $89058.61     | 0.02%             | 2068-06-20      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1196452 | PA      | $83003.88     | 0.02%             | 2068-02-20      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378TEW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2074185 | PA      | $306146.75    | 0.07%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379YFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315534 | PA      | $37361.53     | 0.01%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LFR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2137783 | PA      | $88342.74     | 0.02%             | 2068-07-20      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380YXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14366 | PA      | $986.67       | 0.00%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380YYB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181752 | PA      | $26110.50     | 0.01%             | 2045-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378FEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1498062 | PA      | $194600.22    | 0.04%             | 2043-01-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LNF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6331678 | PA      | $223391.46    | 0.05%             | 2068-06-20      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4856190 | PA      | $195619.48    | 0.05%             | 2068-11-20      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381RM71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1762563 | PA      | $118678.11    | 0.03%             | 2044-01-16      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LSF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21306844 | PA      | $770924.22    | 0.18%             | 2069-03-20      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379HTX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2309344 | PA      | $304002.07    | 0.07%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38378YZR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2147758 | PA      | $227423.77    | 0.05%             | 2044-01-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379TFH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2630289 | PA      | $544541.01    | 0.13%             | 2045-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379ALL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2010099 | PA      | $206575.09    | 0.05%             | 2044-02-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381WUN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    470384 | PA      | $36475.49     | 0.01%             | 2049-06-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381WYN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2899402 | PA      | $231873.87    | 0.05%             | 2049-06-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381RNU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164066 | PA      | $16079.46     | 0.00%             | 2049-02-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LWX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10539614 | PA      | $458641.83    | 0.11%             | 2069-07-20      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XTX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118113 | PA      | $10627.63     | 0.00%             | 2049-08-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245563 | PA      | $9357.80      | 0.00%             | 2069-08-20      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XAJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3654033 | PA      | $302882.81    | 0.07%             | 2049-07-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XK39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2855764 | PA      | $253791.77    | 0.06%             | 2049-08-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LZZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6070747 | PA      | $233784.46    | 0.05%             | 2069-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380WG94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1690723 | PA      | $271631.60    | 0.06%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3434172 | PA      | $492577.07    | 0.11%             | 2049-10-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381BTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15492031 | PA      | $1179284.41   | 0.27%             | 2049-01-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382AYS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3361713 | PA      | $552383.50    | 0.13%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382BDZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4319022 | PA      | $457458.32    | 0.11%             | 2043-09-16      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38379EZ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2527507 | PA      | $383991.42    | 0.09%             | 2044-09-16      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382AB20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1644832 | PA      | $151240.70    | 0.03%             | 2049-09-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382CRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    905745 | PA      | $66873.82     | 0.02%             | 2050-02-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382DGP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4936524 | PA      | $504488.46    | 0.12%             | 2050-01-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380LY98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9671957 | PA      | $398658.72    | 0.09%             | 2070-02-20      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382BFR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1716382 | PA      | $269592.14    | 0.06%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382EFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4020269 | PA      | $365603.27    | 0.08%             | 2044-05-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RZM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5034689 | PA      | $197742.44    | 0.05%             | 2066-09-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1510938 | PA      | $193112.95    | 0.04%             | 2050-08-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5042946 | PA      | $666627.04    | 0.15%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14107802 | PA      | $1856022.42   | 0.43%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382GWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2368909 | PA      | $290121.31    | 0.07%             | 2050-07-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380HUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1683854 | PA      | $161722.06    | 0.04%             | 2047-10-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382QAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4211951 | PA      | $503387.11    | 0.12%             | 2051-03-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382PZ47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3086676 | PA      | $370397.14    | 0.09%             | 2051-03-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382PB43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2576060 | PA      | $365000.09    | 0.08%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382LDU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2604000 | PA      | $463162.01    | 0.11%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382RQH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2777820 | PA      | $314449.24    | 0.07%             | 2051-04-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382RBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5573636 | PA      | $706380.93    | 0.16%             | 2051-04-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382B3E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2450172 | PA      | $447033.93    | 0.10%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382RRW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3995469 | PA      | $551087.85    | 0.13%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382VCJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8786218 | PA      | $1229357.97   | 0.28%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381YEC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1791917 | PA      | $183347.02    | 0.04%             | 2049-08-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380FYN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1975800 | PA      | $336457.39    | 0.08%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382UZC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2237110 | PA      | $322995.32    | 0.07%             | 2051-06-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382L2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3807161 | PA      | $571608.24    | 0.13%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38376RDU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3136998 | PA      | $160700.56    | 0.04%             | 2065-07-20      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383AJX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3262442 | PA      | $516088.89    | 0.12%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382DPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2902365 | PA      | $500348.91    | 0.12%             | 2047-03-16      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383CNQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3356782 | PA      | $546165.29    | 0.13%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38375UXD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7318811 | PA      | $198989.32    | 0.05%             | 2066-05-20      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382LYL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5971676 | PA      | $875558.46    | 0.20%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38380QA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8298545 | PA      | $325715.23    | 0.07%             | 2071-02-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382YKW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6705784 | PA      | $287579.63    | 0.07%             | 2072-01-20      | Floating      | 0.