# EDGAR Filing Document

**Accession Number:** 0000822671
**File Stem:** 0001752724-25-203492
**Filing Date:** 2025-8
**Character Count:** 165403
**Document Hash:** fd8eb0a85281f43902b4b55776624a9a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-203492.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-203492

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM VARIABLE TRUST
- **CENTRAL INDEX KEY:** 0000822671

**ORGANIZATION NAME:**
- **EIN:** 046649095
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05346
- **FILM NUMBER:** 251253187

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM CAPITAL MANAGER TRUST /MA/
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Putnam VT Mortgage Securities Fund (Series ID: S000003871)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000010837 | Class IA Shares |  |
| C000010838 | Class IB 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 Variable Trust

- **b. Investment Company Act file number:** 811-05346

- **c. CIK number of Registrant:** 0000822671

- **d. LEI of Registrant:** 549300TBVD21LYBGBD46

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

- **a. Name of Series:** Putnam VT Mortgage Securities Fund

- **b. EDGAR series identifier (if any):** S000003871

- **c. LEI of Series:** BNJ2SUHEY4BD8C3LUN07

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $63227805.90

**Total Liabilities:** $36943887.83

**Net Assets:** $26283918.07

**Delayed Delivery Securities:** $34693789.06

**Cash Not Reported:** $598408.15

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 19.00000000 | **1-Year:** 1655.99000000 | **5-Year:** 4765.71000000 | **10-Year:** 11625.90000000 | **30-Year:** 4353.45000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000010837 | 0.34%                | -0.84%               | 2.03%                |
| Class ID C000010838 | 0.34%                | -0.84%               | 1.87%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $20950.83                | $279610.16                                 |
| Month 2  | $-444641.04              | $-315248.73                                |
| Month 3  | $-295126.88              | $1018764.57                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                   | Title                                                                               | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $-771.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-188, Class IW                                                     | CUSIP: 38383CUQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524993 | PA      | $91284.06     | 0.35%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4999637.35   | 19.02%            | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class D                | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116000 | PA      | $89838.52     | 0.34%             | 2046-08-15      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2018-DNA3, Class B2                                       | CUSIP: 35563WBE3<br>LEI: 549300BL200YC56BUV20 | Long             | ABS-MBS          | CORP              | US        |    431000 | PA      | $498552.05    | 1.90%             | 2048-09-25      | Floating      | 12.17%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                      | CUSIP: 36201JJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       189 | PA      | $194.08       | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                       | CUSIP: 31371LFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2017 | PA      | $2128.12      | 0.01%             | 2033-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     35000 | PA      | $629.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class D                    | CUSIP: 95000CBJ1<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |     51000 | PA      | $46034.13     | 0.18%             | 2059-01-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class C                            | CUSIP: 12634NAZ1<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $45825.40     | 0.17%             | 2057-06-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                         | Carrington Mortgage Loan Trust, Series 2006-NC2, Class A4                           | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284176 | PA      | $267444.34    | 1.02%             | 2036-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-175, Class JI                                                     | CUSIP: 38382LMM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1309347 | PA      | $247185.66    | 0.94%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     60000 | PA      | $-381.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |    334100 | PA      | $6860.36      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-SG1, Class B                     | CUSIP: 94989QBA7<br>LEI: 549300ZJL46M82UL2Z22 | Long             | ABS-MBS          | CORP              | US        |     72000 | PA      | $69578.40     | 0.26%             | 2048-09-15      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C        | CUSIP: 61762XAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14151 | PA      | $13462.31     | 0.05%             | 2046-10-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-25, Class IJ                                                      | CUSIP: 3136BHEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388935 | PA      | $75368.79     | 0.29%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $884671.79    | 3.37%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-20, Class SB                                                      | CUSIP: 3136B07G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270304 | PA      | $26657.33     | 0.10%             | 2048-03-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-7, Class MI                                                       | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    912016 | PA      | $137508.29    | 0.52%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                      | CUSIP: 36200WST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       363 | PA      | $372.98       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class D                     | CUSIP: 95000LAJ2<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $68783.79     | 0.26%             | 2059-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-125, Class CI                                                     | CUSIP: 38383TWM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    539032 | PA      | $105407.07    | 0.40%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        | -11700000 | PA      | $-36768.69    | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2012-104, Class HI                                                     | CUSIP: 3136A8DU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21036 | PA      | $436.99       | 0.00%             | 2027-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H10, Class MI                                                     | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359884 | PA      | $10524.45     | 0.04%             | 2067-04-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM2, Class A1                                      | CUSIP: 00002DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94036 | PA      | $94306.33     | 0.36%             | 2068-05-25      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-LC13, Class D                                      | CUSIP: 12626GAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99088 | PA      | $90901.15     | 0.35%             | 2046-08-10      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-101, Class HS                                                     | CUSIP: 38384CBH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3707301 | PA      | $257646.27    | 0.98%             | 2053-07-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-8, Class IP                                                       | CUSIP: 38382MUK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1093674 | PA      | $158816.63    | 0.60%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     87000 | PA      | $6158.59      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                       | CUSIP: 31402BXW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35143 | PA      | $37070.76     | 0.14%             | 2033-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust   | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR8, Class 2AC2          | CUSIP: 92922FS41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51869 | PA      | $50019.86     | 0.19%             | 2045-07-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4953, Class AI                                                        | CUSIP: 3137FQZQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    608202 | PA      | $126839.13    | 0.48%             | 2050-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE12 Mortgage Trust                        | COMM Mortgage Trust, Series 2013-CR12, Class AM                                     | CUSIP: 12591KAG0<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |    103862 | PA      | $98106.76     | 0.37%             | 2046-10-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BANK5                                                  | BANK5, Series 2024-5YR10, Class XA                                                  | CUSIP: 06604AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1181783 | PA      | $52397.75     | 0.20%             | 2057-10-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4018, Class DI                                                        | CUSIP: 3137AMVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18272 | PA      | $355.09       | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-89, Class