# EDGAR Filing Document

**Accession Number:** 0000872649
**File Stem:** 0001410368-26-019920
**Filing Date:** 2026-2
**Character Count:** 165891
**Document Hash:** eb1a0f11dbd7d8cb12b24ffd63e62012
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-019920.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0001410368-26-019920

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LOOMIS SAYLES FUNDS II
- **CENTRAL INDEX KEY:** 0000872649

**ORGANIZATION NAME:**
- **EIN:** 043113285
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06241
- **FILM NUMBER:** 26689370

**BUSINESS ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 617-449-2810

**MAIL ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS I
- **DATE OF NAME CHANGE:** 20031119

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS
- **DATE OF NAME CHANGE:** 20031015

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS II
- **DATE OF NAME CHANGE:** 20030718

## Series and Classes Contracts Data

### Loomis Sayles Limited Term Government and Agency Fund (Series ID: S000006702)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000018239 | Class A      | NEFLX           |
| C000018241 | Class C      | NECLX           |
| C000018242 | Class Y      | NELYX           |
| C000182250 | Class N      | LGANX           |

## Nport-Ex

**Portfolio of Investments – as of December 31, 2025 (Unaudited)**

Loomis Sayles Limited Term Government and Agency Fund

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Principal** <br>**Amount**<br>| **Description** | **Value (†)** |
| **Bonds and Notes — 93.5% of Net Assets** | **Bonds and Notes — 93.5% of Net Assets** | **Bonds and Notes — 93.5% of Net Assets** |
|  | **ABS Car Loan — 2.8%** | **ABS Car Loan — 2.8%** |
| $3220000 | &nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, <br> Series 2022-1A, Class A, 3.830%, 8/21/2028(a)<br>| &nbsp;&nbsp; $3207057 |
| 378720 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2021-N2, <br> Class A2, 0.970%, 3/10/2028<br>| &nbsp;&nbsp; 373777 |
| 28131 | &nbsp;&nbsp; Enterprise Fleet Financing LLC, Series 2022-3, <br> Class A2, 4.380%, 7/20/2029(a)<br>| &nbsp;&nbsp; 28145 |
| 3915000 | &nbsp;&nbsp; Ford Credit Auto Owner Trust, Series 2025-1, <br> Class A, 4.860%, 8/15/2037(a)(b)<br>| &nbsp;&nbsp; 4036138 |
| 655000 | &nbsp;&nbsp; GM Financial Revolving Receivables Trust, <br> Series 2021-1, Class A, 1.170%, 6/12/2034(a)<br>| &nbsp;&nbsp; 642591 |
| 1555000 | &nbsp;&nbsp; Hertz Vehicle Financing III LLC, Series 2023-3A, <br> Class A, 5.940%, 2/25/2028(a)<br>| &nbsp;&nbsp; 1578011 |
| 1260000 | &nbsp;&nbsp; NextGear Floorplan Master Owner Trust, <br> Series 2024-1A, Class A2, 5.120%, 3/15/2029(a)<br>| &nbsp;&nbsp; 1277229 |
| 2735000 | &nbsp;&nbsp; NextGear Floorplan Master Owner Trust, <br> Series 2024-2A, Class A2, 4.420%, 9/15/2029(a)<br>| &nbsp;&nbsp; 2754401 |
| 4365000 | &nbsp;&nbsp; Toyota Auto Loan Extended Note Trust, <br> Series 2022-1A, Class A, 3.820%, 4/25/2035(a)<br>| &nbsp;&nbsp; 4362336 |
| 338779 | &nbsp;&nbsp; Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, <br> Class A, 5.800%, 4/18/2038(a)<br>| &nbsp;&nbsp; 340968 |
|  |  | &nbsp;&nbsp; 18600653 |
|  | **ABS Home Equity — 0.0%** | **ABS Home Equity — 0.0%** |
| 3532 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured <br> Pass-Through Certificates, Series T-60, Class 2A1, <br> 4.315%, 3/25/2044(b)(c)<br>| &nbsp;&nbsp; 3262 |
| 3872 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2002-W10, Class A7, REMICS, <br> 4.854%, 8/25/2042(b)(c)<br>| &nbsp;&nbsp; 3679 |
|  |  | &nbsp;&nbsp; 6941 |
|  | **ABS Other — 0.1%** | **ABS Other — 0.1%** |
| 251124 | &nbsp;&nbsp; BHG Securitization Trust, Series 2024-1CON, <br> Class A, 5.810%, 4/17/2035(a)<br>| &nbsp;&nbsp; 256988 |
| 127047 | &nbsp;&nbsp; MVW LLC, Series 2020-1A, Class A, <br> 1.740%, 10/20/2037(a)<br>| &nbsp;&nbsp; 125157 |
| 416093 | &nbsp;&nbsp; MVW LLC, Series 2024-1A, Class A, <br> 5.320%, 2/20/2043(a)<br>| &nbsp;&nbsp; 424168 |
|  |  | &nbsp;&nbsp; 806313 |
|  | **ABS Student Loan — 0.7%** | **ABS Student Loan — 0.7%** |
| 721323 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2019-FA, Class A2, 2.600%, 8/15/2068(a)<br>| &nbsp;&nbsp; 698050 |
| 225824 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2020-DA, Class A, 1.690%, 5/15/2069(a)<br>| &nbsp;&nbsp; 215020 |
| 924603 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2021-CA, Class A, 1.060%, 10/15/2069(a)<br>| &nbsp;&nbsp; 847877 |
| 2266690 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2021-EA, Class A, 0.970%, 12/16/2069(a)<br>| &nbsp;&nbsp; 2043047 |
| 434969 | &nbsp;&nbsp; SMB Private Education Loan Trust, Series 2021-D, <br> Class A1A, 1.340%, 3/17/2053(a)<br>| &nbsp;&nbsp; 411872 |
|  |  | &nbsp;&nbsp; 4215866 |
|  | **Agency Commercial Mortgage-Backed Securities — 27.1%** | **Agency Commercial Mortgage-Backed Securities — 27.1%** |
| 2580000 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series K064, <br> Class A2, 3.224%, 3/25/2027<br>| &nbsp;&nbsp; 2562166 |
| 17717244 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series K139, <br> Class A1, 2.209%, 10/25/2031<br>| &nbsp;&nbsp; 16779520 |
| 9151317 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series K531, <br> Class AS, 30 day USD SOFR Average + 0.530%, <br> 4.539%, 9/25/2029(b)<br>| &nbsp;&nbsp; 9136419 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $10350000 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series K540, <br> Class A2, 4.513%, 2/25/2030(b)<br>| &nbsp;&nbsp; $10531818 |
| 8345000 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series K546, <br> Class A2, 4.361%, 5/25/2030<br>| &nbsp;&nbsp; 8451491 |
| 11380000 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series K747, <br> Class A2, 2.050%, 11/25/2028(b)<br>| &nbsp;&nbsp; 10836742 |
| 5200000 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series K758, <br> Class A2, 4.680%, 10/25/2031(b)<br>| &nbsp;&nbsp; 5320921 |
| 7080159 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KC06, <br> Class A2, 2.541%, 8/25/2026<br>| &nbsp;&nbsp; 7019532 |
| 1082680 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-F100, Class AS, 30 day USD SOFR Average <br> + 0.180%, 4.189%, 1/25/2028(b)<br>| &nbsp;&nbsp; 1078905 |
| 3374116 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-F121, Class AS, 30 day USD SOFR Average <br> + 0.180%, 4.189%, 8/25/2028(b)<br>| &nbsp;&nbsp; 3356892 |
| 6643228 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series KF123, Class AS, 30 day USD SOFR Average <br> + 0.200%, 4.209%, 9/25/2028(b)<br>| &nbsp;&nbsp; 6586421 |
| 260182 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF72, <br> Class A, 30 day USD SOFR Average + 0.614%, <br> 4.623%, 10/25/2026(b)<br>| &nbsp;&nbsp; 260142 |
| 230871 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF74, <br> Class AS, 1 mo. USD SOFR HCDC + 0.530%, <br> 4.533%, 1/25/2027(b)<br>| &nbsp;&nbsp; 230726 |
| 4913663 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF77, <br> Class AL, 30 day USD SOFR Average + 0.814%, <br> 4.823%, 2/25/2027(b)<br>| &nbsp;&nbsp; 4919775 |
| 6462726 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF77, <br> Class AS, 30 day USD SOFR Average + 0.900%, <br> 4.909%, 2/25/2027(b)<br>| &nbsp;&nbsp; 6501412 |
| 14138634 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF78, <br> Class AL, 30 day USD SOFR Average + 0.914%, <br> 4.923%, 3/25/2030(b)<br>| &nbsp;&nbsp; 14202838 |
| 14138634 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF78, <br> Class AS, 30 day USD SOFR Average + 1.000%, <br> 5.009%, 3/25/2030(b)<br>| &nbsp;&nbsp; 14252158 |
| 2290310 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF79, <br> Class AL, 30 day USD SOFR Average + 0.584%, <br> 4.593%, 5/25/2030(b)<br>| &nbsp;&nbsp; 2289823 |
| 2113406 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF79, <br> Class AS, 30 day USD SOFR Average + 0.580%, <br> 4.589%, 5/25/2030(b)<br>| &nbsp;&nbsp; 2115815 |
| 1898480 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF80, <br> Class AL, 30 day USD SOFR Average + 0.554%, <br> 4.563%, 6/25/2030(b)<br>| &nbsp;&nbsp; 1896603 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $1066683 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF80, <br> Class AS, 30 day USD SOFR Average + 0.510%, <br> 4.519%, 6/25/2030(b)<br>| &nbsp;&nbsp; $1064619 |