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383CCY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2404996 | PA      | $443986.25    | 0.10%             | 2051-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383MMF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2612212 | PA      | $474691.16    | 0.11%             | 2052-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382YKN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11522986 | PA      | $484553.07    | 0.11%             | 2071-12-20      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383AA95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4299012 | PA      | $687841.84    | 0.16%             | 2051-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383DW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8280747 | PA      | $1352837.16   | 0.31%             | 2051-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383MH27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7153086 | PA      | $506108.71    | 0.12%             | 2049-11-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383AJB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9051752 | PA      | $734730.72    | 0.17%             | 2051-09-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383RBN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4841865 | PA      | $378344.78    | 0.09%             | 2046-11-20      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382YRN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27294998 | PA      | $1206029.48   | 0.28%             | 2072-04-20      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382YRQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21876581 | PA      | $826982.47    | 0.19%             | 2072-04-20      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383FHC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10913790 | PA      | $1512293.34   | 0.35%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382KYS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29634542 | PA      | $3755289.12   | 0.86%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38381XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15803238 | PA      | $1562606.80   | 0.36%             | 2049-08-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382FAN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17971797 | PA      | $1757727.97   | 0.40%             | 2049-05-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383MBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14542769 | PA      | $2195376.45   | 0.51%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382KPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15854235 | PA      | $2024454.27   | 0.47%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382E4X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8765440 | PA      | $1384148.05   | 0.32%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383CUP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11834286 | PA      | $2411025.03   | 0.55%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382RNV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21510588 | PA      | $3119035.20   | 0.72%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38383FD75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18983534 | PA      | $2185767.88   | 0.50%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382Q4H0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21576898 | PA      | $3103746.12   | 0.71%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382VGH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14404730 | PA      | $2124697.65   | 0.49%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382WZF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17953238 | PA      | $2273477.78   | 0.52%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA CMO IO                           | CUSIP: 38382LAV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16392945 | PA      | $2283288.11   | 0.53%             | 2050-11-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6000000 | PA      | $5726609.40   | 1.32%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   1000000 | PA      | $927714.70    | 0.21%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6000000 | PA      | $5411613.60   | 1.24%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                                           | GNMA TBA                              | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8000000 | PA      | $7836561.60   | 1.80%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                                           | GOVT CMO                              | CUSIP: 31397QLM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7215 | PA      | $7574.23      | 0.00%             | 2040-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4791000 | NC      | $271841.34    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4791000 | NC      | $271362.24    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2726000 | NC      | $125096.14    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5650000 | NC      | $205603.50    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11997000 | NC      | $39710.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5546000 | NC      | $75092.84     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5928000 | NC      | $102376.56    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10557300 | NC      | $169550.24    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1474000 | NC      | $37233.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3767000 | NC      | $17629.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6850000 | NC      | $40689.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2836000 | NC      | $453.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9521866 | NC      | $47609.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  53244000 | NC      | $143758.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  26905000 | NC      | $174613.45    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7396000 | NC      | $53177.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8047000 | NC      | $78458.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        | 557686000 | NC      | $1360753.84   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  51551000 | NC      | $660368.31    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  88197000 | NC      | $677352.96    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1786000 | NC      | $13216.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3190000 | NC      | $6092.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3190000 | NC      | $7911.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4869250 | NC      | $127038.73    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6831500 | NC      | $99398.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4869250 | NC      | $130885.44    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6831500 | NC      | $103155.65    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    395000 | NC      | $940.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3974000 | NC      | $116915.08    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6341000 | NC      | $139692.23    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9354500 | NC      | $55285.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9354500 | NC      | $54443.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  25233000 | NC      | $145846.74    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  18371000 | NC      | $253703.51    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1144000 | NC      | $2585.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  21198500 | NC      | $89033.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4449500 | NC      | $14327.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  21198500 | NC      | $90305.61     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4449500 | NC      | $21580.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1227000 | NC      | $6269.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   9290000 | NC      | $145109.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4021000 | NC      | $33092.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7268000 | NC      | $88088.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5843000 | NC      | $73855.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4963000 | NC      | $40646.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7481000 | NC      | $87826.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3740000 | NC      | $5684.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3630000 | NC      | $60366.