LI                                                      | CUSIP: 38379P4V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227192 | PA      | $41768.31     | 0.16%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1                | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35000 | PA      | $35835.93     | 0.14%             | 2040-01-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-96                                                                | CUSIP: 3136BDLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    714440 | PA      | $118102.08    | 0.45%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24                                                               | CUSIP: 38376RJ80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    344015 | PA      | $22532.66     | 0.09%             | 2066-09-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class C                    | CUSIP: 95000GBE3<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     65000 | PA      | $46117.82     | 0.18%             | 2049-08-15      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-DC1, Class B                                       | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85000 | PA      | $81068.75     | 0.31%             | 2048-02-10      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $929932.79    | 3.54%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                                 | CUSIP: 31329HZ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3298 | PA      | $3377.10      | 0.01%             | 2031-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H23, Class NI                                                     | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    469904 | PA      | $20689.41     | 0.08%             | 2066-10-20      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-174, Class AI                                                     | CUSIP: 38379GV87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68683 | PA      | $1924.62      | 0.01%             | 2029-11-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-C10, Class C    | CUSIP: 46639JAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23899 | PA      | $22501.71     | 0.09%             | 2047-12-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                     | J.P. Morgan Alternative Loan Trust, Series 2006-A6, Class 1A1                       | CUSIP: 466285AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52233 | PA      | $44591.99     | 0.17%             | 2036-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class B                                       | CUSIP: 12624QBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123000 | PA      | $81769.93     | 0.31%             | 2045-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-66, Class PS                                                      | CUSIP: 38384ARL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172276 | PA      | $181613.22    | 0.69%             | 2053-05-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C13, Class C                             | CUSIP: 90353KBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98000 | PA      | $89809.27     | 0.34%             | 2051-10-15      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2003-W8, Class 3F2                                                     | CUSIP: 31393CX40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1292 | PA      | $1288.61      | 0.00%             | 2042-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B11, Class D                                  | CUSIP: 08162BAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $58080.50     | 0.22%             | 2052-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-P1, Class C                        | CUSIP: 17324DAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68000 | PA      | $66549.83     | 0.25%             | 2048-09-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                      | CUSIP: 36210AMT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        13 | PA      | $13.30        | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-20, Class SP                                                      | CUSIP: 38383VYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2260067 | PA      | $182537.91    | 0.69%             | 2053-02-20      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class D                                         | CUSIP: 12515GAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $30244.42     | 0.12%             | 2050-02-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BDS Ltd.                                               | BDS Ltd., Series 2021-FL9, Class A                                                  | CUSIP: 05493NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     21732 | PA      | $21766.03     | 0.08%             | 2038-11-16      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2015-58, Class KI                                                      | CUSIP: 3136APW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214853 | PA      | $35988.82     | 0.14%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2018-C46, Class C                     | CUSIP: 95001QAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51000 | PA      | $47652.01     | 0.18%             | 2051-08-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-12, Class NI                                                      | CUSIP: 3136BFHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636756 | PA      | $104337.63    | 0.40%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $814668.85    | 3.10%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 3617GPMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16188 | PA      | $15729.48     | 0.06%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $909267.88    | 3.46%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B1                | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35000 | PA      | $36556.26     | 0.14%             | 2042-01-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-39, Class IJ                                                      | CUSIP: 38378JUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    382014 | PA      | $59676.53     | 0.23%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-HQA1, Class B2                                       | CUSIP: 35563MBE5<br>LEI: 54930047IR7X5WWFY307 | Long             | ABS-MBS          | CORP              | US        |    222000 | PA      | $273526.89    | 1.04%             | 2049-02-25      | Floating      | 16.67%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class D        | CUSIP: 61765LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63000 | PA      | $58258.42     | 0.22%             | 2048-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1730906.08   | 6.59%             | 2055-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    126000 | PA      | $-558.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H18, Class QI                                                     | CUSIP: 38376RYA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302729 | PA      | $16925.26     | 0.06%             | 2066-06-20      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -2496200 | PA      | $-33528.89    | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-11, Class S                                                       | CUSIP: 38384G3V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2490940 | PA      | $155897.20    | 0.59%             | 2054-01-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2018-BN11, Class D                                                     | CUSIP: 06540TAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59000 | PA      | $45122.08     | 0.17%             | 2061-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H23, Class TI                                                     | CUSIP: 38376RHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    258487 | PA      | $8740.21      | 0.03%             | 2065-09-20      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C23, Class B                           | CUSIP: 92939HBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $46907.50     | 0.18%             | 2057-10-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $5542994.45   | 21.09%            | 2055-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-136                                                               | CUSIP: 38377X4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204906 | PA      | $27287.24     | 0.10%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-53, Class MI                                                      | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158400 | PA      | $31629.47     | 0.12%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      4000 | PA      | $-122.