| 367084 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF81, <br> Class AL, 30 day USD SOFR Average + 0.474%, <br> 4.483%, 6/25/2027(b)<br>| &nbsp;&nbsp; 367105 |
| 275313 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF81, <br> Class AS, 30 day USD SOFR Average + 0.400%, <br> 4.409%, 6/25/2027(b)<br>| &nbsp;&nbsp; 274987 |
| 363342 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF84, <br> Class AL, 30 day USD SOFR Average + 0.414%, <br> 4.423%, 7/25/2030(b)<br>| &nbsp;&nbsp; 362693 |
| 305669 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF84, <br> Class AS, 30 day USD SOFR Average + 0.320%, <br> 4.329%, 7/25/2030(b)<br>| &nbsp;&nbsp; 303155 |
| 24689 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF85, <br> Class AL, 30 day USD SOFR Average + 0.414%, <br> 4.423%, 8/25/2030(b)<br>| &nbsp;&nbsp; 24606 |
| 65815 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF85, <br> Class AS, 30 day USD SOFR Average + 0.330%, <br> 4.339%, 8/25/2030(b)<br>| &nbsp;&nbsp; 65299 |
| 489012 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF86, <br> Class AL, 30 day USD SOFR Average + 0.404%, <br> 4.413%, 8/25/2027(b)<br>| &nbsp;&nbsp; 488128 |
| 436674 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF86, <br> Class AS, 30 day USD SOFR Average + 0.320%, <br> 4.329%, 8/25/2027(b)<br>| &nbsp;&nbsp; 435354 |
| 238534 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF93, <br> Class AL, 30 day USD SOFR Average + 0.394%, <br> 4.403%, 10/25/2027(b)<br>| &nbsp;&nbsp; 238192 |
| 286395 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF93, <br> Class AS, 30 day USD SOFR Average + 0.310%, <br> 4.319%, 10/25/2027(b)<br>| &nbsp;&nbsp; 285244 |
| 1025272 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KF97, <br> Class AS, 30 day USD SOFR Average + 0.250%, <br> 4.259%, 12/25/2030(b)<br>| &nbsp;&nbsp; 1016303 |
| 2208759 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KJ21, <br> Class A2, 3.700%, 9/25/2026<br>| &nbsp;&nbsp; 2201194 |
| 3025138 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KJ26, <br> Class A2, 2.606%, 7/25/2027<br>| &nbsp;&nbsp; 2994225 |
| 7165000 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KJ37, <br> Class A2, 2.333%, 11/25/2030<br>| &nbsp;&nbsp; 6740882 |
| 16300000 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KJ42, <br> Class A2, 4.118%, 11/25/2032<br>| &nbsp;&nbsp; 16310676 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $8396168 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KS12, <br> Class A, 30 day USD SOFR Average + 0.764%, <br> 4.773%, 8/25/2029(b)<br>| &nbsp;&nbsp; $8414091 |
| 1608304 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KS14, <br> Class AL, 30 day USD SOFR Average + 0.454%, <br> 4.463%, 4/25/2030(b)<br>| &nbsp;&nbsp; 1603595 |
| 1768852 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series KS14, <br> Class AS, 30 day USD SOFR Average + 0.370%, <br> 4.379%, 4/25/2030(b)<br>| &nbsp;&nbsp; 1757884 |
| 3789173 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, Series Q016, <br> Class APT1, 1.235%, 5/25/2051(b)<br>| &nbsp;&nbsp; 3759595 |
| 229541 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2020-M5, Class FA, 30 day USD SOFR <br> Average + 0.574%, 4.599%, 1/25/2027(b)<br>| &nbsp;&nbsp; 228877 |
| 37536 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2003-72, Class Z, 5.485%, 11/16/2045(b)<br>| &nbsp;&nbsp; 37917 |
|  |  | &nbsp;&nbsp; 177304740 |
|  | **Collateralized Mortgage Obligations — 6.7%** | **Collateralized Mortgage Obligations — 6.7%** |
| 19320 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., Series 2131, <br> Class ZB, REMICS, 6.000%, 3/15/2029(c)<br>| &nbsp;&nbsp; 18939 |
| 264069 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., Series 2978, <br> Class JG, REMICS, 5.500%, 5/15/2035(c)<br>| &nbsp;&nbsp; 273258 |
| 389670 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., Series 3036, <br> Class NE, REMICS, 5.000%, 9/15/2035(c)<br>| &nbsp;&nbsp; 396823 |
| 159081 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., Series 3412, <br> Class AY, REMICS, 5.500%, 2/15/2038(c)<br>| &nbsp;&nbsp; 165971 |
| 384071 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., Series 3561, <br> Class W, REMICS, 2.543%, 6/15/2048(b)<br>| &nbsp;&nbsp; 360628 |
| 176164 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., Series 3620, <br> Class AT, REMICS, 4.583%, 12/15/2036(b)(c)<br>| &nbsp;&nbsp; 179840 |
| 98978 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., Series 4212, <br> Class FW, REMICS, 6.198%, 6/15/2043(b)(c)<br>| &nbsp;&nbsp; 92803 |
| 174302 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured <br> Pass-Through Certificates, Series T-62, Class 1A1, <br> 1 yr. USD MTA + 1.200%, 5.229%, 10/25/2044(b)(c)<br>| &nbsp;&nbsp; 159159 |
| 297992 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2003-48, Class GH, REMICS, <br> 5.500%, 6/25/2033(c)<br>| &nbsp;&nbsp; 305164 |
| 178367 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2007-73, Class A1, REMICS, 30 day USD <br> SOFR Average + 0.174%, 4.109%, 7/25/2037(b)(c)<br>| &nbsp;&nbsp; 173333 |
| 368162 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2008-86, Class LA, REMICS, <br> 3.476%, 8/25/2038(b)<br>| &nbsp;&nbsp; 360674 |
| 787587 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2012-56, Class FK, REMICS, 30 day USD <br> SOFR Average + 0.564%, 4.439%, 6/25/2042(b)(c)<br>| &nbsp;&nbsp; 770224 |
| 852820 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2012-58, Class KF, REMICS, 30 day USD <br> SOFR Average + 0.664%, 4.539%, 6/25/2042(b)(c)<br>| &nbsp;&nbsp; 838829 |
| 2184541 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2012-83, Class LF, REMICS, 30 day USD <br> SOFR Average + 0.624%, 4.499%, 8/25/2042(b)<br>| &nbsp;&nbsp; 2164077 |
| 1840298 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2013-67, Class NF, REMICS, 30 day USD <br> SOFR Average + 1.114%, 4.989%, 7/25/2043(b)<br>| &nbsp;&nbsp; 1783562 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $2392983 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2015-4, Class BF, REMICS, 30 day USD SOFR <br> Average + 0.514%, 4.389%, 2/25/2045(b)<br>| &nbsp;&nbsp; $2355196 |
| 2603382 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2020-35, Class FA, REMICS, 30 day USD <br> SOFR Average + 0.614%, 4.823%, 6/25/2050(b)<br>| &nbsp;&nbsp; 2445422 |
| 586310 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2005-18, Class F, 1 mo. USD SOFR + 0.314%, <br> 4.048%, 2/20/2035(b)(c)<br>| &nbsp;&nbsp; 579664 |
| 492061 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2007-59, Class FM, 1 mo. USD SOFR + <br> 0.634%, 4.368%, 10/20/2037(b)(c)<br>| &nbsp;&nbsp; 485149 |
| 44673 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2009-H01, Class FA, 1 mo. USD SOFR + <br> 1.264%, 4.998%, 11/20/2059(b)(c)<br>| &nbsp;&nbsp; 43722 |
| 125360 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-H20, Class AF, 1 mo. USD SOFR + <br> 0.444%, 4.444%, 10/20/2060(b)<br>| &nbsp;&nbsp; 125118 |
| 86178 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-H24, Class FA, 1 mo. USD SOFR + <br> 0.464%, 4.464%, 10/20/2060(b)(c)<br>| &nbsp;&nbsp; 85074 |
| 81717 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-H27, Class FA, 1 mo. USD SOFR + <br> 0.494%, 4.494%, 12/20/2060(b)(c)<br>| &nbsp;&nbsp; 80784 |
| 3330 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-H08, Class FA, 1 mo. USD SOFR + <br> 0.714%, 4.714%, 2/20/2061(b)(c)<br>| &nbsp;&nbsp; 3303 |
| 1320001 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-18, Class FM, 1 mo. USD SOFR + <br> 0.364%, 4.098%, 9/20/2038(b)<br>| &nbsp;&nbsp; 1319576 |
| 85 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-H15, Class FA, 1 mo. USD SOFR + <br> 0.564%, 4.564%, 5/20/2062(b)(c)<br>| &nbsp;&nbsp; 83 |
| 61467 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-H18, Class NA, 1 mo. USD SOFR + <br> 0.634%, 4.634%, 8/20/2062(b)(c)<br>| &nbsp;&nbsp; 60856 |
| 7899 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-H29, Class HF, 1 mo. USD SOFR + <br> 0.614%, 4.614%, 10/20/2062(b)(c)<br>| &nbsp;&nbsp; 7664 |
| 2240 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H02, Class GF, 1 mo. USD SOFR + <br> 0.614%, 4.614%, 12/20/2062(b)(c)<br>| &nbsp;&nbsp; 2172 |