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6197000 | NC      | $129889.12    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  31901000 | NC      | $418541.12    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  24057000 | NC      | $533343.69    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4420000 | NC      | $120268.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12635000 | NC      | $26154.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  10213000 | NC      | $258491.03    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  11335000 | NC      | $160503.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   6027000 | NC      | $119093.52    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  25477000 | NC      | $33629.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2878000 | NC      | $95779.84     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4691000 | NC      | $144435.89    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3251000 | NC      | $203285.03    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1362400 | NC      | $64918.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2292000 | NC      | $190992.36    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3359000 | NC      | $337277.19    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8357000 | NC      | $20223.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5934000 | NC      | $128055.72    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4633000 | NC      | $341544.76    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  18426000 | NC      | $26717.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12717000 | NC      | $487696.95    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3800000 | NC      | $208202.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  12443000 | NC      | $7590.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5585000 | NC      | $245404.90    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     39000 | NC      | $132.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   5530000 | NC      | $89696.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   3011000 | NC      | $129563.33    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4514000 | NC      | $243485.16    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   8549000 | NC      | $68392.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   4946000 | NC      | $469424.86    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7252800 | NC      | $375985.15    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   7360000 | NC      | $177817.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  24782000 | NC      | $136053.18    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                 | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |  16676000 | NC      | $326182.56    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    122000 | NC      | $20984.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    122000 | NC      | $19105.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    838307 | NC      | $312856.13    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    146000 | NC      | $25462.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    196243 | NC      | $73237.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    652000 | NC      | $113708.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    944000 | NC      | $217592.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    314000 | NC      | $72377.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      1513 | NC      | $182.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    593000 | NC      | $101996.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    751000 | NC      | $173105.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1766000 | NC      | $383928.40    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1515000 | NC      | $392839.50    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    225000 | NC      | $71257.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    591000 | NC      | $103070.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1909781 | NC      | $712730.16    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2154000 | NC      | $367041.60    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   3148779 | NC      | $1175124.38   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    944292 | NC      | $352409.72    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1595000 | NC      | $249777.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    616080 | NC      | $229921.19    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    708000 | NC      | $123475.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1325000 | NC      | $225780.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    124000 | NC      | $19418.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   8887500 | NC      | $1521540.00   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   5000000 | NC      | $856000.00    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    833000 | NC      | $142609.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |  14792000 | NC      | $2532390.40   | 0.58%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    637000 | NC      | $109054.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1274000 | NC      | $218108.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    415000 | NC      | $71048.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   5419000 | NC      | $923397.60    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   2000000 | NC      | $340800.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1579000 | NC      | $409434.70    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    184000 | NC      | $31353.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    153000 | NC      | $23959.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     53000 | NC      | $9116.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     30000 | NC      | $5160.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    252000 | NC      | $65343.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    561000 | NC      | $145467.30    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    134000 | NC      | $25620.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    245000 | NC      | $46844.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    641000 | NC      | $166211.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    205000 | NC      | $35260.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    336000 | NC      | $87124.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     44000 | NC      | $11409.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2006000 | NC      | $520155.80    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     83000 | NC      | $21521.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    910000 | NC      | $235963.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     87000 | NC      | $13624.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     36000 | NC      | $5637.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      2000 | NC      | $382.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      6000 | NC      | $1147.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    222000 | NC      | $38184.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    307000 | NC      | $97226.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    148000 | NC      | $23176.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    235000 | NC      | $36801.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    256000 | NC      | $81075.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    326000 | NC      | $101320.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    324000 | NC      | $100699.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     68000 | NC      | $13001.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     25000 | NC      | $5317.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |   1268000 | NC      | $401575.60    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     68000 | NC      | $13001.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      1000 | NC      | $310.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    112000 | NC      | $17539.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    736331 | NC      | $265520.82    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    394000 | NC      | $61700.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      3026 | NC      | $364.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1513 | NC      | $182.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1009 | NC      | $121.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      3026 | NC      | $364.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1009 | NC      | $121.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1009 | NC      | $121.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      2017 | NC      | $243.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      2521 | NC      | $304.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1513 | NC      | $182.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1513 | NC      | $182.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      2521 | NC      | $304.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |       504 | NC      | $60.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    307000 | NC      | $52558.