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                     | CUSIP: 36225A2B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1400 | PA      | $1430.19      | 0.01%             | 2028-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H03, Class KI                                                     | CUSIP: 38376RS31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    458162 | PA      | $35573.53     | 0.14%             | 2067-01-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class B2                                 | CUSIP: 35564KWG0<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $55938.20     | 0.21%             | 2042-04-25      | Floating      | 14.06%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class B        | CUSIP: 61762MBZ3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |     73695 | PA      | $69600.16     | 0.26%             | 2046-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class C                                      | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148000 | PA      | $135730.77    | 0.52%             | 2047-05-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 36202EXU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22130 | PA      | $23182.95     | 0.09%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-102, Class IG                                                     | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13889 | PA      | $287.06       | 0.00%             | 2041-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   7800000 | PA      | $50705.33     | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |    334100 | PA      | $2726.99      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    143000 | PA      | $13886.92     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C11, Class D                             | CUSIP: 90276XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136000 | PA      | $81468.07     | 0.31%             | 2051-06-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3391                                                                  | CUSIP: 31397P6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1969 | PA      | $1709.99      | 0.01%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust            | CWABS, Inc. Asset-Backed Certificates Trust, Series 2007-10, Class 1A1              | CUSIP: 23246BAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162830 | PA      | $154615.40    | 0.59%             | 2047-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H10, Class HI                                                     | CUSIP: 38376RAQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    523451 | PA      | $26437.96     | 0.10%             | 2065-04-20      | Variable      | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class IG                                                       | CUSIP: 38384HZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1020849 | PA      | $180535.97    | 0.69%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2018-HQA2, Class B2                                       | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |    413000 | PA      | $512998.12    | 1.95%             | 2048-10-25      | Floating      | 15.42%                | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class D                                      | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144000 | PA      | $115560.65    | 0.44%             | 2047-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -10000000 | PA      | $-48608.92    | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F012478<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $888907.33    | 3.38%             | 2040-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     13000 | PA      | $1657.73      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-H21, Class AI                                                     | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    501680 | PA      | $16671.83     | 0.06%             | 2064-10-20      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-32                                                                | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |    816945 | PA      | $42028.94     | 0.16%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5071, Class IV                                                        | CUSIP: 3137F9RB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    946800 | PA      | $155572.99    | 0.59%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1692900 | PA      | $110250.80    | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4136, Class IQ                                                        | CUSIP: 3137AWHJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158748 | PA      | $16550.54     | 0.06%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-56, Class AS                                                      | CUSIP: 38383XS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3228867 | PA      | $239465.72    | 0.91%             | 2053-04-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      9000 | PA      | $462.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                 | Alternative Loan Trust, Series 2006-OA19, Class A1                                  | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140258 | PA      | $112670.15    | 0.43%             | 2047-02-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CSAIL                                                  | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class D                            | CUSIP: 12634NBA5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     55000 | PA      | $42815.45     | 0.16%             | 2057-06-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-112, Class MS                                                     | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1226592 | PA      | $180785.12    | 0.69%             | 2050-08-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class E         | CUSIP: 61761DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124000 | PA      | $64635.00     | 0.25%             | 2045-11-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2009-121, Class CI                                                     | CUSIP: 38375ASD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183094 | PA      | $30551.52     | 0.12%             | 2039-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2024-NQM1, Class A1                                      | CUSIP: 00039GAA7<br>LEI: 984500E3BD374F778L95 | Long             | ABS-MBS          | CORP              | US        |     99976 | PA      | $100585.31    | 0.38%             | 2069-02-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-173, Class ES                                                     | CUSIP: 38384GDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1590041 | PA      | $112167.52    | 0.43%             | 2053-11-20      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2701319.25   | 10.28%            | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 36202ESB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40830 | PA      | $41932.56     | 0.16%             | 2038-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292000 | PA      | $298836.89    | 1.14%             | 2042-01-25      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-110, Class SQ                                                     | CUSIP: 38381YWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    546082 | PA      | $63117.35     | 0.24%             | 2049-09-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-162, Class UI                                                     | CUSIP: 38382KPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    820528 | PA      | $114044.48    | 0.43%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     46000 | PA      | $-5162.58     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                       | CUSIP: 31368HKV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1191 | PA      | $1230.20      | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Multi-family Connecticut Avenue Securities Trust, Series 2019-01, Class M10    | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    230998 | PA      | $234889.93    | 0.89%             | 2049-10-25      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class JI                                                     | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174769 | PA      | $9522.26      | 0.04%             | 2066-11-20      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     87000 | PA      | $5916.90      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1014919.77   | 3.86%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD4, Class B                                         | CUSIP: 12515DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109000 | PA      | $103459.46    | 0.39%             | 2050-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      4000 | PA      | $-176.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class F        | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    141000 | PA      | $12520.77     | 0.05%             | 2046-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2024-9, Class A11                                | CUSIP: 46593DAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151942 | PA      | $152674.61    | 0.58%             | 2055-02-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-4, Class AF             | CUSIP: 61777BBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88385 | PA      | $88725.03     | 0.34%             | 2054-09-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   7653000 | PA      | $59683.23     | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5003, Class DS                                                        | CUSIP: 3137FVJG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    528887 | PA      | $71854.06     | 0.27%             | 2050-08-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2019-CD8, Class D                                         | CUSIP: 12515BAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84000 | PA      | $51844.27     | 0.20%             | 2057-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1859922.38   | 7.08%             | 2055-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     10000 | PA      | $-4338.97     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3317132.52   | 12.62%            | 2055-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class E                                   | CUSIP: 08162PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108000 | PA      | $49974.55     | 0.19%             | 2051-01-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class D        | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69000 | PA      | $65639.89     | 0.25%             | 2050-07-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1430300 | PA      | $4242.69      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class E                     | CUSIP: 94989WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118000 | PA      | $83549.94     | 0.32%             | 2048-11-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5349, Class IB                                                        | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257282 | PA      | $56224.42     | 0.21%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F020471<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $914024.52    | 3.48%             | 2040-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                        | BRAVO Residential Funding Trust, Series 2024-NQM2, Class A1                         | CUSIP: 10569KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103387 | PA      | $104409.46    | 0.40%             | 2064-02-25      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-182, Class SP                                                     | CUSIP: 38378PFQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100193 | PA      | $13412.78     | 0.05%             | 2043-12-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 406, Class F30                                                        | CUSIP: 3133Q3H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71728 | PA      | $72081.80     | 0.27%             | 2053-10-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F022477<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $933931.83    | 3.55%             | 2040-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     90000 | PA      | $11604.39     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-176, Class GI                                                     | CUSIP: 38383CFG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    734454 | PA      | $112365.46    | 0.43%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 36202EJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9438 | PA      | $10027.30     | 0.04%             | 2036-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     13000 | PA      | $554.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2017-GS5, Class D                              | CUSIP: 36252HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61000 | PA      | $9023.67      | 0.03%             | 2050-03-10      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1M2               | CUSIP: 20753VBE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79000 | PA      | $82138.81     | 0.31%             | 2040-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-87, Class SA                                                      | CUSIP: 38378TR36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466235 | PA      | $51337.82     | 0.20%             | 2043-06-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class C        | CUSIP: 61690FAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98000 | PA      | $85200.61     | 0.32%             | 2048-04-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Notes                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -46 | NC      | $-37085.57    | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                        | LSTAR Commercial Mortgage Trust, Series 2017-5, Class A5                            | CUSIP: 54910TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $58520.78     | 0.22%             | 2050-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class D                     | CUSIP: 94989WBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $117179.70    | 0.45%             | 2048-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H04, Class BI                                                     | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317010 | PA      | $12816.18     | 0.05%             | 2067-02-20      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-182, Class BI                                                     | CUSIP: 38379HRB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    177188 | PA      | $10742.83     | 0.04%             | 2039-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class C         | CUSIP: 61762DBB6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     58000 | PA      | $54418.04     | 0.21%             | 2046-05-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H16, Class XI                                                     | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189407 | PA      | $10550.93     | 0.04%             | 2065-07-20      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D    | CUSIP: 46639EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95133.20     | 0.36%             | 2047-12-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class E         | CUSIP: 61761AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60402 | PA      | $59258.51     | 0.23%             | 2045-08-15      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-6, Class OI                                                       | CUSIP: 38378FJQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40926 | PA      | $8256.54      | 0.03%             | 2043-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      3000 | PA      | $92.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class C        | CUSIP: 61767EAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $52440.37     | 0.20%             | 2052-11-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                               | COLT Mortgage Loan Trust, Series 2023-3, Class A1                                   | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |    138015 | PA      | $140157.97    | 0.53%             | 2068-09-25      | Fixed         | 7.18%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1                 | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $171236.27    | 0.65%             | 2030-04-25      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-DNA4, Class B2                                 | CUSIP: 35565XBE9<br>LEI: 5493000ITFTMJUMPDE35 | Long             | ABS-MBS          | CORP              | US        |     65000 | PA      | $86227.15     | 0.33%             | 2050-08-25      | Floating      | 14.42%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-98, Class SK                                                      | CUSIP: 38382TD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    739850 | PA      | $101109.44    | 0.38%             | 2051-06-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     84000 | PA      | $-2543.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class D                 | CUSIP: 46590LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157000 | PA      | $75859.68     | 0.29%             | 2049-06-15      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $980134.54    | 3.73%             | 2055-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H04, Class AI                                                     | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322940 | PA      | $9383.51      | 0.04%             | 2064-12-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2020-C57, Class C                     | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23000 | PA      | $21162.73     | 0.08%             | 2053-08-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -1512800 | PA      | $-3169.29     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    614600 | PA      | $80178.18     | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1430300 | PA      | $3441.94      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust         | Structured Asset Mortgage Investments II Trust, Series 2007-AR7, Class 1A1          | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343291 | PA      | $279206.21    | 1.06%             | 2047-05-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS3, Class AM                                     | CUSIP: 12591YBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60859 | PA      | $58418.54     | 0.22%             | 2047-06-10      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -2496200 | PA      | $-8.38        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                       | CUSIP: 31385HR87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       626 | PA      | $626.69       | 0.00%             | 2030-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                                 | CUSIP: 3132A0ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1084 | PA      | $1142.54      | 0.00%             | 2026-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-181, Class DS                                                     | CUSIP: 38384FBY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3069782 | PA      | $194046.12    | 0.74%             | 2053-11-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-19, Class S                                                       | CUSIP: 38383V3H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1807854 | PA      | $210140.40    | 0.80%             | 2049-11-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class B   | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24412 | PA      | $23074.23     | 0.09%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     24000 | PA      | $3060.41      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $-540.