| 132066 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H08, Class FA, 1 mo. USD SOFR + <br> 0.464%, 4.464%, 3/20/2063(b)(c)<br>| &nbsp;&nbsp; 130451 |
| 168090 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H10, Class FA, 1 mo. USD SOFR + <br> 0.514%, 4.514%, 3/20/2063(b)(c)<br>| &nbsp;&nbsp; 166198 |
| 25550 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H14, Class FG, 1 mo. USD SOFR + <br> 0.584%, 4.584%, 5/20/2063(b)(c)<br>| &nbsp;&nbsp; 25290 |
| 956218 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-H14, Class FA, 1 mo. USD SOFR + <br> 0.614%, 4.720%, 7/20/2064(b)<br>| &nbsp;&nbsp; 956414 |
| 976322 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-H15, Class FA, 1 mo. USD SOFR + <br> 0.614%, 4.614%, 7/20/2064(b)<br>| &nbsp;&nbsp; 976551 |
| 386193 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H04, Class FL, 1 mo. USD SOFR + <br> 0.584%, 4.690%, 2/20/2065(b)(c)<br>| &nbsp;&nbsp; 382280 |
| 3270 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H09, Class HA, 1.750%, 3/20/2065(c)<br>| &nbsp;&nbsp; 2959 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $51144 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H10, Class FC, 1 mo. USD SOFR + <br> 0.594%, 4.594%, 4/20/2065(b)(c)<br>| &nbsp;&nbsp; $50632 |
| 249145 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H10, Class JA, 2.250%, 4/20/2065<br>| &nbsp;&nbsp; 239676 |
| 675 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H11, Class FA, 1 mo. USD SOFR + <br> 0.364%, 4.364%, 4/20/2065(b)(c)<br>| &nbsp;&nbsp; 651 |
| 272204 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H12, Class FL, 1 mo. USD SOFR + <br> 0.344%, 4.344%, 5/20/2065(b)(c)<br>| &nbsp;&nbsp; 268434 |
| 11745 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H19, Class FH, 1 mo. USD SOFR + <br> 0.414%, 4.414%, 7/20/2065(b)(c)<br>| &nbsp;&nbsp; 11343 |
| 254 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H29, Class FA, 1 mo. USD SOFR + <br> 0.814%, 4.814%, 10/20/2065(b)(c)<br>| &nbsp;&nbsp; 247 |
| 2250 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H30, Class FA, 1 mo. USD SOFR + <br> 0.794%, 4.794%, 8/20/2061(b)(c)<br>| &nbsp;&nbsp; 2186 |
| 961054 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H06, Class FC, 1 mo. USD SOFR + <br> 1.034%, 5.034%, 2/20/2066(b)<br>| &nbsp;&nbsp; 965657 |
| 245039 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H20, Class FB, 1 mo. USD SOFR + <br> 0.664%, 4.664%, 9/20/2066(b)(c)<br>| &nbsp;&nbsp; 242819 |
| 933203 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2017-H05, Class FC, 1 mo. USD SOFR + <br> 0.864%, 4.864%, 2/20/2067(b)(c)<br>| &nbsp;&nbsp; 926655 |
| 2094648 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-H11, Class FJ, 1 yr. USD SOFR + <br> 0.795%, 4.861%, 6/20/2068(b)<br>| &nbsp;&nbsp; 2102974 |
| 23440 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-H14, Class FG, 1 mo. USD SOFR + <br> 0.464%, 4.464%, 9/20/2068(b)<br>| &nbsp;&nbsp; 23400 |
| 5064039 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-H16, Class FA, 1 mo. USD SOFR + <br> 0.534%, 4.534%, 9/20/2068(b)<br>| &nbsp;&nbsp; 5052984 |
| 5333858 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-H04, Class NA, 3.500%, 9/20/2068<br>| &nbsp;&nbsp; 5099163 |
| 138211 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-H13, Class FT, 1 yr. CMT + 0.450%, <br> 4.110%, 8/20/2069(b)(c)<br>| &nbsp;&nbsp; 136438 |
| 1118979 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-30, Class F, 1 mo. USD SOFR + 0.514%, <br> 4.387%, 4/20/2048(b)<br>| &nbsp;&nbsp; 1104704 |
| 2218535 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-53, Class NF, 1 mo. USD SOFR + <br> 0.564%, 4.437%, 5/20/2046(b)<br>| &nbsp;&nbsp; 2068559 |
| 341262 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-H01, Class FT, 1 yr. CMT + 0.500%, <br> 4.160%, 1/20/2070(b)(c)<br>| &nbsp;&nbsp; 337267 |
| 1877225 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-H02, Class FG, 1 mo. USD SOFR + <br> 0.714%, 4.714%, 1/20/2070(b)<br>| &nbsp;&nbsp; 1878161 |
| 1987514 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-H04, Class FP, 1 mo. USD SOFR + <br> 0.614%, 4.614%, 6/20/2069(b)<br>| &nbsp;&nbsp; 1987760 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $2587585 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-H07, Class FL, 1 mo. USD SOFR + <br> 0.764%, 4.764%, 4/20/2070(b)<br>| &nbsp;&nbsp; $2592613 |
| 737516 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-H10, Class FD, 1 mo. USD SOFR + <br> 0.514%, 4.514%, 5/20/2070(b)(c)<br>| &nbsp;&nbsp; 729007 |
|  |  | &nbsp;&nbsp; 44098540 |
|  | **Hybrid ARMs — 1.8%** | **Hybrid ARMs — 1.8%** |
| 281589 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. CMT + <br> 2.286%, 5.993%, 2/01/2036(b)<br>| &nbsp;&nbsp; 290243 |
| 188409 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 6 mo. USD <br> RFUCCT + 1.770%, 6.125%, 6/01/2037(b)<br>| &nbsp;&nbsp; 194759 |
| 639925 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. CMT + <br> 2.246%, 6.216%, 3/01/2037(b)<br>| &nbsp;&nbsp; 666548 |
| 125274 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. CMT + <br> 2.220%, 6.220%, 7/01/2033(b)<br>| &nbsp;&nbsp; 128364 |
| 56222 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. CMT + <br> 2.206%, 6.235%, 9/01/2038(b)<br>| &nbsp;&nbsp; 57915 |
| 47973 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. CMT + <br> 2.165%, 6.290%, 4/01/2036(b)<br>| &nbsp;&nbsp; 49152 |
| 135171 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. CMT + <br> 2.248%, 6.318%, 9/01/2038(b)<br>| &nbsp;&nbsp; 139671 |
| 399754 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. CMT + <br> 2.287%, 6.380%, 2/01/2036(b)<br>| &nbsp;&nbsp; 411891 |
| 96439 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. USD <br> RFUCCT + 1.747%, 6.423%, 4/01/2037(b)<br>| &nbsp;&nbsp; 99239 |
| 63439 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. USD <br> RFUCCT + 1.713%, 6.439%, 11/01/2038(b)<br>| &nbsp;&nbsp; 65046 |
| 203826 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. CMT + <br> 2.245%, 6.495%, 3/01/2036(b)<br>| &nbsp;&nbsp; 213028 |
| 46481 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. CMT + <br> 2.250%, 6.500%, 2/01/2035(b)<br>| &nbsp;&nbsp; 48023 |
| 312294 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. USD <br> RFUCCT + 1.750%, 6.500%, 9/01/2035(b)<br>| &nbsp;&nbsp; 321955 |
| 84646 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. USD <br> RFUCCT + 1.917%, 6.505%, 12/01/2034(b)<br>| &nbsp;&nbsp; 86860 |
| 661462 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. USD <br> RFUCCT + 1.840%, 6.511%, 1/01/2046(b)<br>| &nbsp;&nbsp; 692436 |
| 15642 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. USD <br> RFUCCT + 1.775%, 6.547%, 12/01/2037(b)<br>| &nbsp;&nbsp; 16121 |
| 48042 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. USD <br> RFUCCT + 1.676%, 6.658%, 3/01/2038(b)<br>| &nbsp;&nbsp; 49194 |
| 52645 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. USD <br> RFUCCT + 1.826%, 6.660%, 11/01/2038(b)<br>| &nbsp;&nbsp; 54259 |
| 122015 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. USD <br> RFUCCT + 1.902%, 6.798%, 4/01/2037(b)<br>| &nbsp;&nbsp; 126080 |
| 296219 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., 1 yr. USD <br> RFUCCT + 1.894%, 6.888%, 9/01/2041(b)<br>| &nbsp;&nbsp; 307980 |
| 129245 | &nbsp;&nbsp; Federal National Mortgage Association, 6 mo. USD <br> RFUCCT + 1.546%, 6.050%, 7/01/2035(b)<br>| &nbsp;&nbsp; 134297 |
| 10724 | &nbsp;&nbsp; Federal National Mortgage Association, 6 mo. USD <br> RFUCCT + 1.460%, 6.085%, 2/01/2037(b)<br>| &nbsp;&nbsp; 10927 |
| 58440 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.656%, 6.186%, 10/01/2033(b)<br>| &nbsp;&nbsp; 59960 |
| 439521 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.224%, 6.222%, 4/01/2034(b)<br>| &nbsp;&nbsp; 451941 |
| 518405 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.186%, 6.233%, 11/01/2033(b)<br>| &nbsp;&nbsp; 534958 |
| 359875 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.169%, 6.254%, 12/01/2040(b)<br>| &nbsp;&nbsp; 373324 |
| 6823 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.145%, 6.270%, 9/01/2036(b)<br>| &nbsp;&nbsp; 7033 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Hybrid ARMs — continued** | **Hybrid ARMs — continued** |