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     75000 | NC      | $12840.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    215000 | NC      | $36808.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    215000 | NC      | $36808.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    215000 | NC      | $36808.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    202000 | NC      | $31633.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    102000 | NC      | $17462.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     78000 | NC      | $13603.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     86002 | NC      | $31012.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     80000 | NC      | $13952.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      1009 | NC      | $121.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     78000 | NC      | $12214.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    360000 | NC      | $56376.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    285000 | NC      | $44631.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |       504 | NC      | $60.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    203765 | NC      | $76044.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    229016 | NC      | $82583.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    452000 | NC      | $104186.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    629000 | NC      | $98501.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    245000 | NC      | $38367.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                           | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DCR              | CORP              | US        |      6000 | NC      | $1245.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      5000 | NC      | $1037.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     21000 | NC      | $4357.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $168.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     57000 | NC      | $11827.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     52000 | NC      | $10790.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     37000 | NC      | $7677.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    206000 | NC      | $42745.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    340000 | NC      | $112982.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    180000 | NC      | $59814.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     57000 | NC      | $17715.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $168.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     32000 | NC      | $9945.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     16000 | NC      | $4972.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    335000 | NC      | $111320.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    223000 | NC      | $70624.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    424000 | NC      | $134280.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    110000 | NC      | $34837.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    134000 | NC      | $42437.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    134000 | NC      | $42437.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    134000 | NC      | $44528.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     52000 | NC      | $16161.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     39000 | NC      | $12121.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     29000 | NC      | $9013.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    287000 | NC      | $95370.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     65000 | NC      | $20202.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    289000 | NC      | $91526.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    298591 | NC      | $107671.83    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     56000 | NC      | $17404.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     41710 | NC      | $15566.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    163000 | NC      | $34670.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    509000 | NC      | $108264.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    136755 | NC      | $51036.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |    335000 | NC      | $106094.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     49000 | NC      | $15229.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     72000 | NC      | $22377.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    737792 | NC      | $275344.02    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1183000 | NC      | $393110.90    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    196000 | NC      | $40670.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    941000 | NC      | $292462.80    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    300177 | NC      | $112025.97    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     90000 | NC      | $18675.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   2139000 | NC      | $710789.70    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                                      | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |   1293700 | NC      | $482808.97    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    647000 | NC      | $137616.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    262000 | NC      | $45064.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      4000 | NC      | $781.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   1031815 | NC      | $385073.33    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     37318 | NC      | $4500.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    278000 | NC      | $57685.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |    655000 | NC      | $203574.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    102000 | NC      | $31701.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     57000 | NC      | $9804.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     51000 | NC      | $8772.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    113000 | NC      | $21605.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     55473 | NC      | $6690.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |   2097000 | NC      | $360684.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    410000 | NC      | $78392.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     29402 | NC      | $10972.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      8069 | NC      | $973.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    123000 | NC      | $20959.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                                | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |    509000 | NC      | $87140.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |   1339000 | NC      | $209687.40    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                                        | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |    684000 | NC      | $107114.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Institutional U.S. Government Money Market Fund, Premier Class | SHORT TERM INV FUND                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |   6596000 | NS      | $6596000.00   | 1.52%             |  |  |  | No            |                  1 | On Loan: No      |
| PUTNAM SHORT TERM INVESTMENT FUND                                           | SHORT TERM INV FUND                   | CUSIP: 74676P664<br>LEI: 5493003MK0Q7JP8CPP42 | Long             | STIV             | PF                | US        |  74538570 | NS      | $74538570.00  | 17.15%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   7798700 | NC      | $-138894.85   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                                 | SWAPTION                              | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | US        |   7798700 | NC      | $270848.85    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2902400 | NC      | $-36570.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                               | SWAPTION                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2902400 | NC      | $44261.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796P94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3700000 | PA      | $3700000.00   | 0.85%             | 2022-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796X87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6600000 | PA      | $6586232.40   | 1.52%             | 2022-12-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7800000 | PA      | $7766171.87   | 1.79%             | 2023-01-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796YY9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9300000 | PA      | $9289072.50   | 2.14%             | 2022-12-13      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                                    | U.S. T BILLS                          | CUSIP: 912796YX1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $899552.39    | 0.21%             | 2022-12-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-26

**Name of Applicant:** Putnam Investments Inc

**Signature:** Janet C. Smith

**Name of Signer:** NPORT

**Title:** Principal Financial Officer