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC, Multi-family Structured Pass-Through Certificates, Series 2021-MN1, Class M2 | CUSIP: 35563FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85000 | PA      | $87346.77     | 0.33%             | 2051-01-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    285000 | PA      | $-31546.57    | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class B                            | CUSIP: 126281BE3<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |     88000 | PA      | $84268.91     | 0.32%             | 2050-04-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C3, Class C                            | CUSIP: 12635FAZ7<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |     56000 | PA      | $48060.90     | 0.18%             | 2048-08-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class D                           | CUSIP: 12597BAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $25725.47     | 0.10%             | 2052-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2019-2, Class A2                                  | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102000 | PA      | $92235.23     | 0.35%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2018-C11, Class C                             | CUSIP: 90276XBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66000 | PA      | $61021.32     | 0.23%             | 2051-06-15      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class D                | CUSIP: 46639NAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87000 | PA      | $80007.38     | 0.30%             | 2045-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM2, Class A1          | CUSIP: 61776HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165062 | PA      | $166898.08    | 0.63%             | 2069-05-25      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      6000 | PA      | $70.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H07, Class PI                                                     | CUSIP: 38376RRT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    679294 | PA      | $37967.09     | 0.14%             | 2066-03-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust                              | PRMI Securitization Trust, Series 2024-CMG1, Class A1                               | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125147 | PA      | $125366.69    | 0.48%             | 2054-07-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2020-C55, Class D                     | CUSIP: 95002EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $65094.71     | 0.25%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H19, Class AI                                                     | CUSIP: 38376RZM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    471256 | PA      | $19869.58     | 0.08%             | 2066-09-20      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class E        | CUSIP: 61765LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82000 | PA      | $71502.41     | 0.27%             | 2048-05-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2013-GC13, Class D                             | CUSIP: 36198EBB0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $76072.50     | 0.29%             | 2046-07-10      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H09                                                               | CUSIP: 38375UZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    346061 | PA      | $10323.34     | 0.04%             | 2067-04-20      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     25000 | PA      | $-11257.12    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-13, Class SL                                                      | CUSIP: 38383HLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1021445 | PA      | $82107.61     | 0.31%             | 2053-01-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-125, Class SG                                                     | CUSIP: 38382AQY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    550830 | PA      | $65976.71     | 0.25%             | 2049-10-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust               | Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-HE9, Class M2                 | CUSIP: 61744CJU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       948 | PA      | $915.13       | 0.00%             | 2034-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  28078000 | PA      | $-86117.90    | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2019-R05, Class 1B1                | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59716 | PA      | $61267.77     | 0.23%             | 2039-07-25      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-LC19, Class E                                      | CUSIP: 200474AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $90425.60     | 0.34%             | 2048-02-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2014-76                                                                | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126497 | PA      | $26578.22     | 0.10%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class B                | CUSIP: 46643PBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95000 | PA      | $88672.24     | 0.34%             | 2047-11-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      7000 | PA      | $513.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     14000 | PA      | $1027.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H14, Class AI                                                     | CUSIP: 38376RCA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    404225 | PA      | $18956.14     | 0.07%             | 2065-06-20      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-7, Class AS                                                       | CUSIP: 38383VGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1854511 | PA      | $144944.85    | 0.55%             | 2053-01-20      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    830000 | PA      | $7649.21      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM5, Class A1                                      | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |    108937 | PA      | $110479.27    | 0.42%             | 2068-11-25      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                    | BWAY Mortgage Trust, Series 2022-26BW, Class F                                      | CUSIP: 12429EAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138000 | PA      | $81579.28     | 0.31%             | 2044-02-10      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C04, Class 1B                 | CUSIP: 30711XDB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    193392 | PA      | $209389.02    | 0.80%             | 2029-01-25      | Floating      | 14.67%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class GI                                                     | CUSIP: 38376R2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    360064 | PA      | $32631.90     | 0.12%             | 2067-02-20      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-75, Class LI                                                      | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115809 | PA      | $16996.24     | 0.06%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5050, Class IM                                                        | CUSIP: 3137F7Q24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469102 | PA      | $93013.42     | 0.35%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2016-UB11, Class C                           | CUSIP: 61767FBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126000 | PA      | $121997.36    | 0.46%             | 2049-08-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  10000000 | PA      | $33807.01     | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-123, Class NI                                                     | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    553615 | PA      | $81785.68     | 0.31%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5391, Class FC                                                        | CUSIP: 3137HBUJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32078 | PA      | $32183.08     | 0.12%             | 2054-03-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-76, Class NI                                                      | CUSIP: 38382RNV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1059684 | PA      | $179418.67    | 0.68%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bills                                                                 | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   1000000 | PA      | $989096.72    | 3.76%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA2, Class B2                                       | CUSIP: 35564LBE6<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-MBS          | CORP              | US        |    114000 | PA      | $136375.65    | 0.52%             | 2049-03-25      | Floating      | 14.92%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class B         | CUSIP: 61762DAZ4<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     75224 | PA      | $73046.87     | 0.28%             | 2046-05-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust         | Structured Asset Mortgage Investments II Trust, Series 2006-AR7, Class A1BG         | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19231 | PA      | $16954.07     | 0.06%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                      | CUSIP: 36205YLQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       707 | PA      | $716.67       | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC, Multi-family Structured Pass-Through Certificates, Series 2021-MN1, Class M1 | CUSIP: 35563FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35265 | PA      | $35132.34     | 0.13%             | 2051-01-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2025-C32, Class XA                                     | CUSIP: 07337AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    999435 | PA      | $85477.98     | 0.33%             | 2062-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-156, Class SK                                                     | CUSIP: 38378A3Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1293572 | PA      | $180938.05    | 0.69%             | 2038-04-20      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR1, Class B2                                       | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $238301.36    | 0.91%             | 2048-01-25      | Floating      | 12.77%                | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                                 | CUSIP: 3132A0RT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1030 | PA      | $1061.28      | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C                           | CUSIP: 92890NAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57000 | PA      | $46805.12     | 0.18%             | 2045-12-15      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H13, Class AI                                                     | CUSIP: 38376RCL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290712 | PA      | $14482.64     | 0.06%             | 2065-06-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-52, Class KI                                                      | CUSIP: 38379LWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56834 | PA      | $2519.42      | 0.01%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     65000 | PA      | $-421.