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0.036565549869 Long ABS-MBS USGSE US N 2 2034-12-01 Variable 3.87500000 N N N N N N Institutional Fiduciary Trust - Money Market Portfolio N/A 457756500 2602471.31100000 NS USD 2602471.31000000 3.956845729600 Long STIV RF US N 1 N N N CIM Trust N/A 12553XAD5 95355.11000000 PA USD 98957.74000000 0.150457186377 Long ABS-MBS CORP US N 2 2048-08-25 Variable 4.00000000 N N N N N N FNMA or FHLMC N/A 01F030694 -2768000.00000000 PA USD -2898490.16000000 -4.40691828871 Short ABS-MBS USGSE US N 2 2050-09-25 Fixed 3.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31371FAX0 207.81000000 PA USD 227.33000000 0.000345636755 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 7.50000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 30711XAH7 212402.21000000 PA USD 209433.08000000 0.318425945773 Long ABS-MBS CORP US N 2 2024-05-25 Floating 2.74812800 N N N N N N Towd Point Mortgage Trust N/A 89175VAA1 130159.52000000 PA USD 136871.99000000 0.208102716465 Long ABS-O CORP US N 2 2058-03-25 Variable 3.25000100 N N N N N N GNMA 549300M8ZYFG0OCMTT87 36224DT96 569.42000000 PA USD 571.71000000 0.000869238505 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 7.00000000 N N N N N N FNMA B1V7KEBTPIMZEU4LTD58 31369CXC2 7410.47000000 PA USD 7461.49000000 0.011344588018 Long ABS-MBS USGSE US N 2 2022-05-01 Variable 4.08499900 N N N N N N Provident Funding Mortgage Trust N/A 74387LAE1 79058.14000000 PA USD 80363.88000000 0.122186736188 Long ABS-MBS CORP US N 2 2049-12-25 Variable 2.99999900 N N N N N N 2020-10-30 Franklin Strategic Mortgage Portfolio Robert Kubilis Robert Kubilis Chief Financial Officer, Chief Accounting Officer and Treasurer