| $233364 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.270%, 6.270%, 6/01/2037(b)<br>| &nbsp;&nbsp; $242277 |
| 58896 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.655%, 6.280%, 7/01/2038(b)<br>| &nbsp;&nbsp; 60737 |
| 136385 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.616%, 6.281%, 8/01/2038(b)<br>| &nbsp;&nbsp; 139843 |
| 96271 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.287%, 6.287%, 6/01/2033(b)<br>| &nbsp;&nbsp; 99059 |
| 175593 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.131%, 6.300%, 6/01/2036(b)<br>| &nbsp;&nbsp; 181034 |
| 260196 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.553%, 6.313%, 7/01/2035(b)<br>| &nbsp;&nbsp; 267688 |
| 298192 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.580%, 6.336%, 9/01/2037(b)<br>| &nbsp;&nbsp; 306684 |
| 585951 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.214%, 6.343%, 10/01/2034(b)<br>| &nbsp;&nbsp; 605184 |
| 81528 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.223%, 6.348%, 8/01/2035(b)<br>| &nbsp;&nbsp; 84175 |
| 44910 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.287%, 6.350%, 10/01/2033(b)<br>| &nbsp;&nbsp; 46276 |
| 617596 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.800%, 6.366%, 10/01/2041(b)<br>| &nbsp;&nbsp; 646533 |
| 69916 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.160%, 6.372%, 9/01/2034(b)<br>| &nbsp;&nbsp; 71767 |
| 390245 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.560%, 6.385%, 4/01/2037(b)<br>| &nbsp;&nbsp; 403140 |
| 199322 | &nbsp;&nbsp; Federal National Mortgage Association, 6 mo. USD <br> RFUCCT + 2.020%, 6.388%, 7/01/2037(b)<br>| &nbsp;&nbsp; 203570 |
| 85241 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.442%, 6.395%, 5/01/2035(b)<br>| &nbsp;&nbsp; 88441 |
| 62500 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.196%, 6.421%, 4/01/2034(b)<br>| &nbsp;&nbsp; 64102 |
| 26880 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.685%, 6.435%, 8/01/2035(b)<br>| &nbsp;&nbsp; 27559 |
| 222123 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.185%, 6.435%, 1/01/2036(b)<br>| &nbsp;&nbsp; 229384 |
| 40155 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.441%, 6.441%, 8/01/2033(b)<br>| &nbsp;&nbsp; 41473 |
| 71416 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.669%, 6.460%, 11/01/2036(b)<br>| &nbsp;&nbsp; 73596 |
| 27497 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.213%, 6.463%, 4/01/2033(b)<br>| &nbsp;&nbsp; 28226 |
| 75477 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.713%, 6.463%, 8/01/2034(b)<br>| &nbsp;&nbsp; 77227 |
| 55234 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.738%, 6.496%, 11/01/2035(b)<br>| &nbsp;&nbsp; 57251 |
| 24866 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.565%, 6.565%, 4/01/2037(b)<br>| &nbsp;&nbsp; 25534 |
| 28165 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.718%, 6.581%, 1/01/2037(b)<br>| &nbsp;&nbsp; 29063 |
| 86730 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. CMT <br> + 2.500%, 6.600%, 8/01/2036(b)<br>| &nbsp;&nbsp; 90666 |
| 305141 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.693%, 6.603%, 9/01/2037(b)<br>| &nbsp;&nbsp; 316346 |
| 148663 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.673%, 6.630%, 3/01/2037(b)<br>| &nbsp;&nbsp; 153263 |
| 151999 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.734%, 6.655%, 2/01/2037(b)<br>| &nbsp;&nbsp; 156930 |
| 66103 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.800%, 6.675%, 12/01/2041(b)<br>| &nbsp;&nbsp; 68597 |
| 50033 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.800%, 6.800%, 3/01/2034(b)<br>| &nbsp;&nbsp; 51996 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Hybrid ARMs — continued** | **Hybrid ARMs — continued** |
| $11262 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.810%, 6.805%, 7/01/2041(b)<br>| &nbsp;&nbsp; $11692 |
| 266443 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 1.820%, 6.820%, 2/01/2047(b)<br>| &nbsp;&nbsp; 277798 |
| 50961 | &nbsp;&nbsp; Federal National Mortgage Association, 1 yr. USD <br> RFUCCT + 2.473%, 7.223%, 6/01/2035(b)<br>| &nbsp;&nbsp; 53195 |
| 173088 | &nbsp;&nbsp; Government National Mortgage Association, 1 mo. <br> USD RFUCCT + 1.829%, 6.082%, 2/20/2061(b)<br>| &nbsp;&nbsp; 176508 |
| 205348 | &nbsp;&nbsp; Government National Mortgage Association, 1 mo. <br> USD RFUCCT + 1.890%, 6.168%, 2/20/2063(b)<br>| &nbsp;&nbsp; 208616 |
| 125721 | &nbsp;&nbsp; Government National Mortgage Association, 1 mo. <br> USD RFUCCT + 2.009%, 6.252%, 5/20/2065(b)<br>| &nbsp;&nbsp; 128175 |
| 247934 | &nbsp;&nbsp; Government National Mortgage Association, 1 mo. <br> USD RFUCCT + 2.196%, 6.474%, 3/20/2063(b)<br>| &nbsp;&nbsp; 251846 |
| 127149 | &nbsp;&nbsp; Government National Mortgage Association, 1 mo. <br> USD RFUCCT + 2.246%, 6.526%, 6/20/2065(b)<br>| &nbsp;&nbsp; 130576 |
| 88263 | &nbsp;&nbsp; Government National Mortgage Association, 1 mo. <br> USD RFUCCT + 2.353%, 6.629%, 2/20/2063(b)<br>| &nbsp;&nbsp; 90019 |
|  |  | &nbsp;&nbsp; 11857250 |
|  | **Mortgage Related — 0.2%** | **Mortgage Related — 0.2%** |
| 1696 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 3.000%, 10/01/2026<br>| &nbsp;&nbsp; 1688 |
| 73003 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 4.000%, 1/01/2042<br>| &nbsp;&nbsp; 71481 |
| 8394 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 4.500%, 5/01/2034<br>| &nbsp;&nbsp; 8351 |
| 71197 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 6.500%, 12/01/2034<br>| &nbsp;&nbsp; 74111 |
| 1 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 7.500%, 6/01/2026<br>| &nbsp;&nbsp; 1 |
| 53948 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 3/01/2042<br>| &nbsp;&nbsp; 49706 |
| 154570 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 5.000%, 7/01/2037<br>| &nbsp;&nbsp; 156662 |
| 179432 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 5.000%, 2/01/2038<br>| &nbsp;&nbsp; 181985 |
| 85670 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 5.500%, 3/01/2033<br>| &nbsp;&nbsp; 86859 |
| 409 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 6.500%, 1/01/2033<br>| &nbsp;&nbsp; 429 |
| 1634 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 6.500%, 10/01/2033<br>| &nbsp;&nbsp; 1695 |
| 1516 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 6.500%, 10/01/2033<br>| &nbsp;&nbsp; 1540 |
| 1315 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 6.500%, 10/01/2033<br>| &nbsp;&nbsp; 1340 |
| 1025 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 6.500%, 12/01/2034<br>| &nbsp;&nbsp; 1047 |
| 676 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 6.500%, 2/01/2036<br>| &nbsp;&nbsp; 711 |
| 6910 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 6.500%, 11/01/2037<br>| &nbsp;&nbsp; 7333 |
| 4900 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 7.500%, 7/01/2031<br>| &nbsp;&nbsp; 5034 |
| 4426 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 7.500%, 9/01/2032<br>| &nbsp;&nbsp; 4457 |
| 28825 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.140%, 12/20/2061(b)<br>| &nbsp;&nbsp; 28665 |
| 85756 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.140%, 7/20/2063(b)<br>| &nbsp;&nbsp; 85350 |
| 236487 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.140%, 10/20/2065(b)<br>| &nbsp;&nbsp; 235420 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Mortgage Related — continued** | **Mortgage Related — continued** |
| $110274 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.453%, 2/20/2066(b)<br>| &nbsp;&nbsp; $110174 |
| 1247 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.544%, 8/20/2062(b)<br>| &nbsp;&nbsp; 1234 |
| 3387 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.630%, 8/20/2061(b)<br>| &nbsp;&nbsp; 3387 |
| 3248 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.630%, 2/20/2062(b)<br>| &nbsp;&nbsp; 3213 |
| 1346 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.700%, 6/20/2061(b)<br>| &nbsp;&nbsp; 1333 |
| 5846 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.700%, 2/20/2062(b)<br>| &nbsp;&nbsp; 5794 |
| 7312 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.700%, 6/20/2062(b)<br>| &nbsp;&nbsp; 7148 |
| 1464 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.700%, 6/20/2063(b)<br>| &nbsp;&nbsp; 1427 |