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2017-COR2, Class D                                      | CUSIP: 12595EAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113000 | PA      | $99293.65     | 0.38%             | 2050-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | OIS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    579000 | PA      | $5275.49      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-UBS5, Class AM                                     | CUSIP: 12592KBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43572 | PA      | $43108.81     | 0.16%             | 2047-09-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-138, Class IB                                                     | CUSIP: 38382JX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    957436 | PA      | $137183.76    | 0.52%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $-529.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4915, Class SD                                                        | CUSIP: 3137FNKD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364478 | PA      | $41206.13     | 0.16%             | 2049-09-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                       | CUSIP: 31410XBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5258 | PA      | $5511.74      | 0.02%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4992500 | PA      | $15293.22     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C                            | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    124000 | PA      | $113181.16    | 0.43%             | 2050-04-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-47, Class SA                                                      | CUSIP: 38382EFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378582 | PA      | $42114.87     | 0.16%             | 2044-05-20      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2024-BNK48, Class XA                                                   | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775918 | PA      | $64570.83     | 0.25%             | 2057-10-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class C                 | CUSIP: 46591ABG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53000 | PA      | $47739.77     | 0.18%             | 2051-06-15      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $849751.88    | 3.23%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H20, Class CI                                                     | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411803 | PA      | $19626.94     | 0.07%             | 2065-08-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3048837.27   | 11.60%            | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding LLC Mortgage-Backed Certificates   | Chevy Chase Funding LLC, Series 2006-4A, Class A2                                   | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |    110076 | PA      | $97748.22     | 0.37%             | 2047-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2008-24, Class SP                                                      | CUSIP: 31397LDE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       519 | PA      | $521.88       | 0.00%             | 2038-02-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2020-BN26, Class XA                                                    | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    968200 | PA      | $40673.87     | 0.15%             | 2063-03-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H27, Class GI                                                     | CUSIP: 38376RK21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    633842 | PA      | $35154.16     | 0.13%             | 2066-12-20      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $-569.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                                 | CUSIP: 3131WWWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14700 | PA      | $15502.18     | 0.06%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class B                           | CUSIP: 92939FAX7<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |     85614 | PA      | $83199.29     | 0.32%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-49, Class IB                                                      | CUSIP: 3136BQKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506474 | PA      | $79463.43     | 0.30%             | 2047-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2012-CR4, Class AM                                      | CUSIP: 12624QAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106000 | PA      | $95891.86     | 0.36%             | 2045-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H03, Class AI                                                     | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431756 | PA      | $16560.86     | 0.06%             | 2066-01-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2011-123, Class KS                                                     | CUSIP: 3136A2QG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11494 | PA      | $819.13       | 0.00%             | 2041-10-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class D                     | CUSIP: 94989KBC6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |     99000 | PA      | $94494.29     | 0.36%             | 2048-06-15      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-89, Class IL                                                      | CUSIP: 38382QB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    574642 | PA      | $134524.53    | 0.51%             | 2051-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2015-MS1, Class C                            | CUSIP: 61765DAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94000 | PA      | $85662.85     | 0.33%             | 2048-05-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class C        | CUSIP: 61764PBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27188 | PA      | $26366.35     | 0.10%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2015-CR26, Class D                                      | CUSIP: 12593QBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85000 | PA      | $69451.03     | 0.26%             | 2048-10-10      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC24, Class B                             | CUSIP: 36253GAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $94160.21     | 0.36%             | 2047-09-10      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C5, Class F                         | CUSIP: 05492JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $46543.26     | 0.18%             | 2052-11-15      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                   | DBUBS Mortgage Trust, Series 2011-LC3A, Class D                                     | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114998 | PA      | $110508.57    | 0.42%             | 2044-08-10      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Pool, 30 Year                                                                 | CUSIP: 3132A0RR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6122 | PA      | $6457.97      | 0.02%             | 2030-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1001624.79   | 3.81%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1692900 | PA      | $51504.23     | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     82000 | PA      | $-3522.06     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                      | CUSIP: 36200QWN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       335 | PA      | $344.82       | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 36295BBC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5232 | PA      | $5370.83      | 0.02%             | 2037-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1512800 | PA      | $15999.99     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class C                | CUSIP: 46642NBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73000 | PA      | $67482.81     | 0.26%             | 2047-09-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2011-C3, Class E                             | CUSIP: 61760RAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39679 | PA      | $38647.74     | 0.15%             | 2049-07-15      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H06, Class DI                                                     | CUSIP: 38376RSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250197 | PA      | $8944.55      | 0.03%             | 2065-07-20      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                     | Barclays Commercial Mortgage Trust, Series 2019-C4, Class E                         | CUSIP: 07335CAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111000 | PA      | $58161.99     | 0.22%             | 2052-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class D                      | CUSIP: 17323CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121371 | PA      | $117183.29    | 0.45%             | 2048-02-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust             | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class C                 | CUSIP: 46590TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46000 | PA      | $30715.05     | 0.12%             | 2050-03-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -1430300 | PA      | $-382.