| 32916 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.700%, 11/20/2063(b)<br>| &nbsp;&nbsp; 32839 |
| 1586 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.700%, 1/20/2064(b)<br>| &nbsp;&nbsp; 1567 |
| 835 | &nbsp;&nbsp; Government National Mortgage Association, <br> 4.831%, 4/20/2061(b)<br>| &nbsp;&nbsp; 838 |
| 2632 | &nbsp;&nbsp; Government National Mortgage Association, <br> 6.000%, 12/15/2031<br>| &nbsp;&nbsp; 2769 |
| 10878 | &nbsp;&nbsp; Government National Mortgage Association, <br> 6.500%, 5/15/2031<br>| &nbsp;&nbsp; 11353 |
| 6799 | &nbsp;&nbsp; Government National Mortgage Association, <br> 7.000%, 10/15/2028<br>| &nbsp;&nbsp; 6895 |
|  |  | &nbsp;&nbsp; 1193836 |
|  | **Non-Agency Commercial Mortgage-Backed** <br> **Securities — 3.0%** | **Non-Agency Commercial Mortgage-Backed** <br> **Securities — 3.0%** |
| 1595000 | &nbsp;&nbsp; Bank, Series 2020-BN25, Class A5, <br> 2.649%, 1/15/2063<br>| &nbsp;&nbsp; 1483874 |
| 740100 | &nbsp;&nbsp; Bank5, Series 2023-5YR4, Class A3, <br> 6.500%, 12/15/2056<br>| &nbsp;&nbsp; 778791 |
| 1825000 | &nbsp;&nbsp; BPR Trust, Series 2021-NRD, Class A, 1 mo. USD <br> SOFR + 1.525%, 5.276%, 12/15/2038(a)(b)<br>| &nbsp;&nbsp; 1812500 |
| 4650000 | &nbsp;&nbsp; BPR Trust, Series 2022-SSP, Class A, 1 mo. USD <br> SOFR + 3.000%, 6.750%, 5/15/2039(a)(b)<br>| &nbsp;&nbsp; 4649997 |
| 1745000 | &nbsp;&nbsp; CFCRE Commercial Mortgage Trust, <br> Series 2016-C7, Class A3, 3.839%, 12/10/2054<br>| &nbsp;&nbsp; 1733707 |
| 723603 | &nbsp;&nbsp; Commercial Mortgage Pass-Through Certificates, <br> Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a)<br>| &nbsp;&nbsp; 718755 |
| 2570000 | &nbsp;&nbsp; DROP Mortgage Trust, Series 2021-FILE, Class A, <br> 1 mo. USD SOFR + 1.264%, 5.015%, 10/15/2043(a)(b)<br>| &nbsp;&nbsp; 2506913 |
| 3295000 | &nbsp;&nbsp; SPGN Mortgage Trust, Series 2022-TFLM, Class A, <br> 1 mo. USD SOFR + 1.550%, 5.300%, 2/15/2039(a)(b)<br>| &nbsp;&nbsp; 3294070 |
| 2830426 | &nbsp;&nbsp; Starwood Retail Property Trust, Series 2014-STAR, <br> Class A, Prime + 0.000%, 6.750%, 11/15/2027(a)(b)<br>| &nbsp;&nbsp; 1711021 |
| 645000 | &nbsp;&nbsp; TCO Commercial Mortgage Trust, <br> Series 2024-DPM, Class A, 1 mo. USD SOFR + <br> 1.243%, 4.993%, 12/15/2039(a)(b)<br>| &nbsp;&nbsp; 646398 |
|  |  | &nbsp;&nbsp; 19336026 |
|  | **Treasuries — 51.1%** | **Treasuries — 51.1%** |
| 2305700 | U.S. Treasury Notes, 2.750%, 2/15/2028 | &nbsp;&nbsp; 2270934 |
| 48033000 | U.S. Treasury Notes, 3.375%, 12/31/2027 | &nbsp;&nbsp; 47939186 |
| 11845000 | U.S. Treasury Notes, 3.500%, 9/30/2029 | &nbsp;&nbsp; 11789939 |
| 13829000 | U.S. Treasury Notes, 3.500%, 11/30/2030 | &nbsp;&nbsp; 13689630 |
| 3265000 | U.S. Treasury Notes, 3.625%, 8/31/2029 | &nbsp;&nbsp; 3264490 |
| 7660000 | U.S. Treasury Notes, 3.625%, 8/31/2030 | &nbsp;&nbsp; 7632771 |
| 9311000 | U.S. Treasury Notes, 3.625%, 9/30/2030 | &nbsp;&nbsp; 9274993 |
| 4055000 | U.S. Treasury Notes, 3.625%, 10/31/2030 | &nbsp;&nbsp; 4037893 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Treasuries — continued** | **Treasuries — continued** |
| $5520000 | U.S. Treasury Notes, 3.625%, 12/31/2030 | &nbsp;&nbsp; $5493694 |
| 13575000 | U.S. Treasury Notes, 3.750%, 12/31/2028 | &nbsp;&nbsp; 13651890 |
| 41285000 | U.S. Treasury Notes, 3.875%, 7/15/2028 | &nbsp;&nbsp; 41633342 |
| 4760000 | U.S. Treasury Notes, 3.875%, 4/30/2030 | &nbsp;&nbsp; 4797187 |
| 8370000 | U.S. Treasury Notes, 3.875%, 7/31/2030 | &nbsp;&nbsp; 8431794 |
| 4390000 | U.S. Treasury Notes, 4.000%, 2/29/2028 | &nbsp;&nbsp; 4435786 |
| 34485000 | U.S. Treasury Notes, 4.000%, 6/30/2028 | &nbsp;&nbsp; 34889121 |
| 9755000 | U.S. Treasury Notes, 4.000%, 1/31/2029 | &nbsp;&nbsp; 9879224 |
| 8870000 | U.S. Treasury Notes, 4.000%, 7/31/2029 | &nbsp;&nbsp; 8984686 |
| 7900000 | U.S. Treasury Notes, 4.000%, 2/28/2030 | &nbsp;&nbsp; 8000602 |
| 25060000 | U.S. Treasury Notes, 4.000%, 3/31/2030 | &nbsp;&nbsp; 25379124 |
| 9885000 | U.S. Treasury Notes, 4.000%, 5/31/2030 | &nbsp;&nbsp; 10010879 |
| 2085000 | U.S. Treasury Notes, 4.125%, 10/31/2029 | &nbsp;&nbsp; 2120673 |
| 15030000 | U.S. Treasury Notes, 4.250%, 6/30/2029 | &nbsp;&nbsp; 15347626 |
| 4270000 | U.S. Treasury Notes, 4.250%, 1/31/2030 | &nbsp;&nbsp; 4364907 |
| 13620000 | U.S. Treasury Notes, 4.375%, 8/31/2028 | &nbsp;&nbsp; 13907829 |
| 4420000 | U.S. Treasury Notes, 4.625%, 4/30/2029 | &nbsp;&nbsp; 4562787 |
| 18230000 | U.S. Treasury Notes, 4.875%, 10/31/2028 | &nbsp;&nbsp; 18875883 |
|  |  | &nbsp;&nbsp; 334666870 |
|  | &nbsp;&nbsp; Total Bonds and Notes <br>(Identified Cost $614,442,462)<br>| &nbsp;&nbsp; 612087035 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
| **Short-Term Investments — 6.4%** | **Short-Term Investments — 6.4%** | **Short-Term Investments — 6.4%** |
| $5013428 | &nbsp;&nbsp; Tri-Party Repurchase Agreement with Fixed <br> Income Clearing Corporation, dated 12/31/2025 at <br> 2.150% to be repurchased at $5,014,027 on <br> 1/02/2026 collateralized by $5,092,500 U.S. Treasury <br> Note, 3.750% due 6/30/2027 valued at $5,113,873 <br> including accrued interest(d) <br>(Identified Cost $5,013,428)<br>| &nbsp;&nbsp; $5013428 |
| 22240000 | &nbsp;&nbsp; Federal Home Loan Bank Discount Notes, <br> 3.490%, 1/13/2026(e)<br>| &nbsp;&nbsp; 22211811 |
| 14444000 | U.S. Treasury Bills, 3.543%, 1/13/2026(e) | &nbsp;&nbsp; 14428537 |
|  | &nbsp;&nbsp; Total Short-Term Investments <br>(Identified Cost $41,656,654)<br>| &nbsp;&nbsp; 41653776 |
|  | &nbsp;&nbsp; Total Investments — 99.9% <br>(Identified Cost $656,099,116)<br>| &nbsp;&nbsp; 653740811 |
|  | Other assets less liabilities — 0.1% | &nbsp;&nbsp; 925324 |
|  | Net Assets — 100.0% | &nbsp;&nbsp; $654666135 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| (†) | &nbsp;&nbsp;&nbsp; Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains <br> readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available <br> are priced at fair value pursuant to the Fund's Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the <br> Board's oversight. <br>Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment <br> companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Shares of <br> open-end investment companies are valued at net asset value ("NAV") per share. <br>Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an <br> independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the <br> market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent <br> pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished <br> by an independent pricing service, if available. <br>Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service <br> or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to fair value debt and unlisted equities where an independent pricing <br> service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. <br>The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior <br> to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of <br> the issuer's security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market <br> disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund's investments, the valuation designee may, <br> among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related <br> market activity and/or information that occurred after the close of the foreign market but before the time the Fund's NAV is calculated. Fair valuation by <br> the Fund's valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund's NAV <br> may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may <br> not always result in adjustments to the prices of investments held by a Fund. <br>The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in <br> currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. <br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of these securities are exempt from registration under Rule 144A
 of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
 At December 31, 2025, the value of Rule 144A holdings amounted to $38,588,709 or 5.9% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Variable rate security. Rate as of December 31, 2025 is disclosed. Issuers comprised
 of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average
 rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent
 and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description.

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Level 3 security. Value has been determined using significant unobservable inputs.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase
 Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed
 upon price. It is the Fund's policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price,
 including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit
 of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the
 counterparty, including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. As of December 31, 2025, the Fund
 had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) Interest rate represents discount rate at time of purchase; not a coupon rate.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| ABS | Asset-Backed Securities |
| ARMs | Adjustable Rate Mortgages |
| CMT | Constant Maturity Treasury |
| HCDC | Historical Calendar Day Compounded |
| MTA | Monthly Treasury Average Interest |
| REMICS | Real Estate Mortgage Investment Conduits |
| RFUCCT | FTSE USD IBOR Consumer Cash Fallbacks Term |
| SOFR | Secured Overnight Financing Rate |

---

**Fair Value Measurements**

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of each Fund's assets or liabilities. These inputs are summarized in the three broad levels listed below:

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 — quoted prices in active markets for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund's own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The Fund's pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

Under certain conditions and based upon specific facts and circumstances, the Fund's valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

The following is a summary of the inputs used to value the Fund's investments as of December 31, 2025, at value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
| Bonds and Notes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABS Home Equity | $— | $— | $6941 | $6941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations |  | 35962869 | 8135671 | 44098540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Bonds and Notes(a) |  | 567981554 |  | 567981554 |
| Total Bonds and Notes |  | 603944423 | 8142612 | 612087035 |
| Short-Term Investments |  | 41653776 |  | 41653776 |
| Total Investments | $— | $645598199 | $8142612 | $653740811 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments.

------

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2025 and/or December 31, 2025:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Investments in Securities | Balance as of <br>September 30, <br>2025<br>| Accrued <br>Discounts <br>(Premiums)<br>| Realized <br>Gain (Loss)<br>| Change in <br>Unrealized <br>Appreciation <br>(Depreciation)<br>| Purchases | Sales | Transfers <br>into <br>Level 3<br>| Transfers <br>out of <br>Level 3<br>| Balance as of <br>December 31, <br>2025<br>| Change in <br>Unrealized <br>Appreciation <br>(Depreciation) <br>from <br>Investments <br>Still Held at <br>December 31, <br>2025<br>|
| Bonds and Notes |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; ABS Home Equity | $7106 | $— | $3 | $50 | $— | $(218)<br>| $— | $— | $6941 | $38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br> Obligations<br>| 6538325 |  | (710)<br>| (8345)<br>| 1477 | (877280)<br>| 2482204 |  | 8135671 | (14317)<br>|
| Total | $6545431 | $— | $(707)<br>| $(8295)<br>| $1477 | $(877498)<br>| $2482204 | $— | $8142612 | $(14279)<br>|

---

Debt securities valued at $2,482,204 were transferred from Level 2 to Level 3 during the period ended December 31, 2025. At September 30, 2025, these securities were fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies. At December 31, 2025, these securities were fair valued as determined by the Fund's valuation designee as an independent pricing service did not provide a reliable price for the securities.

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LOOMIS SAYLES FUNDS II

- **b. Investment Company Act file number:** 811-06241

- **c. CIK number of Registrant:** 0000872649

- **d. LEI of Registrant:** 5493007QOEDY6IHOTU14

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

  - **Street Address 1:** 888 BOYLSTON STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199-8197

  - **Telephone number:** 617-449-2139

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

- **a. Name of Series:** Loomis Sayles Limited Term Government and Agency Fund

- **b. EDGAR series identifier (if any):** S000006702

- **c. LEI of Series:** 5HBZDB7NR78KJHZJWI31

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $655634049.23

**Total Liabilities:** $3479035.49

**Net Assets:** $652155013.74

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -324.88000000 | **1-Year:** -7358.92000000 | **5-Year:** -9334.49000000 | **10-Year:** -476.01000000 | **30-Year:** -7.76000000