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class C        | CUSIP: 61765LAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104000 | PA      | $101765.92    | 0.39%             | 2048-05-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Putnam Funds Trust                                     | Putnam Short Term Investment Fund, Class P                                          | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |   2317293 | NS      | $2317293.12   | 8.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B13, Class D                                  | CUSIP: 08162DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $59489.28     | 0.23%             | 2057-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-DNA5, Class B2                                 | CUSIP: 35566ABE8<br>LEI: 5493000ITF7RKPWPZQ19 | Long             | ABS-MBS          | CORP              | US        |     56000 | PA      | $78042.17     | 0.30%             | 2050-10-25      | Floating      | 15.81%                | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H24, Class BI                                                     | CUSIP: 38376RD86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1002966 | PA      | $39150.77     | 0.15%             | 2066-11-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3065, Class DC                                                        | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48167 | PA      | $49985.89     | 0.19%             | 2035-03-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C                           | CUSIP: 92938CAJ6<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |     61000 | PA      | $53466.50     | 0.20%             | 2046-08-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2013-CR13, Class C                                      | CUSIP: 12630BBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15472 | PA      | $14530.64     | 0.06%             | 2046-11-10      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18, Class B                | CUSIP: 46641JBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49228 | PA      | $47781.60     | 0.18%             | 2047-02-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2020-HQA3, Class B2                                 | CUSIP: 35565MBE3<br>LEI: 5493000ITAM9GTFUKP51 | Long             | ABS-MBS          | CORP              | US        |     64000 | PA      | $84660.12     | 0.32%             | 2050-07-25      | Floating      | 14.42%                | No            |                  2 | On Loan: No      |
| Morgan Stanley Re-REMIC Trust                          | Morgan Stanley Re-REMIC Trust, Series 2010-R4, Class 4B                             | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51345 | PA      | $48206.38     | 0.18%             | 2037-02-26      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class C        | CUSIP: 61765TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122000 | PA      | $117258.87    | 0.45%             | 2048-10-15      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     70000 | PA      | $4651.99      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM4, Class A1                                      | CUSIP: 00002MAA7<br>LEI: 9845002EOD0CFAFA4F48 | Long             | ABS-MBS          | CORP              | US        |    178449 | PA      | $181504.92    | 0.69%             | 2068-09-25      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     24000 | PA      | $3060.41      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-62, Class MI                                                      | CUSIP: 3136BBZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    942052 | PA      | $171697.98    | 0.65%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Notes                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -100 | NC      | $-193135.70   | -0.73%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class D                     | CUSIP: 95000TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61000 | PA      | $34385.11     | 0.13%             | 2050-03-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     96000 | PA      | $8925.25      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC22, Class AS                            | CUSIP: 36253BAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83000 | PA      | $77999.32     | 0.30%             | 2047-06-10      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class NI                                                     | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299117 | PA      | $9652.67      | 0.04%             | 2067-03-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     90000 | PA      | $9861.72      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-4, Class ES                                                       | CUSIP: 38384HW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2203166 | PA      | $182477.65    | 0.69%             | 2054-01-20      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2017-C3, Class C                              | CUSIP: 90276GAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94000 | PA      | $89050.25     | 0.34%             | 2050-08-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2024-5C29, Class XA                                    | CUSIP: 05555PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1467588 | PA      | $85597.07     | 0.33%             | 2057-09-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2018-COR3, Class D                                      | CUSIP: 12595VAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40000 | PA      | $15549.20     | 0.06%             | 2051-05-10      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H10, Class AI                                                     | CUSIP: 38376RUG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351299 | PA      | $8694.29      | 0.03%             | 2066-04-20      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2014-GC24, Class D                             | CUSIP: 36253GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123000 | PA      | $78411.34     | 0.30%             | 2047-09-10      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-51, Class BI                                                      | CUSIP: 3136B2KV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132768 | PA      | $7739.88      | 0.03%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-214, Class AI                                                     | CUSIP: 38383FDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1074051 | PA      | $218177.42    | 0.83%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |    614600 | PA      | $71378.22     | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-38, Class MI                                                      | CUSIP: 38378DRC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507082 | PA      | $90905.52     | 0.35%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-158, Class AS                                                     | CUSIP: 38382BDZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445560 | PA      | $46195.26     | 0.18%             | 2043-09-16      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Mortgage Pass-Through Trust          | Bayview Financial Mortgage Pass-Through Trust, Series 2006-C, Class 1A3             | CUSIP: 07325DAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92065 | PA      | $90328.95     | 0.34%             | 2036-11-28      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR16, Class C                                      | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119000 | PA      | $112395.18    | 0.43%             | 2047-04-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2015-C30, Class D                     | CUSIP: 94989NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98000 | PA      | $95250.24     | 0.36%             | 2058-09-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 1B                 | CUSIP: 30711XCR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    154206 | PA      | $165926.44    | 0.63%             | 2028-10-25      | Floating      | 16.17%                | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     63000 | PA      | $-667.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    118000 | PA      | $5156.88      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    178500 | PA      | $3722.65      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1892100 | PA      | $63801.52     | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-209, Class SG                                                     | CUSIP: 38383LQW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4216857 | PA      | $302797.75    | 1.15%             | 2052-12-20      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-51, Class QI                                                      | CUSIP: 38378MTJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84452 | PA      | $9217.23      | 0.04%             | 2043-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     58000 | PA      | $284.