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

- **3-Month:** -581.03000000 | **1-Year:** -14537.05000000 | **5-Year:** -30781.73000000 | **10-Year:** -3777.57000000 | **30-Year:** -1789.98000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000018239 | 0.38%                | 0.46%                | 0.21%                |
| Class ID C000018241 | 0.22%                | 0.49%                | 0.05%                |
| Class ID C000018242 | 0.31%                | 0.57%                | 0.14%                |
| Class ID C000182250 | 0.31%                | 0.57%                | 0.14%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $119093.74               | $194269.68                                 |
| Month 2  | $-206791.05              | $1841239.59                                |
| Month 3  | $-314617.35              | $-225457.41                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Avis Budget Rental Car Funding AESOP LLC         | Avis Budget Rental Car Funding AESOP LLC                     | CUSIP: 05377REZ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3220000 | PA      | $3207057.53   | 0.49%             | 2028-08-21      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2021-NRD                                           | CUSIP: 05592CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1825000 | PA      | $1812500.39   | 0.28%             | 2038-12-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2022-SSP                                           | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4650000 | PA      | $4649996.75   | 0.71%             | 2039-05-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2023-5YR4                                              | CUSIP: 06211FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740100 | PA      | $778791.36    | 0.12%             | 2056-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2020-BNK25                                              | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1595000 | PA      | $1483873.80   | 0.23%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust    | BHG Securitization Trust 2024-1CON                           | CUSIP: 08862HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251124 | PA      | $256987.68    | 0.04%             | 2035-04-17      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                  | CFCRE Commercial Mortgage Trust 2016-C7                      | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1745000 | PA      | $1733706.71   | 0.27%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | Commercial Mortgage Pass Through Certificates                | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723603 | PA      | $718755.14    | 0.11%             | 2030-10-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                   | Carvana Auto Receivables Trust 2021-N2                       | CUSIP: 14686KAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    378719 | PA      | $373777.53    | 0.06%             | 2028-03-10      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE                    | DROP Mortgage Trust 2021-FILE                                | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2570000 | PA      | $2506912.93   | 0.38%             | 2043-10-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                   | Enterprise Fleet Financing 2022-3 LLC                        | CUSIP: 29374FAB9<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |     28131 | PA      | $28144.95     | 0.00%             | 2029-07-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31283GRK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1 | PA      | $1.38         | 0.00%             | 2026-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31283H6S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71197 | PA      | $74110.86     | 0.01%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128M87E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73003 | PA      | $71481.15     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128PWV21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1696 | PA      | $1687.61      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QLUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47973 | PA      | $49151.95     | 0.01%             | 2036-04-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4C54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203826 | PA      | $213028.35    | 0.03%             | 2036-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4E94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312294 | PA      | $321955.14    | 0.05%             | 2035-09-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4WG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52645 | PA      | $54259.25     | 0.01%             | 2038-11-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5GE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122015 | PA      | $126079.89    | 0.02%             | 2037-04-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96439 | PA      | $99239.10     | 0.02%             | 2037-04-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188409 | PA      | $194758.60    | 0.03%             | 2037-06-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5NT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63439 | PA      | $65045.73     | 0.01%             | 2038-11-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48042 | PA      | $49194.50     | 0.01%             | 2038-03-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31297ANS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8394 | PA      | $8350.76      | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300L5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135171 | PA      | $139670.61    | 0.02%             | 2038-09-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQ40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399754 | PA      | $411890.69    | 0.06%             | 2036-02-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84646 | PA      | $86859.84     | 0.01%             | 2034-12-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15642 | PA      | $16121.52     | 0.00%             | 2037-12-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56222 | PA      | $57914.96     | 0.01%             | 2038-09-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LUJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    281589 | PA      | $290243.18    | 0.04%             | 2036-02-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LUP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    639925 | PA      | $666548.30    | 0.10%             | 2037-03-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300MBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    296219 | PA      | $307979.85    | 0.05%             | 2041-09-01      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31326NF55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    661462 | PA      | $692436.04    | 0.11%             | 2046-01-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3133TK5Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19320 | PA      | $18938.58     | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31342AXY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125274 | PA      | $128363.61    | 0.02%             | 2033-07-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31349ULH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46481 | PA      | $48023.14     | 0.01%             | 2035-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136A6JW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852820 | PA      | $838829.42    | 0.13%             | 2042-06-25      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136A6VQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787587 | PA      | $770223.95    | 0.12%             | 2042-06-25      | Floating      | 4.44%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136A7YW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2184541 | PA      | $2164076.97   | 0.33%             | 2042-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136AFEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840298 | PA      | $1783561.71   | 0.27%             | 2043-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136AMRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2392983 | PA      | $2355195.44   | 0.36%             | 2045-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                              | CUSIP: 3136B8HP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229541 | PA      | $228877.13    | 0.04%             | 2027-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136BANP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2603382 | PA      | $2445421.98   | 0.37%             | 2050-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31371J7C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4900 | PA      | $5034.46      | 0.00%             | 2031-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31371L3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1025 | PA      | $1046.63      | 0.00%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3137B2PW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98978 | PA      | $92802.52     | 0.01%             | 2043-06-15      | Floating      | 6.20%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BXQY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2580000 | PA      | $2562166.52   | 0.39%             | 2027-03-25      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F73C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    238534 | PA      | $238191.78    | 0.04%             | 2027-10-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F73D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286395 | PA      | $285243.56    | 0.04%             | 2027-10-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F8ZR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1025272 | PA      | $1016302.67   | 0.16%             | 2030-12-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FF3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1082680 | PA      | $1078904.97   | 0.17%             | 2028-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FHGE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2208759 | PA      | $2201194.26   | 0.34%             | 2026-09-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FNXD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8396168 | PA      | $8414091.04   | 1.29%             | 2029-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FPJ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3025138 | PA      | $2994225.15   | 0.46%             | 2027-07-25      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FQ3P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7080159 | PA      | $7019532.11   | 1.08%             | 2026-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FQ3S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260182 | PA      | $260141.83    | 0.04%             | 2026-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230871 | PA      | $230726.41    | 0.04%             | 2027-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRYZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4913663 | PA      | $4919774.87   | 0.75%             | 2027-02-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRZ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6462726 | PA      | $6501412.21   | 1.00%             | 2027-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRZ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14138634 | PA      | $14202837.73  | 2.18%             | 2030-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRZ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14138634 | PA      | $14252157.53  | 2.19%             | 2030-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FTZZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2290310 | PA      | $2289822.59   | 0.35%             | 2030-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FU2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2113406 | PA      | $2115815.39   | 0.32%             | 2030-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1898480 | PA      | $1896603.37   | 0.29%             | 2030-06-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1066683 | PA      | $1064618.53   | 0.16%             | 2030-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUZR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367084 | PA      | $367105.11    | 0.06%             | 2027-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUZS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275313 | PA      | $274987.35    | 0.04%             | 2027-06-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363342 | PA      | $362692.57    | 0.06%             | 2030-07-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305669 | PA      | $303155.04    | 0.05%             | 2030-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWHP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24689 | PA      | $24606.30     | 0.00%             | 2030-08-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWHQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65815 | PA      | $65299.03     | 0.01%             | 2030-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWJ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1608304 | PA      | $1603594.60   | 0.25%             | 2030-04-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWJ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1768852 | PA      | $1757883.76   | 0.27%             | 2030-04-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FXLS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    489012 | PA      | $488128.17    | 0.07%             | 2027-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FXLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436673 | PA      | $435354.30    | 0.07%             | 2027-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H2NK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3374116 | PA      | $3356892.01   | 0.51%             | 2028-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H2NT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3789173 | PA      | $3759595.04   | 0.58%             | 2051-05-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H3KE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6643228 | PA      | $6586421.47   | 1.01%             | 2028-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H5DX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11380000 | PA      | $10836741.56  | 1.66%             | 2028-11-25      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H5FZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7165000 | PA      | $6740882.16   | 1.03%             | 2030-11-25      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H6LM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17717244 | PA      | $16779519.81  | 2.57%             | 2031-10-25      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H92P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16300000 | PA      | $16310676.50  | 2.50%             | 2032-11-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HHJF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $5320920.80   | 0.82%             | 2031-10-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HHUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9151317 | PA      | $9136418.73   | 1.40%             | 2029-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HLJA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10350000 | PA      | $10531818.45  | 1.61%             | 2030-02-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HN4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8345000 | PA      | $8451490.55   | 1.30%             | 2030-05-25      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31385WZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       409 | PA      | $428.71       | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138AH2T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66103 | PA      | $68596.72     | 0.01%             | 2041-12-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138AR6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    617596 | PA      | $646533.28    | 0.10%             | 2041-10-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138ECC50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53948 | PA      | $49705.87     | 0.01%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EGLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69916 | PA      | $71766.58     | 0.01%             | 2034-09-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EGTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179432 | PA      | $181984.66    | 0.03%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EHAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154570 | PA      | $156661.82    | 0.02%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EHMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    585951 | PA      | $605183.83    | 0.09%             | 2034-10-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EHMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44910 | PA      | $46276.10     | 0.01%             | 2033-10-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EHNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298192 | PA      | $306684.30    | 0.05%             | 2037-09-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EJZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11262 | PA      | $11692.07     | 0.00%             | 2041-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31390TZ77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4426 | PA      | $4456.87      | 0.00%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31391WRV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85670 | PA      | $86858.69     | 0.01%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                             | Fannie Mae REMIC Trust 2002-W10                              | CUSIP: 31392ET59<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |      3871 | PA      | $3679.03      | 0.00%             | 2042-08-25      | Variable      | 4.85%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393CLX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297992 | PA      | $305164.26    | 0.05%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| FHLMC Structured Pass Through Securities         | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31394XVP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3532 | PA      | $3261.88      | 0.00%             | 2044-03-25      | Variable      | 4.32%                 | No            |                  3 | On Loan: No      |
| FHLMC Structured Pass Through Securities         | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174302 | PA      | $159158.98    | 0.02%             | 2044-10-25      | Floating      | 5.23%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31395UKP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264069 | PA      | $273258.40    | 0.04%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31396AXW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    389670 | PA      | $396823.05    | 0.06%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178367 | PA      | $173333.12    | 0.03%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31397ME86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368162 | PA      | $360674.25    | 0.06%             | 2038-08-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31397RFM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159081 | PA      | $165971.37    | 0.03%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31398JLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384071 | PA      | $360627.56    | 0.06%             | 2048-06-15      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31398WB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176164 | PA      | $179839.99    | 0.03%             | 2036-12-15      | Floating      | 4.58%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31400WUJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27497 | PA      | $28226.34     | 0.00%             | 2033-04-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31401XPH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96271 | PA      | $99059.42     | 0.02%             | 2033-06-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31402C2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62500 | PA      | $64102.10     | 0.01%             | 2034-04-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31402LJ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40155 | PA      | $41472.61     | 0.01%             | 2033-08-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403BAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58440 | PA      | $59959.88     | 0.01%             | 2033-10-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403CY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55234 | PA      | $57250.89     | 0.01%             | 2035-11-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403G5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233364 | PA      | $242277.16    | 0.04%             | 2037-06-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403GDV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1516 | PA      | $1540.15      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403GKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1634 | PA      | $1694.92      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403LGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1315 | PA      | $1339.60      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31404FAG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50033 | PA      | $51996.02     | 0.01%             | 2034-03-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31405EJP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75477 | PA      | $77226.58     | 0.01%             | 2034-08-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31406L4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222123 | PA      | $229384.49    | 0.04%             | 2036-01-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31406XSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50961 | PA      | $53194.60     | 0.01%             | 2035-06-01      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407JTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26880 | PA      | $27558.66     | 0.00%             | 2035-08-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407RP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81528 | PA      | $84175.40     | 0.01%             | 2035-08-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31409AW21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       676 | PA      | $710.74       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31409VJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6823 | PA      | $7033.43      | 0.00%             | 2036-09-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140J5FU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359875 | PA      | $373324.09    | 0.06%             | 2040-12-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410F3T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24866 | PA      | $25533.54     | 0.00%             | 2037-04-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410GTH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6910 | PA      | $7333.03      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410KSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390245 | PA      | $403140.18    | 0.06%             | 2037-04-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410KSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260196 | PA      | $267687.93    | 0.04%             | 2035-07-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85241 | PA      | $88441.46     | 0.01%             | 2035-05-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28165 | PA      | $29063.06     | 0.00%             | 2037-01-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31411JPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151999 | PA      | $156929.79    | 0.02%             | 2037-02-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31411KKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148663 | PA      | $153263.42    | 0.02%             | 2037-03-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31411NP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266443 | PA      | $277797.75    | 0.04%             | 2047-02-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31412CBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86730 | PA      | $90665.55     | 0.01%             | 2036-08-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10724 | PA      | $10926.54     | 0.00%             | 2037-02-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31414EWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58896 | PA      | $60736.66     | 0.01%             | 2038-07-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31414FJD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136385 | PA      | $139843.29    | 0.02%             | 2038-08-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31416BPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175593 | PA      | $181034.47    | 0.03%             | 2036-06-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31416BT24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129245 | PA      | $134296.98    | 0.02%             | 2035-07-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418MS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518405 | PA      | $534957.64    | 0.08%             | 2033-11-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418NB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199322 | PA      | $203569.70    | 0.03%             | 2037-07-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31419A6G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71416 | PA      | $73596.23     | 0.01%             | 2036-11-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31419AMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305140 | PA      | $316346.36    | 0.05%             | 2037-09-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31419AQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439521 | PA      | $451940.60    | 0.07%             | 2034-04-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit         | Ford Credit Auto Owner Trust/Ford Credit                     | CUSIP: 34532MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3915000 | PA      | $4036137.93   | 0.62%             | 2037-08-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36176HLJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7312 | PA      | $7148.31      | 0.00%             | 2062-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36176HMD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1247 | PA      | $1233.88      | 0.00%             | 2062-08-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36176RA85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28825 | PA      | $28665.47     | 0.00%             | 2061-12-20      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36176RBE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3248 | PA      | $3212.66      | 0.00%             | 2062-02-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36177TN29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32917 | PA      | $32839.55     | 0.01%             | 2063-11-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36177TN45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1586 | PA      | $1566.56      | 0.00%             | 2064-01-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36177TNH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1464 | PA      | $1427.02      | 0.00%             | 2063-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36178FK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85756 | PA      | $85350.51     | 0.01%             | 2063-07-20      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3617A5D44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236487 | PA      | $235419.65    | 0.04%             | 2065-10-20      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36185KDJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127149 | PA      | $130575.56    | 0.02%             | 2065-06-20      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36186QVP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125721 | PA      | $128174.66    | 0.02%             | 2065-05-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36193DHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110274 | PA      | $110174.12    | 0.02%             | 2066-02-20      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36200WT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2632 | PA      | $2769.40      | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36207KEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6799 | PA      | $6895.17      | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3620E0KH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173088 | PA      | $176507.81    | 0.03%             | 2061-02-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3620E1AW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88263 | PA      | $90019.19     | 0.01%             | 2063-02-20      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3620E1AY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205348 | PA      | $208616.35    | 0.03%             | 2063-02-20      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3620E1CU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    247934 | PA      | $251846.51    | 0.04%             | 2063-03-20      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36225BND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10878 | PA      | $11353.27     | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36230KSC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3387 | PA      | $3386.88      | 0.00%             | 2061-08-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36230RPD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5846 | PA      | $5794.25      | 0.00%             | 2062-02-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receivables Trust         | GM Financial Revolving Receivables Trust 2021-1              | CUSIP: 36263HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655000 | PA      | $642591.03    | 0.10%             | 2034-06-12      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36297E2D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       835 | PA      | $837.62       | 0.00%             | 2061-04-20      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36297E2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1346 | PA      | $1333.19      | 0.00%             | 2061-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38374BQR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37536 | PA      | $37917.30     | 0.01%             | 2045-11-16      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38374KVF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    586310 | PA      | $579663.69    | 0.09%             | 2035-02-20      | Floating      | 4.05%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25550 | PA      | $25289.61     | 0.00%             | 2063-05-20      | Floating      | 4.58%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125360 | PA      | $125118.00    | 0.02%             | 2060-10-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86178 | PA      | $85074.40     | 0.01%             | 2060-10-20      | Floating      | 4.46%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BH39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2240 | PA      | $2172.40      | 0.00%             | 2062-12-20      | Floating      | 4.61%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BJK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81717 | PA      | $80783.84     | 0.01%             | 2060-12-20      | Floating      | 4.49%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BLH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3330 | PA      | $3302.47      | 0.00%             | 2061-02-20      | Floating      | 4.71%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BN32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132066 | PA      | $130450.82    | 0.02%             | 2063-03-20      | Floating      | 4.46%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BU42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168090 | PA      | $166198.10    | 0.03%             | 2063-03-20      | Floating      | 4.51%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        85 | PA      | $82.55        | 0.00%             | 2062-05-20      | Floating      | 4.56%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61467 | PA      | $60855.88     | 0.01%             | 2062-08-20      | Floating      | 4.63%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BZY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7899 | PA      | $7664.05      | 0.00%             | 2062-10-20      | Floating      | 4.61%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375LQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    492061 | PA      | $485149.21    | 0.07%             | 2037-10-20      | Floating      | 4.37%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375UMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    956218 | PA      | $956413.57    | 0.15%             | 2064-07-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375UWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3270 | PA      | $2959.11      | 0.00%             | 2065-03-20      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376ETM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44673 | PA      | $43722.23     | 0.01%             | 2059-11-20      | Floating      | 5.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RAC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    249145 | PA      | $239675.76    | 0.04%             | 2065-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51144 | PA      | $50632.04     | 0.01%             | 2065-04-20      | Floating      | 4.59%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RAZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       675 | PA      | $651.03       | 0.00%             | 2065-04-20      | Floating      | 4.36%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272204 | PA      | $268434.06    | 0.04%             | 2065-05-20      | Floating      | 4.34%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RFW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11745 | PA      | $11343.08     | 0.00%             | 2065-07-20      | Floating      | 4.41%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2250 | PA      | $2185.70      | 0.00%             | 2061-08-20      | Floating      | 4.79%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       254 | PA      | $247.12       | 0.00%             | 2065-10-20      | Floating      | 4.81%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    961054 | PA      | $965657.32    | 0.15%             | 2066-02-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RU61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    933203 | PA      | $926654.61    | 0.14%             | 2067-02-20      | Floating      | 4.86%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RYM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    245039 | PA      | $242818.95    | 0.04%             | 2066-09-20      | Floating      | 4.66%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38378DLM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1320001 | PA      | $1319576.38   | 0.20%             | 2038-09-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    976322 | PA      | $976551.35    | 0.15%             | 2064-07-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386193 | PA      | $382279.79    | 0.06%             | 2065-02-20      | Floating      | 4.69%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380L2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1987514 | PA      | $1987760.42   | 0.30%             | 2069-06-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380L7U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2587585 | PA      | $2592612.51   | 0.40%             | 2070-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LFQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2094648 | PA      | $2102974.15   | 0.32%             | 2068-06-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LKG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23440 | PA      | $23399.81     | 0.00%             | 2068-09-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5064039 | PA      | $5052984.06   | 0.77%             | 2068-09-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LRU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5333858 | PA      | $5099163.36   | 0.78%             | 2068-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LU50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1877224 | PA      | $1878161.05   | 0.29%             | 2070-01-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341262 | PA      | $337266.77    | 0.05%             | 2070-01-20      | Floating      | 4.16%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138211 | PA      | $136438.00    | 0.02%             | 2069-08-20      | Floating      | 4.11%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380QBX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737516 | PA      | $729007.28    | 0.11%             | 2070-05-20      | Floating      | 4.51%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38382DYY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1118979 | PA      | $1104704.39   | 0.17%             | 2048-04-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38382EHC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2218535 | PA      | $2068559.42   | 0.32%             | 2046-05-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                      | Hertz Vehicle Financing III LLC                              | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   1555000 | PA      | $1578010.89   | 0.24%             | 2028-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                                   | MVW 2020-1 LLC                                               | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127047 | PA      | $125157.46    | 0.02%             | 2037-10-20      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                  | MVW 2024-1 LLC                                               | CUSIP: 62847RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    416093 | PA      | $424168.07    | 0.07%             | 2043-02-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2019-F             | CUSIP: 63935CAB7<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    721323 | PA      | $698049.53    | 0.11%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2020-D             | CUSIP: 63941HAA0<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    225824 | PA      | $215019.95    | 0.03%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2021-E             | CUSIP: 63942EAA6<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   2266691 | PA      | $2043047.50   | 0.31%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2021-C             | CUSIP: 63942JAA5<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    924603 | PA      | $847876.97    | 0.13%             | 2069-10-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust            | NextGear Floorplan Master Owner Trust                        | CUSIP: 65341KBZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1260000 | PA      | $1277228.61   | 0.20%             | 2029-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust            | NextGear Floorplan Master Owner Trust                        | CUSIP: 65341KCC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2735000 | PA      | $2754400.72   | 0.42%             | 2029-09-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                 | SMB Private Education Loan Trust 2021-D                      | CUSIP: 78449MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    434969 | PA      | $411872.44    | 0.06%             | 2053-03-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| SPGN TFLM Mortgage Trust                         | SPGN 2022-TFLM Mortgage Trust                                | CUSIP: 78473HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3295000 | PA      | $3294070.48   | 0.51%             | 2039-02-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                   | Starwood Retail Property Trust 2014-STAR                     | CUSIP: 85571XAA5<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   2830426 | PA      | $1711020.55   | 0.26%             | 2027-11-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                       | FIXED INC CLEARING CORP.REPO                                 | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   5013428 | PA      | $5013428.21   | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust        | TCO Commercial Mortgage Trust 2024-DPM                       | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $646398.23    | 0.10%             | 2039-12-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust             | Toyota Auto Loan Extended Note Trust 2022-1                  | CUSIP: 89231EAA1<br>LEI: 549300VJ12IVOF78MZ11 | Long             | ABS-O            | CORP              | US        |   4365000 | PA      | $4362335.60   | 0.67%             | 2035-04-25      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bills                                          | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  14444000 | PA      | $14428536.83  | 2.21%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2305700 | PA      | $2270934.38   | 0.35%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4390000 | PA      | $4435786.34   | 0.68%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7900000 | PA      | $8000601.60   | 1.23%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34485000 | PA      | $34889121.09  | 5.35%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13620000 | PA      | $13907828.87  | 2.13%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18230000 | PA      | $18875883.25  | 2.89%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13575000 | PA      | $13651889.61  | 2.09%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9755000 | PA      | $9879223.88   | 1.51%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4420000 | PA      | $4562786.73   | 0.70%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15030000 | PA      | $15347626.13  | 2.35%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8870000 | PA      | $8984686.35   | 1.38%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3265000 | PA      | $3264489.84   | 0.50%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11845000 | PA      | $11789939.23  | 1.81%             | 2029-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2085000 | PA      | $2120673.06   | 0.33%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4270000 | PA      | $4364907.41   | 0.67%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25060000 | PA      | $25379123.56  | 3.89%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4760000 | PA      | $4797187.50   | 0.74%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9885000 | PA      | $10010879.35  | 1.54%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41285000 | PA      | $41633342.19  | 6.38%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8370000 | PA      | $8431794.12   | 1.29%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7660000 | PA      | $7632771.07   | 1.17%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9311000 | PA      | $9274992.59   | 1.42%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4055000 | PA      | $4037892.97   | 0.62%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17714000 | PA      | $17535476.18  | 2.69%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22304000 | PA      | $22197707.61  | 3.40%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CPS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48033000 | PA      | $47939185.79  | 7.35%             | 2027-12-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                   | Wheels Fleet Lease Funding 1 LLC                             | CUSIP: 96328GAS6<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |    338779 | PA      | $340967.69    | 0.05%             | 2038-04-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** LOOMIS SAYLES FUNDS II

**Signature:** John Sgroi

**Name of Signer:** John Sgroi

**Title:** Assistant Treasurer