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, 30 Year                                                                       | CUSIP: 31408FT33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55561 | PA      | $58617.17     | 0.22%             | 2035-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-H13, Class IK                                                     | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286911 | PA      | $25242.42     | 0.10%             | 2066-06-20      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | Uniform Mortgage-Backed Securities                                                  | CUSIP: 01F062671<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1000000 | PA      | $-1032632.86  | -3.93%            | 2055-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2015-H22, Class AI                                                     | CUSIP: 38376RGU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482935 | PA      | $22988.17     | 0.09%             | 2065-09-20      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                     | CUSIP: 36225A2H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        25 | PA      | $25.15        | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-58, Class SP                                                      | CUSIP: 3136BQXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2087420 | PA      | $191836.61    | 0.73%             | 2053-12-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2319100 | PA      | $86548.65     | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2023-49, Class IA                                                      | CUSIP: 3136BQKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461163 | PA      | $58650.12     | 0.22%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM Mortgage Trust, Series 2014-CR17, Class B                                      | CUSIP: 12631DBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53660 | PA      | $51832.56     | 0.20%             | 2047-05-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, Single-family, 30 Year                                                      | CUSIP: 36213FAC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       165 | PA      | $169.19       | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class C                           | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $85671.66     | 0.33%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | SOP                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2319100 | PA      | $65239.57     | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2012-C1, Class E                              | CUSIP: 90269GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74969 | PA      | $68213.40     | 0.26%             | 2045-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 3617GPMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37730 | PA      | $36462.76     | 0.14%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2020-31                                                                | CUSIP: 3136B9WV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    963439 | PA      | $180282.39    | 0.69%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      1000 | PA      | $18.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 304, Class C37                                                        | CUSIP: 31325UPS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8013 | PA      | $164.19       | 0.00%             | 2027-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-177, Class IG                                                     | CUSIP: 38383CJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1176657 | PA      | $185423.09    | 0.71%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class C                           | CUSIP: 92937EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74000 | PA      | $70833.17     | 0.27%             | 2045-03-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2019-B15, Class XA                                 | CUSIP: 08160KAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1082066 | PA      | $29996.38     | 0.11%             | 2072-12-15      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B3, Class D                                   | CUSIP: 08161BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77000 | PA      | $52322.41     | 0.20%             | 2051-04-10      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class D     | CUSIP: 46635TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $129829.78    | 0.49%             | 2046-02-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-121, Class SD                                                     | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222414 | PA      | $27827.77     | 0.11%             | 2049-10-20      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B                    | CUSIP: 94988QAQ4<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |      7086 | PA      | $6809.80      | 0.03%             | 2046-07-15      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2008-53, Class DO                                                      | CUSIP: 31397LB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9765 | PA      | $8446.35      | 0.03%             | 2038-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2024-V10, Class XA                                 | CUSIP: 08163UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1157944 | PA      | $55733.58     | 0.21%             | 2057-09-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H06, Class MI                                                     | CUSIP: 38376RX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    468174 | PA      | $19615.57     | 0.07%             | 2067-02-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2018-B1, Class C                                   | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49000 | PA      | $40576.68     | 0.15%             | 2051-01-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                | American Home Mortgage Investment Trust, Series 2007-1, Class GA1C                  | CUSIP: 026932AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353349 | PA      | $207793.26    | 0.79%             | 2047-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $957370.48    | 3.64%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    219000 | PA      | $-29571.39    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-34, Class HI                                                      | CUSIP: 38378JL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136041 | PA      | $22833.96     | 0.09%             | 2043-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class D   | CUSIP: 46639YAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62000 | PA      | $13671.00     | 0.05%             | 2046-04-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-3, Class IB                                                       | CUSIP: 3136BDYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650234 | PA      | $113125.36    | 0.43%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class C                                         | CUSIP: 12515GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134000 | PA      | $62677.75     | 0.24%             | 2050-02-10      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC, Multi-family Structured Pass-Through Certificates, Series 2021-MN3, Class M2 | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    148000 | PA      | $152994.73    | 0.58%             | 2051-11-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-DNA1, Class B2                                       | CUSIP: 35563KBE9<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-MBS          | CORP              | US        |     32000 | PA      | $39625.56     | 0.15%             | 2049-01-25      | Floating      | 15.17%                | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                   | Cross Mortgage Trust, Series 2024-H1, Class A1                                      | CUSIP: 22757AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172360 | PA      | $173528.04    | 0.66%             | 2068-12-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Single-family, 30 Year                                                     | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $982459.72    | 3.74%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDSCMBX                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     19000 | PA      | $1761.28      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3408, Class EK                                                        | CUSIP: 31397PUB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7726 | PA      | $8993.72      | 0.03%             | 2037-04-15      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2018-H3, Class C                             | CUSIP: 61767YBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88000 | PA      | $82369.62     | 0.31%             | 2051-07-15      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                      | CD Mortgage Trust, Series 2017-CD3, Class B                                         | CUSIP: 12515GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60000 | PA      | $39914.66     | 0.15%             | 2050-02-10      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** Putnam Variable Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer