# EDGAR Filing Document

**Accession Number:** 0000872649
**File Stem:** 0001752724-23-046336
**Filing Date:** 2023-2
**Character Count:** 177602
**Document Hash:** 0d8de8752b1c44827e9ea6853661eb32
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046336.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046336

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LOOMIS SAYLES FUNDS II
- **CENTRAL INDEX KEY:** 0000872649
- **IRS NUMBER:** 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:** 23682168

**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, 2022 (Unaudited)** 

**Loomis Sayles Limited Term Government and Agency Fund** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – 94.6% of Net Assets** | **Bonds and Notes – 94.6% of Net Assets** |  |
|  | **ABS Car Loan – 3.4%** | **ABS Car Loan – 3.4%** |
| $58120 | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3, <br>0.660%, 12/18/2024 | $57918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3220000 | Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A, <br>3.830%, 8/21/2028, 144A | 3099295 |
| 331642 | CarMax Auto Owner Trust, Series 2020-2, Class A3, <br>1.700%, 11/15/2024 | 329401 |
| 1865000 | Carvana Auto Receivables Trust, Series 2021-N2, Class A2, <br>0.970%, 3/10/2028 | 1697816 |
| 7901415 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class A, <br>1.240%, 10/15/2029, 144A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7738287 |
| 2735000 | Exeter Automobile Receivables Trust, Series 2022-5A, Class A3, <br>5.430%, 4/15/2026 | 2724730 |
| 2807 | Flagship Credit Auto Trust, Series 2020-3, Class A, <br>0.700%, 4/15/2025, 144A | 2803 |
| 132019 | Ford Credit Auto Owner Trust, Series 2020-A, Class A3, <br>1.040%, 8/15/2024 | 130806 |
| 56414 | GM Financial Consumer Automobile Receivables Trust, Series 2019-4, Class A3, <br>1.750%, 7/16/2024 | 56296 |
| 177213 | GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, <br>1.840%, 9/16/2024 | 176028 |
| 142794 | GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3, <br>1.490%, 12/16/2024 | 141053 |
| 655000 | GM Financial Revolving Receivables Trust, Series 2021-1, Class A, <br>1.170%, 6/12/2034, 144A | 569289 |
| 96653 | Honda Auto Receivables Owner Trust, Series 2020-1, Class A3, <br>1.610%, 4/22/2024 | 95761 |
| 226768 | Hyundai Auto Receivables Trust, Series 2020-A, Class A3, <br>1.410%, 11/15/2024 | 223548 |
| 612607 | Nissan Auto Receivables Owner Trust, Series 2020-A, Class A3, <br>1.380%, 12/16/2024 | 603857 |
| 620000 | PenFed Auto Receivables Owner Trust, Series 2022-A, Class A4, <br>4.180%, 12/15/2028, 144A | 602169 |
| 765000 | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, <br>1.350%, 5/25/2033, 144A | 698870 |
| 4365000 | Toyota Auto Loan Extended Note Trust, Series 2022-1A, Class A, <br>3.820%, 4/25/2035, 144A | 4135013 |
| 87997 | Toyota Auto Receivables Owner Trust, Series 2020-A, Class A3, <br>1.660%, 5/15/2024 | 87483 |
| 196811 | Toyota Auto Receivables Owner Trust, Series 2020-B, Class A3, <br>1.360%, 8/15/2024 | 194741 |
|  |  | 23365164 |
|  | **ABS Other – 0.6%** | **ABS Other – 0.6%** |
| 426817 | Chesapeake Funding II LLC, Series 2020-1A, Class A1, <br>0.870%, 8/15/2032, 144A | 420876 |
| 150897 | CNH Equipment Trust, Series 2020-A, Class A3, <br>1.160%, 6/16/2025 | 148716 |
| &nbsp;&nbsp;&nbsp;&nbsp;1239202 | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, <br>0.560%, 12/11/2034, 144A | 1197486 |
| 675000 | Enterprise Fleet Financing LLC, Series 2022-3, Class A2, <br>4.380%, 7/20/2029, 144A | 659920 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  | **ABS Other – continued** | **ABS Other – continued** | **ABS Other – continued** |
| $215183 | Kubota Credit Owner Trust, Series 2020-1A, Class A3, <br>1.960%, 3/15/2024, 144A | $| 213847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;384478 | MVW LLC, Series 2020-1A, Class A, <br>1.740%, 10/20/2037, 144A |  | 350129 |
| 613452 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A, <br>1.330%, 7/20/2037, 144A |  | 577001 |
| 761286 | Welk Resorts LLC, Series 2019-AA, Class A, <br>2.800%, 6/15/2038, 144A |  | 711463 |
|  |  |  | 4279438 |
|  | **ABS Student Loan – 1.1%** | **ABS Student Loan – 1.1%** | **ABS Student Loan – 1.1%** |
| 1678917 | Navient Private Education Refi Loan Trust, Series 2019-FA, Class A2, <br>2.600%, 8/15/2068, 144A |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1556242 |
| 523485 | Navient Private Education Refi Loan Trust, Series 2020-DA, Class A, <br>1.690%, 5/15/2069, 144A |  | 471476 |
| 1695273 | Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, <br>1.060%, 10/15/2069, 144A |  | 1446757 |
| 3932393 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A, <br>0.970%, 12/16/2069, 144A |  | 3324005 |
| 982926 | SMB Private Education Loan Trust, Series 2021-D, Class A1A, <br>1.340%, 3/17/2053, 144A |  | 861032 |
| 13999 | SoFi Professional Loan Program LLC, Series 2016-D, Class A1, <br>1-month LIBOR + 0.950%, 5.339%, 1/25/2039, 144A(a) |  | 13960 |
|  |  |  | 7673472 |
|  | **Agency Commercial Mortgage-Backed Securities – 38.1%** | **Agency Commercial Mortgage-Backed Securities – 38.1%** | **Agency Commercial Mortgage-Backed Securities – 38.1%** |
| 3917187 | Federal Home Loan Mortgage Corp., Series Q016, Class APT1, <br>1.242%, 5/25/2051(b) |  | 3516929 |
| 11380000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K747, Class A2, <br>2.050%, 11/25/2028(b) |  | 9938518 |
| 7165000 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series KJ37, Class A2, <br>2.333%, 11/25/2030 |  | 6259545 |
| 2796678 | Federal National Mortgage Association, Series 2014-M2, Class A2, <br>3.513%, 12/25/2023(b) |  | 2749970 |
| 2416652 | Federal National Mortgage Association, Series 2020-M5, Class FA, <br>1-month LIBOR + 0.460%, 4.580%, 1/25/2027(a) |  | 2394363 |
| 7288202 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ20, Class A2, <br>3.799%, 12/25/2025 |  | 7104044 |
| 2494039 | FHLMC Multifamily Structured Pass Through Certificates, Series K-F100, Class AS, <br>30-day Average SOFR + 0.180%, 3.905%, 1/25/2028(a) |  | 2438583 |
| 7862871 | FHLMC Multifamily Structured Pass Through Certificates, Series K034, Class A2, <br>3.531%, 7/25/2023(b) |  | 7794634 |
| 7715533 | FHLMC Multifamily Structured Pass Through Certificates, Series K035, Class A2, <br>3.458%, 8/25/2023(b) |  | 7643609 |
| 7500000 | FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class A2, <br>3.389%, 3/25/2024 |  | 7357127 |
| 2580000 | FHLMC Multifamily Structured Pass Through Certificates, Series K064, Class A2, <br>3.224%, 3/25/2027 |  | 2455181 |
| 19108648 | FHLMC Multifamily Structured Pass Through Certificates, Series K139, Class A1, <br>2.209%, 10/25/2031 |  | 16820886 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Agency Commercial Mortgage-Backed Securities – continued** | **Agency Commercial Mortgage-Backed Securities – continued** |
| $8000000 | FHLMC Multifamily Structured Pass Through Certificates, Series KC06, Class A2, <br>2.541%, 8/25/2026 | $7469920 |
| &nbsp;&nbsp;&nbsp;&nbsp;16952321 | FHLMC Multifamily Structured Pass Through Certificates, Series KF123, Class AS, <br>30-day Average SOFR + 0.200%, 3.925%, 9/25/2028(a) | 16529377 |
| 1255062 | FHLMC Multifamily Structured Pass Through Certificates, Series KF53, Class A, <br>1-month LIBOR + 0.390%, 4.532%, 10/25/2025(a) | 1235926 |
| 7060382 | FHLMC Multifamily Structured Pass Through Certificates, Series KF72, Class A, <br>1-month LIBOR + 0.500%, 4.642%, 10/25/2026(a) | 7034049 |
| 2105685 | FHLMC Multifamily Structured Pass Through Certificates, Series KF74, Class AS, <br>1-month Average Compounded SOFR + 0.530%, 4.281%, 1/25/2027(a) | 2090581 |
| 7689993 | FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AL, <br>1-month LIBOR + 0.700%, 4.842%, 2/25/2027(a) | 7670252 |
| 10114311 | FHLMC Multifamily Structured Pass Through Certificates, Series KF77, Class AS, <br>30-day Average SOFR + 0.900%, 4.625%, 2/25/2027(a) | 10103165 |
| 24224552 | FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AL, <br>1-month LIBOR + 0.800%, 4.942%, 3/25/2030(a) | 24210184 |
| 24224552 | FHLMC Multifamily Structured Pass Through Certificates, Series KF78, Class AS, <br>30-day Average SOFR + 1.000%, 4.725%, 3/25/2030(a) | &nbsp;&nbsp;&nbsp;&nbsp;24224499 |
| 3919612 | FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AL, <br>1-month LIBOR + 0.470%, 4.612%, 5/25/2030(a) | 3858506 |
| 3616861 | FHLMC Multifamily Structured Pass Through Certificates, Series KF79, Class AS, <br>30-day Average SOFR + 0.580%, 4.305%, 5/25/2030(a) | 3568811 |
| 5055821 | FHLMC Multifamily Structured Pass Through Certificates, Series KF80, Class AL, <br>1-month LIBOR + 0.440%, 4.582%, 6/25/2030(a) | 4972739 |
| 2840671 | FHLMC Multifamily Structured Pass Through Certificates, Series KF80, Class AS, <br>30-day Average SOFR + 0.510%, 4.235%, 6/25/2030(a) | 2792234 |
| 1054948 | FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AL, <br>1-month LIBOR + 0.360%, 4.502%, 6/25/2027(a) | 1036968 |
| 791211 | FHLMC Multifamily Structured Pass Through Certificates, Series KF81, Class AS, <br>30-day Average SOFR + 0.400%, 4.125%, 6/25/2027(a) | 781790 |
| 778976 | FHLMC Multifamily Structured Pass Through Certificates, Series KF84, Class AL, <br>1-month LIBOR + 0.300%, 4.442%, 7/25/2030(a) | 759776 |
| 655329 | FHLMC Multifamily Structured Pass Through Certificates, Series KF84, Class AS, <br>30-day Average SOFR + 0.320%, 4.045%, 7/25/2030(a) | 639804 |
| 223849 | FHLMC Multifamily Structured Pass Through Certificates, Series KF85, Class AL, <br>1-month LIBOR + 0.300%, 4.442%, 8/25/2030(a) | 219582 |
| 596730 | FHLMC Multifamily Structured Pass Through Certificates, Series KF85, Class AS, <br>30-day Average SOFR + 0.330%, 4.055%, 8/25/2030(a) | 583886 |
| 657363 | FHLMC Multifamily Structured Pass Through Certificates, Series KF86, Class AL, <br>1-month LIBOR + 0.290%, 4.432%, 8/25/2027(a) | 646949 |
| 587006 | FHLMC Multifamily Structured Pass Through Certificates, Series KF86, Class AS, <br>30-day Average SOFR + 0.320%, 4.045%, 8/25/2027(a) | 578706 |
| 8905523 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ21, Class A2, <br>3.700%, 9/25/2026 | 8631261 |
| 7124036 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ26, Class A2, <br>2.606%, 7/25/2027 | 6700300 |
| 19388 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ28, Class A1, <br>1.766%, 2/25/2025 | 19231 |
| 16300000 | FHLMC Multifamily Structured Pass Through Certificates, Series KJ42, Class A2, <br>4.118%, 11/25/2032 | 15642866 |
| 8515000 | FHLMC Multifamily Structured Pass Through Certificates, Series KS12, Class A, <br>1-month LIBOR + 0.650%, 4.792%, 8/25/2029(a) | 8396773 |
| 2855000 | FHLMC Multifamily Structured Pass Through Certificates, Series KS14, Class AL, <br>1-month LIBOR + 0.340%, 4.482%, 4/25/2030(a) | 2804618 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  | **Agency Commercial Mortgage-Backed Securities – continued** | **Agency Commercial Mortgage-Backed Securities – continued** | **Agency Commercial Mortgage-Backed Securities – continued** |
| $3140000 | FHLMC Multifamily Structured Pass Through Certificates, Series KS14, Class AS, <br>30-day Average SOFR + 0.370%, 4.095%, 4/25/2030(a) | $| 3077583 |
| 1260335 | FHLMC Multifamily Structured Pass Through Certificates, Series Q008, Class A, <br>1-month LIBOR + 0.390%, 4.532%, 10/25/2045(a) |  | 1247081 |
| 5200000 | FNMA, <br>3.580%, 1/01/2026 |  | 5032641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8490905 | Freddie Mac Multifamily Structured Pass Through Certificates, Series K-F121, Class AS, <br>30-day Average SOFR + 0.180%, 3.905%, 8/25/2028(a) |  | 8284015 |
| 567681 | Freddie Mac Multifamily Structured Pass Through Certificates, Series KF93, Class AL, <br>1-month LIBOR + 0.280%, 4.422%, 10/25/2027(a) |  | 559784 |
| 681585 | Freddie Mac Multifamily Structured Pass Through Certificates, Series KF93, Class AS, <br>30-day Average SOFR + 0.310%, 4.035%, 10/25/2027(a) |  | 669807 |
| 3245439 | Freddie Mac Multifamily Structured Pass Through Certificates, Series KF97, Class AS, <br>30-day Average SOFR + 0.250%, 3.975%, 12/25/2030(a) |  | 3169096 |
| 1398155 | Freddie Mac Multifamily Structured Pass Through Certificates, Series Q015, Class A, <br>30-day Average SOFR + 0.200%, 4.004%, 8/25/2024(a) |  | 1395149 |
| 82338 | Government National Mortgage Association, Series 2003-72, Class Z, <br>5.334%, 11/16/2045(b) |  | 80353 |
|  |  |  | 263191651 |
|  | **Collateralized Mortgage Obligations – 14.7%** | **Collateralized Mortgage Obligations – 14.7%** | **Collateralized Mortgage Obligations – 14.7%** |
| 1210 | Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, <br>7-year CMT - 0.200%, 4.030%, 5/15/2023(a)(c) |  | 1172 |
| 1520 | Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, <br>10-year CMT - 0.650%, 3.140%, 8/15/2023(a)(c) |  | 1469 |
| 48548 | Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, <br>6.000%, 3/15/2029(c) |  | 47043 |
| 417526 | Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, <br>5.500%, 5/15/2035(c) |  | 415391 |
| 610331 | Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, <br>5.000%, 9/15/2035(c) |  | 605909 |
| 205937 | Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, <br>5.500%, 2/15/2038(c) |  | 196906 |
| 615040 | Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, IO, <br>2.576%, 6/15/2048(b)(d) |  | 554158 |
| 523780 | Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, IO, <br>3.871%, 12/15/2036(b)(d) |  | 513583 |
| 98978 | Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, <br>1-month LIBOR + 2.100% 6.418%, 6/15/2043(b)(c) |  | 88030 |
| 3554 | Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, <br>10-year CMT - 0.500%, 3.250%, 4/25/2024(a)(c) |  | 3426 |
| 5664 | Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, <br>4.209%, 8/25/2042(b)(c) |  | 5189 |
| 583202 | Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, <br>5.500%, 6/25/2033(c) |  | 586433 |
| 33766 | Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, <br>5.500%, 11/25/2025(c) |  | 32516 |
| 302640 | Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, <br>1-month LIBOR + 0.060%, 3.821%, 7/25/2037(a)(c) |  | 294868 |

---

------

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| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Collateralized Mortgage Obligations – continued** | **Collateralized Mortgage Obligations – continued** |
| $568611 | Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, <br>3.421%, 8/25/2038(b) | $534018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1132512 | Federal National Mortgage Association, REMIC, Series 2012-56, Class FK, <br>1-month LIBOR + 0.450%, 4.839%, 6/25/2042(a) | 1101668 |
| 1371225 | Federal National Mortgage Association, REMIC, Series 2012-58, Class KF, <br>1-month LIBOR + 0.550%, 4.939%, 6/25/2042(a) | 1340751 |
| 3024416 | Federal National Mortgage Association, REMIC, Series 2012-83, Class LF, <br>1-month LIBOR + 0.510%, 4.899%, 8/25/2042(a) | 2948898 |
| 1840298 | Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, <br>1-month LIBOR + 1.000%, 5.000%, 7/25/2043(a) | 1648326 |
| 3222823 | Federal National Mortgage Association, REMIC, Series 2015-4, Class BF, <br>1-month LIBOR + 0.400%, 4.789%, 2/25/2045(a) | 3159064 |
| 5064837 | Federal National Mortgage Association, REMIC, Series 2020-35, Class FA, <br>1-month LIBOR + 0.500%, 3.466%, 6/25/2050(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4956232 |
| 5122 | FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, <br>3.607%, 3/25/2044(b)(c) | 4260 |
| 263671 | FHLMC Structured Pass Through Securities, Series T-62, Class 1A1, <br>12-month MTA + 1.200%, 3.248%, 10/25/2044(a)(c) | 261081 |
| 978488 | Government National Mortgage Association, Series 2005-18, Class F, <br>1-month LIBOR + 0.200%, 4.553%, 2/20/2035(a)(c) | 963012 |
| 736512 | Government National Mortgage Association, Series 2007-59, Class FM, <br>1-month LIBOR + 0.520%, 4.873%, 10/20/2037(a)(c) | 730600 |
| 211313 | Government National Mortgage Association, Series 2009-H01, Class FA, <br>1-month LIBOR + 1.150%, 5.503%, 11/20/2059(a)(c) | 210124 |
| 614401 | Government National Mortgage Association, Series 2010-H20, Class AF, <br>1-month LIBOR + 0.330%, 4.172%, 10/20/2060(a) | 608429 |
| 519245 | Government National Mortgage Association, Series 2010-H24, Class FA, <br>1-month LIBOR + 0.350%, 4.192%, 10/20/2060(a) | 514083 |
| 338163 | Government National Mortgage Association, Series 2010-H27, Class FA, <br>1-month LIBOR + 0.380%, 4.222%, 12/20/2060(a) | 334866 |
| 32523 | Government National Mortgage Association, Series 2011- H20, Class FA, <br>1-month LIBOR + 0.550%, 4.392%, 9/20/2061(a) | 32312 |
| 417360 | Government National Mortgage Association, Series 2011-H06, Class FA, <br>1-month LIBOR + 0.450%, 4.292%, 2/20/2061(a) | 413861 |
| 23657 | Government National Mortgage Association, Series 2011-H08, Class FA, <br>1-month LIBOR + 0.600%, 4.442%, 2/20/2061(a) | 23530 |
| 28766 | Government National Mortgage Association, Series 2011-H23, Class HA, <br>3.000%, 12/20/2061(c) | 26354 |
| 25282 | Government National Mortgage Association, Series 2012-124, Class HT, <br>6.500%, 7/20/2032(b)(c) | 24465 |
| 2235034 | Government National Mortgage Association, Series 2012-18, Class FM, <br>1-month LIBOR + 0.250%, 4.603%, 9/20/2038(a) | 2217257 |
| 89 | Government National Mortgage Association, Series 2012-H15, Class FA, <br>1-month LIBOR + 0.450%, 4.292%, 5/20/2062(a)(c) | 85 |
| 290623 | Government National Mortgage Association, Series 2012-H18, Class NA, <br>1-month LIBOR + 0.520%, 4.362%, 8/20/2062(a) | 288608 |
| &nbsp;&nbsp;&nbsp;&nbsp;1110697 | Government National Mortgage Association, Series 2012-H20, Class PT, <br>4.911%, 7/20/2062(b) | 1107646 |
| 14953 | Government National Mortgage Association, Series 2012-H29, Class HF, <br>1-month LIBOR + 0.500%, 4.342%, 10/20/2062(a)(c) | 14262 |
| 27049 | Government National Mortgage Association, Series 2013-H02, Class GF, <br>1-month LIBOR + 0.500%, 4.342%, 12/20/2062(a)(c) | 25893 |
| 795458 | Government National Mortgage Association, Series 2013-H08, Class FA, <br>1-month LIBOR + 0.350%, 4.192%, 3/20/2063(a) | 788280 |

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| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Collateralized Mortgage Obligations – continued** | **Collateralized Mortgage Obligations – continued** |
| $960492 | Government National Mortgage Association, Series 2013-H10, Class FA, <br>1-month LIBOR + 0.400%, 4.242%, 3/20/2063(a) | $952142 |
| 128121 | Government National Mortgage Association, Series 2013-H14, Class FG, <br>1-month LIBOR + 0.470%, 4.312%, 5/20/2063(a) | 127056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3489118 | Government National Mortgage Association, Series 2013-H22, Class FT, <br>1-year CMT + 0.650%, 5.143%, 4/20/2063(a) | 3484565 |
| 3029049 | Government National Mortgage Association, Series 2014-H14, Class FA, <br>1-month LIBOR + 0.500%, 3.643%, 7/20/2064(a) | 2998927 |
| 2556078 | Government National Mortgage Association, Series 2014-H15, Class FA, <br>1-month LIBOR + 0.500%, 4.342%, 7/20/2064(a) | 2528309 |
| 1734615 | Government National Mortgage Association, Series 2015-H04, Class FL, <br>1-month LIBOR + 0.470%, 4.312%, 2/20/2065(a) | 1717370 |
| 3454 | Government National Mortgage Association, Series 2015-H05, Class FA, <br>1-month LIBOR + 0.300%, 4.142%, 4/20/2061(a)(c) | 3319 |
| 5606 | Government National Mortgage Association, Series 2015-H09, Class HA, <br>1.750%, 3/20/2065(c) | 5039 |
| 232024 | Government National Mortgage Association, Series 2015-H10, Class FC, <br>1-month LIBOR + 0.480%, 4.322%, 4/20/2065(a) | 229610 |
| 3492931 | Government National Mortgage Association, Series 2015-H10, Class JA, <br>2.250%, 4/20/2065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3367889 |
| 2391 | Government National Mortgage Association, Series 2015-H11, Class FA, <br>1-month LIBOR + 0.250%, 4.092%, 4/20/2065(a)(c) | 2283 |
| 1930543 | Government National Mortgage Association, Series 2015-H12, Class FL, <br>1-month LIBOR + 0.230%, 4.072%, 5/20/2065(a) | 1909930 |
| 47898 | Government National Mortgage Association, Series 2015-H19, Class FH, <br>1-month LIBOR + 0.300%, 4.142%, 7/20/2065(a)(c) | 47046 |
| 2789 | Government National Mortgage Association, Series 2015-H29, Class FA, <br>1-month LIBOR + 0.700%, 4.542%, 10/20/2065(a)(c) | 2677 |
| 2961 | Government National Mortgage Association, Series 2015-H30, Class FA, <br>1-month LIBOR + 0.680%, 4.522%, 8/20/2061(a)(c) | 2828 |
| 3382794 | Government National Mortgage Association, Series 2016-H06, Class FC, <br>1-month LIBOR + 0.920%, 3.554%, 2/20/2066(a) | 3334274 |
| 929055 | Government National Mortgage Association, Series 2016-H20, Class FB, <br>1-month LIBOR + 0.550%, 4.392%, 9/20/2066(a) | 921209 |
| 2322065 | Government National Mortgage Association, Series 2017-H05, Class FC, <br>1-month LIBOR + 0.750%, 3.282%, 2/20/2067(a) | 2288227 |
| 31416 | Government National Mortgage Association, Series 2018-H02, Class FJ, <br>1-month LIBOR + 0.200%, 4.042%, 10/20/2064(a)(c) | 31096 |
| 4599173 | Government National Mortgage Association, Series 2018-H11, Class FJ, <br>12-month LIBOR + 0.080%, 2.855%, 6/20/2068(a) | 4491146 |
| 103407 | Government National Mortgage Association, Series 2018-H14, Class FG, <br>1-month LIBOR + 0.350%, 4.192%, 9/20/2068(a) | 102269 |
| 6605684 | Government National Mortgage Association, Series 2018-H16, Class FA, <br>1-month LIBOR + 0.420%, 3.427%, 9/20/2068(a) | 6413489 |
| 6112877 | Government National Mortgage Association, Series 2019-H04, Class NA, <br>3.500%, 9/20/2068 | 5748638 |
| &nbsp;&nbsp;&nbsp;&nbsp;1888953 | Government National Mortgage Association, Series 2019-H13, Class FT, <br>1-year CMT + 0.450%, 5.010%, 8/20/2069(a) | 1888149 |
| 1826056 | Government National Mortgage Association, Series 2020-30, Class F, <br>1-month LIBOR + 0.400%, 2.464%, 4/20/2048(a) | 1756442 |
| 3478056 | Government National Mortgage Association, Series 2020-53, Class NF, <br>1-month LIBOR + 0.450%, 2.487%, 5/20/2046(a) | 3306275 |
| 3600573 | Government National Mortgage Association, Series 2020-H02, Class FG, <br>1-month LIBOR + 0.600%, 3.962%, 1/20/2070(a) | 3548897 |

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| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  | **Collateralized Mortgage Obligations – continued** | **Collateralized Mortgage Obligations – continued** | **Collateralized Mortgage Obligations – continued** |
| $4109616 | Government National Mortgage Association, Series 2020-H04, Class FP, <br>1-month LIBOR + 0.500%, 4.342%, 6/20/2069(a) | $| 4043912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7739105 | Government National Mortgage Association, Series 2020-H07, Class FL, <br>1-month LIBOR + 0.650%, 4.492%, 4/20/2070(a) |  | 7614722 |
| 7767762 | Government National Mortgage Association, Series 2020-H10, Class FD, <br>1-month LIBOR + 0.400%, 4.242%, 5/20/2070(a) |  | 7712820 |
| 3133765 | Government National Mortgage Association, Series 2020-HO1, Class FT, <br>1-year CMT + 0.500%, 5.060%, 1/20/2070(a) |  | 3122601 |
|  |  |  | 101327214 |
|  | **Hybrid ARMs – 2.7%** | **Hybrid ARMs – 2.7%** | **Hybrid ARMs – 2.7%** |
| 148314 | FHLMC, <br>12-month LIBOR + 1.903%, 2.453%, 4/01/2037(a) |  | 145283 |
| 83441 | FHLMC, <br>1-year CMT + 2.250%, 2.497%, 2/01/2035(a) |  | 84085 |
| 276429 | FHLMC, <br>1-year CMT + 2.245%, 2.572%, 3/01/2036(a) |  | 278796 |
| 60442 | FHLMC, <br>12-month LIBOR + 1.678%, 2.875%, 3/01/2038(a) |  | 59507 |
| 147605 | FHLMC, <br>12-month LIBOR + 1.724%, 3.138%, 4/01/2037(a) |  | 146796 |
| 642071 | FHLMC, <br>12-month LIBOR + 1.896%, 3.275%, 9/01/2041(a) |  | 639740 |
| 763041 | FHLMC, <br>1-year CMT + 2.262%, 3.399%, 2/01/2036(a) |  | 771293 |
| 80286 | FHLMC, <br>12-month LIBOR + 1.793%, 3.457%, 11/01/2038(a) |  | 78941 |
| 219865 | FHLMC, <br>6-month LIBOR + 1.770%, 3.643%, 6/01/2037(a) |  | 213778 |
| 239641 | FHLMC, <br>1-year CMT + 2.165%, 3.691%, 4/01/2036(a) |  | 235335 |
| 41569 | FHLMC, <br>12-month LIBOR + 1.742%, 3.806%, 12/01/2037(a) |  | 40942 |
| 85877 | FHLMC, <br>1-year CMT + 2.208%, 3.827%, 9/01/2038(a) |  | 84165 |
| &nbsp;&nbsp;&nbsp;&nbsp;1342591 | FHLMC, <br>12-month LIBOR + 1.840%, 3.828%, 1/01/2046(a) |  | 1351192 |
| 77697 | FHLMC, <br>12-month LIBOR + 1.703%, 3.883%, 11/01/2038(a) |  | 76611 |
| 1275335 | FHLMC, <br>1-year CMT + 2.251%, 3.891%, 3/01/2037(a) |  | 1294189 |
| 432301 | FHLMC, <br>12-month LIBOR + 1.765%, 4.015%, 9/01/2035(a) |  | 436364 |
| 154058 | FHLMC, <br>12-month LIBOR + 1.936%, 4.037%, 12/01/2034(a) |  | 152004 |
| 226347 | FHLMC, <br>1-year CMT + 2.220%, 4.124%, 7/01/2033(a) |  | 222184 |
| 282545 | FHLMC, <br>1-year CMT + 2.248%, 4.203%, 9/01/2038(a) |  | 287558 |
| 447332 | FHLMC, <br>1-year CMT + 2.285%, 4.324%, 2/01/2036(a) |  | 448083 |
| 113319 | FNMA, <br>12-month LIBOR + 1.800%, 2.050%, 12/01/2041(a) |  | 110520 |

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| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Hybrid ARMs – continued** | **Hybrid ARMs – continued** |
| $178424 | FNMA, <br>12-month LIBOR + 1.734%, 2.188%, 2/01/2037(a) | $175078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;302267 | FNMA, <br>1-year CMT + 2.185%, 2.310%, 1/01/2036(a) | 301130 |
| 29847 | FNMA, <br>12-month LIBOR + 1.565%, 2.315%, 4/01/2037(a) | 29220 |
| 467283 | FNMA, <br>12-month LIBOR + 1.820%, 2.445%, 2/01/2047(a) | 465824 |
| 447104 | FNMA, <br>12-month LIBOR + 1.804%, 2.520%, 3/01/2037(a) | 442831 |
| 94270 | FNMA, <br>12-month LIBOR + 1.800%, 2.544%, 3/01/2034(a) | 94866 |
| 41084 | FNMA, <br>12-month LIBOR + 1.754%, 2.733%, 1/01/2037(a) | 40504 |
| 104552 | FNMA, <br>1-year CMT + 2.199%, 2.737%, 4/01/2034(a) | 101748 |
| 123683 | FNMA, <br>1-year CMT + 2.147%, 2.744%, 9/01/2034(a) | 124700 |
| 229984 | FNMA, <br>1-year CMT + 2.134%, 2.920%, 6/01/2036(a) | 229725 |
| 474309 | FNMA, <br>12-month LIBOR + 1.706%, 3.042%, 9/01/2037(a) | 480657 |
| 649549 | FNMA, <br>12-month LIBOR + 1.554%, 3.172%, 4/01/2037(a) | 653894 |
| 46086 | FNMA, <br>1-year CMT + 2.211%, 3.211%, 4/01/2033(a) | 45475 |
| 20131 | FNMA, <br>12-month LIBOR + 1.806%, 3.293%, 7/01/2041(a) | 19770 |
| 125462 | FNMA, <br>12-month LIBOR + 1.684%, 3.373%, 11/01/2036(a) | 126684 |
| 458946 | FNMA, <br>12-month LIBOR + 1.566%, 3.470%, 7/01/2035(a) | 462848 |
| 123102 | FNMA, <br>1-year CMT + 2.500%, 3.480%, 8/01/2036(a) | 126513 |
| 822376 | FNMA, <br>1-year CMT + 2.168%, 3.485%, 12/01/2040(a) | 834077 |
| 137481 | FNMA, <br>1-year CMT + 2.486%, 3.492%, 5/01/2035(a) | 138293 |
| &nbsp;&nbsp;&nbsp;&nbsp;1367743 | FNMA, <br>1-year CMT + 2.205%, 3.508%, 10/01/2034(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1388895 |
| 873079 | FNMA, <br>1-year CMT + 2.228%, 3.641%, 4/01/2034(a) | 879397 |
| 20465 | FNMA, <br>6-month LIBOR + 1.460%, 3.737%, 2/01/2037(a) | 20635 |
| 388621 | FNMA, <br>12-month LIBOR + 1.564%, 3.756%, 9/01/2037(a) | 389942 |
| 274586 | FNMA, <br>6-month LIBOR + 2.030%, 3.767%, 7/01/2037(a) | 276121 |
| 86248 | FNMA, <br>12-month LIBOR + 1.729%, 3.795%, 11/01/2035(a) | 87479 |
| 86330 | FNMA, <br>12-month LIBOR + 1.554%, 3.804%, 8/01/2035(a) | 85061 |
| 216323 | FNMA, <br>12-month LIBOR + 1.639%, 3.889%, 8/01/2038(a) | 213282 |

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------

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| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  | **Hybrid ARMs – continued** | **Hybrid ARMs – continued** | **Hybrid ARMs – continued** |
| $137927 | FNMA, <br>12-month LIBOR + 1.667%, 3.917%, 10/01/2033(a) | $| 138053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;304421 | FNMA, <br>12-month LIBOR + 1.669%, 3.919%, 7/01/2038(a) |  | 300971 |
| 189259 | FNMA, <br>1-year CMT + 2.287%, 3.920%, 6/01/2033(a) |  | 187075 |
| 290766 | FNMA, <br>12-month LIBOR + 1.678%, 3.928%, 8/01/2034(a) |  | 286260 |
| 51757 | FNMA, <br>1-year CMT + 2.145%, 3.934%, 9/01/2036(a) |  | 51526 |
| 291519 | FNMA, <br>1-year CMT + 2.270%, 4.020%, 6/01/2037(a) |  | 301085 |
| 809205 | FNMA, <br>12-month LIBOR + 1.800%, 4.050%, 10/01/2041(a) |  | 817927 |
| 248679 | FNMA, <br>6-month LIBOR + 1.547%, 4.115%, 7/01/2035(a) |  | 251060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;823897 | FNMA, <br>1-year CMT + 2.185%, 4.220%, 11/01/2033(a) |  | 839202 |
| 61189 | FNMA, <br>12-month LIBOR + 2.473%, 4.223%, 6/01/2035(a) |  | 60617 |
| 133474 | FNMA, <br>1-year CMT + 2.223%, 4.223%, 8/01/2035(a) |  | 131026 |
| 52401 | FNMA, <br>1-year CMT + 2.440%, 4.266%, 8/01/2033(a) |  | 51776 |
| 98541 | FNMA, <br>1-year CMT + 2.185%, 4.310%, 12/01/2034(a) |  | 96485 |
| 112823 | FNMA, <br>1-year CMT + 2.287%, 4.364%, 10/01/2033(a) |  | 110905 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;19015983 |
|  | **Mortgage Related – 1.8%** | **Mortgage Related – 1.8%** | **Mortgage Related – 1.8%** |
| 15015 | FHLMC, <br>3.000%, 10/01/2026 |  | 14555 |
| 120940 | FHLMC, <br>4.000%, with various maturities from 2024 to 2042(e) |  | 116594 |
| 33889 | FHLMC, <br>4.500%, with various maturities from 2025 to 2034(e) |  | 33596 |
| 1728 | FHLMC, <br>5.500%, 10/01/2023 |  | 1721 |
| 114270 | FHLMC, <br>6.500%, 12/01/2034 |  | 118542 |
| 33 | FHLMC, <br>7.500%, 6/01/2026 |  | 33 |
| 79282 | FNMA, <br>3.000%, 3/01/2042 |  | 72140 |
| 567624 | FNMA, <br>5.000%, with various maturities from 2037 to 2038(e) |  | 579652 |
| 178687 | FNMA, <br>5.500%, with various maturities from 2023 to 2033(e) |  | 180375 |
| 136275 | FNMA, <br>6.500%, with various maturities from 2032 to 2037(e) |  | 140455 |
| 28621 | FNMA, <br>7.500%, with various maturities from 2030 to 2032(e) |  | 29027 |

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| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  | **Mortgage Related – continued** | **Mortgage Related – continued** | **Mortgage Related – continued** |
| $25466 | GNMA, <br>4.140%, 12/20/2061(b) | $| 24750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14174 | GNMA, <br>4.317%, 8/20/2061(b) |  | 13863 |
| 13231 | GNMA, <br>4.390%, 12/20/2062(b) |  | 12889 |
| 168063 | GNMA, <br>4.435%, 7/20/2063(b) |  | 164431 |
| 2072101 | GNMA, <br>4.465%, 10/20/2065(b) |  | 2030417 |
| 1009355 | GNMA, <br>4.586%, 2/20/2066(b) |  | 994223 |
| 1581748 | GNMA, <br>4.593%, 3/20/2064(b) |  | 1569139 |
| 164248 | GNMA, <br>4.606%, 1/20/2064(b) |  | 162454 |
| 6884 | GNMA, <br>4.621%, 2/20/2062(b) |  | 6399 |
| 50841 | GNMA, <br>4.630%, with various maturities from 2062 to 2063(b)(e) |  | 49219 |
| 2426 | GNMA, <br>4.641%, 8/20/2062(b) |  | 2387 |
| &nbsp;&nbsp;&nbsp;&nbsp;1432347 | GNMA, <br>4.683%, 11/20/2063(b) |  | 1420688 |
| 379002 | GNMA, <br>4.700%, with various maturities from 2061 to 2064(b)(e) |  | 372375 |
| 1265618 | GNMA, <br>1-month LIBOR + 1.746%, 4.861%, 2/20/2061(a) |  | 1280080 |
| 1975 | GNMA, <br>4.891%, 4/20/2061(b) |  | 1913 |
| 907722 | GNMA, <br>1-month LIBOR + 1.890%, 4.970%, 2/20/2063(a) |  | 921964 |
| 613018 | GNMA, <br>1-month LIBOR + 2.139%, 5.205%, 3/20/2063(a) |  | 626284 |
| 531020 | GNMA, <br>1-month LIBOR + 2.205%, 5.285%, 5/20/2065(a) |  | 542963 |
| 536191 | GNMA, <br>1-month LIBOR + 2.244%, 5.324%, 6/20/2065(a) |  | 552315 |
| 464076 | GNMA, <br>1-month LIBOR + 2.336%, 5.413%, 2/20/2063(a) |  | 473264 |
| 5125 | GNMA, <br>6.000%, 12/15/2031 |  | 5359 |
| 22914 | GNMA, <br>6.500%, 5/15/2031 |  | 23604 |
| 21665 | GNMA, <br>7.000%, 10/15/2028 |  | 21925 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;12559595 |
|  | **Non-Agency Commercial Mortgage-Backed Securities – 4.1%** | **Non-Agency Commercial Mortgage-Backed Securities – 4.1%** | **Non-Agency Commercial Mortgage-Backed Securities – 4.1%** |
| 1595000 | BANK, Series 2020-BN25, Class A5, <br>2.649%, 1/15/2063 |  | 1355523 |
| 3895000 | Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class A, <br>1-month LIBOR + 2.140%, 6.458%, 10/15/2037, 144A(a) |  | 3759055 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br>Amount** | **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
|  **Bonds and Notes – continued** | **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  |  | **Non-Agency Commercial Mortgage-Backed Securities – continued** | **Non-Agency Commercial Mortgage-Backed Securities – continued** | **Non-Agency Commercial Mortgage-Backed Securities – continued** |
| $| 1825000 | BPR Trust, Series 2021-NRD, Class A, <br>1-month SOFR + 1.525%, 5.851%, 12/15/2038, 144A(a) | $| 1698165 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4650000 | BPR Trust, Series 2022-SSP, Class A, <br>1-month SOFR + 3.000%, 7.336%, 5/15/2039, 144A(a) |  | 4557618 |
|  | 1745000 | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3, <br>3.839%, 12/10/2054 |  | 1625496 |
|  | 1248273 | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, <br>3.400%, 10/05/2030, 144A |  | 1070254 |
|  | 1488000 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, <br>3.961%, 3/10/2047 |  | 1454233 |
|  | 2590923 | Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, <br>3.550%, 2/10/2049 |  | 2507977 |
|  | 2570000 | DROP Mortgage Trust, Series 2021-FILE, Class A, <br>1-month LIBOR + 1.150%, 5.470%, 10/15/2043, 144A(a) |  | 2447469 |
|  | 2600000 | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, <br>3.914%, 8/05/2034, 144A |  | 2312820 |
|  | 3295000 | SPGN Mortgage Trust, Series 2022-TFLM. Class A, <br>1-month SOFR + 1.550%, 5.886%, 2/15/2039, 144A(a) |  | 3118597 |
|  | 3279464 | Starwood Retail Property Trust, Series 2014-STAR, Class A, <br>1-month LIBOR + 1.470%, 5.788%, 11/15/2027, 144A(a) |  | 2271029 |
|  |  |  |  | 28178236 |
|  |  | **Treasuries – 28.1%** | **Treasuries – 28.1%** | **Treasuries – 28.1%** |
|  | 7425000 | U.S. Treasury Note, <br>0.375%, 9/30/2027 |  | 6259623 |
|  | 3725000 | U.S. Treasury Note, <br>1.875%, 2/28/2027 |  | 3411576 |
|  | 9515000 | U.S. Treasury Note, <br>2.750%, 4/30/2027 |  | 9016949 |
|  | 71120000 | U.S. Treasury Note, <br>2.750%, 2/15/2028 |  | 66872247 |
|  | 27490000 | U.S. Treasury Note, <br>2.750%, 8/15/2032 |  | 25033081 |
|  | 26990000 | U.S. Treasury Note, <br>3.875%, 11/30/2027 |  | 26842399 |
|  | 4820000 | U.S. Treasury Note, <br>3.875%, 12/31/2027 |  | 4792134 |
|  | 5270000 | U.S. Treasury Note, <br>4.125%, 10/31/2027 |  | 5289351 |
|  | 47260000 | U.S. Treasury Note, <br>4.250%, 12/31/2024 |  | 47095698 |
|  |  |  |  | 194613058 |
|  |  | Total Bonds and Notes <br>(Identified Cost $679,761,267) |  | 654203811 |
|  **Short-Term Investments – 14.5%** | **Short-Term Investments – 14.5%** | **Short-Term Investments – 14.5%** |  |  |
|  | 6666135 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $6,667,468 on 1/03/2023 collateralized by $3,376,300 U.S. Treasury Inflation Indexed Bond, 3.625% due 4/15/2028 valued at $6,799,497 including accrued interest(f) |  | 6666135 |
|  | 66250000 | U.S. Treasury Bills, <br>3.431%-3.672%, 1/03/2023(g)(h) |  | 66250000 |
|  | 27340000 | U.S. Treasury Bills, <br>3.322%-3.488%, 1/10/2023(g)(h) |  | 27320768 |

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------

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| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
|  | Total Short-Term Investments <br>(Identified Cost $100,223,533) | $100236903 |
|  | Total Investments – 109.1% <br>(Identified Cost $779,984,800) | 754440714 |
|  | Other assets less liabilities – (9.1)% | (62962389) |
|  | Net Assets – 100.0% | $691478325 |

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| | |
|:---|:---|
| (†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available 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 Board's oversight.  |

---

Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Shares of open-end investment companies are valued at net asset value per share.

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 independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the 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 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 by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service 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 service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment.

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 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 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 disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund's investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund's net asset value ("NAV") is calculated. Fair valuation by 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 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 not always result in adjustments to the prices of investments held by a Fund.

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 currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(a) Variable rate security. Rate as of December 31, 2022 is disclosed.

(b) Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest
rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or
caps. Rate as of December 31, 2022 is disclosed.

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

(d) Interest only security. Security represents right to receive monthly interest payments on an underlying pool of
mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.

(e) The Fund's investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal
National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of
presentation in the Portfolio of Investments.

(f) 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, 2022, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

------

(g) Interest rate represents discount rate at time of purchase; not a coupon rate.

(h) The Fund's investment in U.S. Government/Agency securities is comprised of various lots with differing
discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

---

| | |
|:---|:---|
| 144A | 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, 2022, the value of Rule 144A holdings amounted to $49,884,927 or 7.2% of net assets. |
| ABS | Asset-Backed Securities |
| ARMs | Adjustable Rate Mortgages |
| CMT | Constant Maturity Treasury |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GNMA | Government National Mortgage Association |
| LIBOR | London Interbank Offered Rate |
| MTA | Monthly Treasury Average Interest |
| REMIC | Real Estate Mortgage Investment Conduit |
| 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 the Fund's assets or liabilities. These inputs are summarized in the three broad levels listed below:

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

&nbsp;&nbsp;&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;&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 the 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, 2022, at value:

**Asset Valuation Inputs** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Bonds and Notes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | $— | $96694438 | $4632776 | $101327214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Bonds and Notes\* |  | 552876597 |  | 552876597 |
|  Total Bonds and Notes |  | 649571035 | 4632776 | 654203811 |
|  Short-Term Investments |  | 100236903 |  | 100236903 |
|  Total | $— | $749807938 | $4632776 | $754440714 |

---

\* Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments.

------

The Fund's pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund's adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund's adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

------

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2022 and/or December 31, 2022:

**Asset Valuation Inputs** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Investments in<br>Securities | Balance as of<br>September 30,<br>2022 | Accrued<br>Discounts<br>(Premiums) | Realized<br>Gain<br>(Loss) | Change in<br>Unrealized<br>Appreciation<br>(Depreciation) | Purchases | Sales | Transfers into<br>Level 3 | Transfers out of<br>Level 3 | Balance as of<br>December 31, 2022 | Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from Investments<br>Still Held at<br>December 31, 2022 |
|  Bonds and Notes |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br>Obligations | $3867800 | $— | $(11662) | $(23306) | $64 | $(205652) | $1005532 | $— | $4632776 | $(35964) |

---

A debt security valued at $1,005,532 was transferred from Level 2 to Level 3 during the period ended December 31, 2022. At September 30, 2022, this security was 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, 2022, this security was fair valued as determined by the Fund's valuation designee as an independent pricing service did not provide a reliable price for the security.

------

Industry Summary at December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
|  Agency Commercial Mortgage-Backed Securities | 38.1% |
|  Treasuries | 28.1 |
|  Collateralized Mortgage Obligations | 14.7 |
|  Non-Agency Commercial Mortgage-Backed Securities | 4.1 |
|  ABS Car Loan | 3.4 |
|  Hybrid ARMs | 2.7 |
|  Other Investments, less than 2% each | 3.5 |
|  Short-Term Investments | 14.5 |
|  Total Investments | 109.1 |
|  Other assets less liabilities | (9.1) |
|  Net Assets | 100.0% |

---

## 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:** 2023-09-30

- **b. Date as of which information is reported:** 2022-12-31

**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:** $758642327.47

**Total Liabilities:** $69847969.39

**Net Assets:** $688794358.08

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1047.63000000 | **1-Year:** -6265.54000000 | **5-Year:** -12898.94000000 | **10-Year:** -3115.51000000 | **30-Year:** 0.00000000

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

- **3-Month:** -349.72000000 | **1-Year:** -4935.27000000 | **5-Year:** -8421.49000000 | **10-Year:** -5926.56000000 | **30-Year:** -1551.50000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000018241 | -0.52%               | 0.92%                | 0.02%                |
| Class ID C000182250 | -0.52%               | 1.10%                | 0.12%                |
| Class ID C000018239 | -0.46%               | 0.98%                | 0.09%                |
| Class ID C000018242 | -0.53%               | 1.00%                | 0.11%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6559458.15             | $1300293.42                                |
| Month 2  | $-1973207.79             | $7507258.12                                |
| Month 3  | $-2203543.29             | $1309215.46                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWJ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2855000 | PA      | $2804617.82   | 0.41%             | 2030-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                            | CUSIP: 3136A6VQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1132512 | PA      | $1101668.08   | 0.16%             | 2042-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                        | CUSIP: 31283GRK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        33 | PA      | $33.25        | 0.00%             | 2026-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31403CY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86248 | PA      | $87478.51     | 0.01%             | 2035-11-01      | Floating      | 3.79%                 | 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        |    778976 | PA      | $759776.22    | 0.11%             | 2030-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38380L7U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7739105 | PA      | $7614721.83   | 1.11%             | 2070-04-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust 2020-2 | GM Financial Consumer Automobile Receivables Trust 2020-2    | CUSIP: 36258VAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    142794 | PA      | $141052.96    | 0.02%             | 2024-12-16      | Fixed         | 1.49%                 | 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      | $569288.67    | 0.08%             | 2034-06-12      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    290623 | PA      | $288608.31    | 0.04%             | 2062-08-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                                       | CNH Equipment Trust 2020-A                                   | CUSIP: 12597PAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150897 | PA      | $148716.11    | 0.02%             | 2025-06-16      | Fixed         | 1.16%                 | 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        |   8490905 | PA      | $8284015.39   | 1.20%             | 2028-08-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BNT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28766 | PA      | $26354.47     | 0.00%             | 2061-12-20      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Chesapeake Funding II LLC                                 | Chesapeake Funding II LLC                                    | CUSIP: 165183CJ1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    426817 | PA      | $420876.52    | 0.06%             | 2032-08-15      | Fixed         | 0.87%                 | 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        |   8000000 | PA      | $7469920.00   | 1.08%             | 2026-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31409AW21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1726 | PA      | $1769.46      | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | 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        |   2494039 | PA      | $2438583.10   | 0.35%             | 2028-01-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | United States Treasury Note/Bond                             | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27490000 | PA      | $25033081.25  | 3.63%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31414EWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304421 | PA      | $300971.03    | 0.04%             | 2038-07-01      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | United States Treasury Note/Bond                             | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9515000 | PA      | $9016949.22   | 1.31%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 3140J5FU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    822376 | PA      | $834076.92    | 0.12%             | 2040-12-01      | Floating      | 3.48%                 | 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        |    657363 | PA      | $646948.60    | 0.09%             | 2027-08-25      | Floating      | 4.43%                 | 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        |   3616861 | PA      | $3568810.90   | 0.52%             | 2030-05-25      | Floating      | 4.30%                 | 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        |  10114311 | PA      | $10103165.46  | 1.47%             | 2027-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31403GKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2952 | PA      | $3036.83      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31371L3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1457 | PA      | $1532.53      | 0.00%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                | Navient Private Education Refi Loan Trust 2020-D             | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    523485 | PA      | $471476.13    | 0.07%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38374BQR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82338 | PA      | $80353.21     | 0.01%             | 2045-11-16      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                                | FIXED INC CLEARING CORP.REPO                                 | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   6666135 | PA      | $6666134.78   | 0.97%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                        | CUSIP: 3128MB4Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1728 | PA      | $1720.94      | 0.00%             | 2023-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31400WUJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46086 | PA      | $45475.43     | 0.01%             | 2033-04-01      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36297E2D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1975 | PA      | $1912.63      | 0.00%             | 2061-04-20      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FREB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19388 | PA      | $19230.93     | 0.00%             | 2025-02-25      | Fixed         | 1.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5NT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77697 | PA      | $76610.75     | 0.01%             | 2038-11-01      | Floating      | 3.88%                 | 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        |    596730 | PA      | $583886.17    | 0.08%             | 2030-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FJY29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1255062 | PA      | $1235926.26   | 0.18%             | 2025-10-25      | Floating      | 4.53%                 | 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        |    982926 | PA      | $861031.99    | 0.13%             | 2053-03-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31412CBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123102 | PA      | $126513.31    | 0.02%             | 2036-08-01      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 3138EHMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112823 | PA      | $110904.47    | 0.02%             | 2033-10-01      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31371J7C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9043 | PA      | $9317.50      | 0.00%             | 2031-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 3138AH2T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113319 | PA      | $110519.48    | 0.02%             | 2041-12-01      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38376RYM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    929055 | PA      | $921208.94    | 0.13%             | 2066-09-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 3138EJZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20131 | PA      | $19770.44     | 0.00%             | 2041-07-01      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                            | CUSIP: 36225BND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22914 | PA      | $23603.58     | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4WG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80286 | PA      | $78940.72     | 0.01%             | 2038-11-01      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BLH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23657 | PA      | $23530.21     | 0.00%             | 2061-02-20      | Floating      | 4.44%                 | 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        |  24224552 | PA      | $24224498.76  | 3.52%             | 2030-03-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    519245 | PA      | $514083.32    | 0.07%             | 2060-10-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36177X4K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47433 | PA      | $46059.26     | 0.01%             | 2063-04-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                | Navient Private Education Refi Loan Trust 2021-E             | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3932393 | PA      | $3324004.82   | 0.48%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31403G5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291519 | PA      | $301084.59    | 0.04%             | 2037-06-01      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                  | AmeriCredit Automobile Receivables Trust 2020-2              | CUSIP: 03066EAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58120 | PA      | $57917.65     | 0.01%             | 2024-12-18      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 3620E1AW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    464076 | PA      | $473264.03    | 0.07%             | 2063-02-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                        | CUSIP: 31294L6P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23061 | PA      | $23045.42     | 0.00%             | 2025-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38376RAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232024 | PA      | $229609.60    | 0.03%             | 2065-04-20      | Floating      | 4.32%                 | No            |                  2 | 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      | $2455180.89   | 0.36%             | 2027-03-25      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31418NB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274586 | PA      | $276121.38    | 0.04%             | 2037-07-01      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        89 | PA      | $84.70        | 0.00%             | 2062-05-20      | Floating      | 4.29%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31403BAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137927 | PA      | $138053.23    | 0.02%             | 2033-10-01      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375LQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    736512 | PA      | $730600.05    | 0.11%             | 2037-10-20      | Floating      | 4.87%                 | No            |                  3 | On Loan: No      |
| FannieMae Whole Loan                                      | Fannie Mae REMIC Trust 2002-W10                              | CUSIP: 31392ET59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5664 | PA      | $5189.37      | 0.00%             | 2042-08-25      | Variable      | 4.21%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31414FJD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216323 | PA      | $213282.02    | 0.03%             | 2038-08-01      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | United States Treasury Note/Bond                             | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5270000 | PA      | $5289350.81   | 0.77%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375UWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5606 | PA      | $5038.59      | 0.00%             | 2065-03-20      | Fixed         | 1.75%                 | No            |                  3 | 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        |   2105685 | PA      | $2090581.35   | 0.30%             | 2027-01-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31410F3T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29847 | PA      | $29220.39     | 0.00%             | 2037-04-01      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                | Navient Private Education Refi Loan Trust 2021-c             | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1695273 | PA      | $1446756.46   | 0.21%             | 2069-10-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 3138EGTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304456 | PA      | $310908.95    | 0.05%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac REMICS                                           | CUSIP: 31398JLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    615040 | PA      | $554157.58    | 0.08%             | 2048-06-15      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 3138EHNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388621 | PA      | $389941.88    | 0.06%             | 2037-09-01      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac REMICS                                           | CUSIP: 3137B2PW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98978 | PA      | $88029.82     | 0.01%             | 2043-06-15      | Floating      | 6.42%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31390NP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1882 | PA      | $1927.75      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac REMICS                                           | CUSIP: 31395UKP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417526 | PA      | $415390.75    | 0.06%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38380LFQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4599173 | PA      | $4491146.19   | 0.65%             | 2068-06-20      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38378DLM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2235034 | PA      | $2217256.59   | 0.32%             | 2038-09-20      | Floating      | 4.60%                 | 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        |   8905523 | PA      | $8631260.53   | 1.25%             | 2026-09-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                       | Toyota Auto Receivables 2020-A Owner Trust                   | CUSIP: 89232HAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87997 | PA      | $87482.93     | 0.01%             | 2024-05-15      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 3138EGLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123683 | PA      | $124699.71    | 0.02%             | 2034-09-01      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36177TN45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164248 | PA      | $162453.55    | 0.02%             | 2064-01-20      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                            | Fannie Mae-Aces                                              | CUSIP: 3136B8HP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2416652 | PA      | $2394363.09   | 0.35%             | 2027-01-25      | Floating      | 4.58%                 | 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        |   3919612 | PA      | $3858505.96   | 0.56%             | 2030-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38380LKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6605684 | PA      | $6413488.61   | 0.93%             | 2068-09-20      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31411KKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447104 | PA      | $442831.41    | 0.06%             | 2037-03-01      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219865 | PA      | $213777.86    | 0.03%             | 2037-06-01      | Floating      | 3.64%                 | 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      | $1625495.77   | 0.24%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust                                 | Kubota Credit Owner Trust 2020-1                             | CUSIP: 50117WAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215183 | PA      | $213846.89    | 0.03%             | 2024-03-15      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2556078 | PA      | $2528309.46   | 0.37%             | 2064-07-20      | Floating      | 4.34%                 | 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        |   2840671 | PA      | $2792233.78   | 0.41%             | 2030-06-25      | Floating      | 4.24%                 | 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        |    681585 | PA      | $669806.54    | 0.10%             | 2027-10-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36193DHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1009355 | PA      | $994223.13    | 0.14%             | 2066-02-20      | Variable      | 4.59%                 | 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        |   3917187 | PA      | $3516928.92   | 0.51%             | 2051-05-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36230RPD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6884 | PA      | $6398.59      | 0.00%             | 2062-02-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                                | Hudsons Bay Simon JV Trust 2015-HBS                          | CUSIP: 44422PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2312819.86   | 0.34%             | 2034-08-05      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375U6F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31416 | PA      | $31095.99     | 0.00%             | 2064-10-20      | Floating      | 4.04%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31402C2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104552 | PA      | $101748.13    | 0.01%             | 2034-04-01      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BBBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7500000 | PA      | $7357126.50   | 1.07%             | 2024-03-25      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36297E2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1238 | PA      | $1221.00      | 0.00%             | 2061-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38376RKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2961 | PA      | $2827.58      | 0.00%             | 2061-08-20      | Floating      | 4.52%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                            | CUSIP: 3136BANP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5064837 | PA      | $4956231.71   | 0.72%             | 2050-06-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac REMICS                                           | CUSIP: 31398WB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    523780 | PA      | $513583.22    | 0.07%             | 2036-12-15      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36178FK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168063 | PA      | $164431.18    | 0.02%             | 2063-07-20      | Variable      | 4.43%                 | 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      | $6259545.34   | 0.91%             | 2030-11-25      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                        | CUSIP: 3128PQQW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20437 | PA      | $19969.21     | 0.00%             | 2024-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31410KSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458946 | PA      | $462848.36    | 0.07%             | 2035-07-01      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31403LGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1714 | PA      | $1764.00      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BVS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1110697 | PA      | $1107645.59   | 0.16%             | 2062-07-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 3138ECC50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79282 | PA      | $72139.99     | 0.01%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36176HMD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2426 | PA      | $2386.64      | 0.00%             | 2062-08-20      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BJK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338163 | PA      | $334866.15    | 0.05%             | 2060-12-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31402LJ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52401 | PA      | $51775.85     | 0.01%             | 2033-08-01      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                       | Exeter Automobile Receivables Trust 2022-5                   | CUSIP: 30167FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2735000 | PA      | $2724730.35   | 0.40%             | 2026-04-15      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4E94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432301 | PA      | $436364.36    | 0.06%             | 2035-09-01      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | United States Treasury Note/Bond                             | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19965000 | PA      | $19849577.34  | 2.88%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 3620E0KH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1265618 | PA      | $1280079.85   | 0.19%             | 2061-02-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147605 | PA      | $146795.84    | 0.02%             | 2037-04-01      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38376ETM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211313 | PA      | $210124.21    | 0.03%             | 2059-11-20      | Floating      | 5.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38378H4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25282 | PA      | $24465.27     | 0.00%             | 2032-07-20      | Variable      | 6.50%                 | No            |                  3 | 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        |    223849 | PA      | $219581.72    | 0.03%             | 2030-08-25      | Floating      | 4.44%                 | 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        |   7124036 | PA      | $6700300.47   | 0.97%             | 2027-07-25      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38374KVF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    978488 | PA      | $963012.48    | 0.14%             | 2035-02-20      | Floating      | 4.55%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31406L4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302267 | PA      | $301129.72    | 0.04%             | 2036-01-01      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | United States Treasury Note/Bond                             | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7425000 | PA      | $6259623.08   | 0.91%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                       | Commercial Mortgage Pass Through Certificates                | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1248273 | PA      | $1070253.87   | 0.16%             | 2030-10-05      | Fixed         | 3.40%                 | 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        |    675000 | PA      | $659919.69    | 0.10%             | 2029-07-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36176RA85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25466 | PA      | $24750.37     | 0.00%             | 2061-12-20      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FGZ99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7288202 | PA      | $7104044.11   | 1.03%             | 2025-12-25      | Fixed         | 3.80%                 | 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        |   1054948 | PA      | $1036968.49   | 0.15%             | 2027-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 31300L5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282545 | PA      | $287557.77    | 0.04%             | 2038-09-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36177TNH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13003 | PA      | $11838.56     | 0.00%             | 2063-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31416BT24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248679 | PA      | $251059.61    | 0.04%             | 2035-07-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36297E2R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19585 | PA      | $19327.74     | 0.00%             | 2061-08-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac REMICS                                           | CUSIP: 312915G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1210 | PA      | $1171.54      | 0.00%             | 2023-05-15      | Floating      | 4.03%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31409VJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51757 | PA      | $51526.20     | 0.01%             | 2036-09-01      | Floating      | 3.93%                 | 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        |   3140000 | PA      | $3077583.08   | 0.45%             | 2030-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31419AQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    873079 | PA      | $879396.64    | 0.13%             | 2034-04-01      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36230KSC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14174 | PA      | $13863.26     | 0.00%             | 2061-08-20      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                            | CUSIP: 31394URQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33766 | PA      | $32516.46     | 0.00%             | 2025-11-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Sierra Receivables Funding Co LLC                         | Sierra Timeshare 2020-2 Receivables Funding LLC              | CUSIP: 826525AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    613452 | PA      | $577000.72    | 0.08%             | 2037-07-20      | Fixed         | 1.33%                 | 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        |  19108648 | PA      | $16820886.09  | 2.44%             | 2031-10-25      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31406AGS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98541 | PA      | $96484.82     | 0.01%             | 2034-12-01      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                            | Fannie Mae-Aces                                              | CUSIP: 3136AJDU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2796678 | PA      | $2749969.94   | 0.40%             | 2023-12-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31390TZ77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15299 | PA      | $15331.00     | 0.00%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31403GDV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1920 | PA      | $1970.67      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                            | CUSIP: 3136AFEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840298 | PA      | $1648326.12   | 0.24%             | 2043-07-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1888953 | PA      | $1888148.83   | 0.27%             | 2069-08-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31391WRV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149938 | PA      | $151754.76    | 0.02%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31407JTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86330 | PA      | $85060.66     | 0.01%             | 2035-08-01      | Floating      | 3.80%                 | 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      | $4135013.39   | 0.60%             | 2035-04-25      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                            | CUSIP: 36207KEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21665 | PA      | $21925.42     | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 3620E1CU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    613018 | PA      | $626283.90    | 0.09%             | 2063-03-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31410QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137481 | PA      | $138293.02    | 0.02%             | 2035-05-01      | Floating      | 3.49%                 | 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        |  16952321 | PA      | $16529377.35  | 2.40%             | 2028-09-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31407RP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133474 | PA      | $131026.34    | 0.02%             | 2035-08-01      | Floating      | 4.22%                 | 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        |   7689993 | PA      | $7670252.03   | 1.11%             | 2027-02-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | United States Treasury Note/Bond                             | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  71120000 | PA      | $66872247.05  | 9.71%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85877 | PA      | $84165.25     | 0.01%             | 2038-09-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38376RFW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47898 | PA      | $47045.99     | 0.01%             | 2065-07-20      | Floating      | 4.14%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36176HMK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13231 | PA      | $12888.53     | 0.00%             | 2062-12-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31401XPH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189259 | PA      | $187075.21    | 0.03%             | 2033-06-01      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | United States Treasury Note/Bond                             | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3725000 | PA      | $3411576.19   | 0.50%             | 2027-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                            | Hyundai Auto Receivables Trust 2020-A                        | CUSIP: 44891LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226768 | PA      | $223547.64    | 0.03%             | 2024-11-15      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38376RAZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2391 | PA      | $2283.23      | 0.00%             | 2065-04-20      | Floating      | 4.09%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31405EJP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290766 | PA      | $286260.06    | 0.04%             | 2034-08-01      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac REMICS                                           | CUSIP: 31396AXW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    610331 | PA      | $605909.06    | 0.09%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31411NP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467283 | PA      | $465823.53    | 0.07%             | 2047-02-01      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38376RBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1930543 | PA      | $1909930.43   | 0.28%             | 2065-05-20      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375UUR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3454 | PA      | $3318.66      | 0.00%             | 2061-04-20      | Floating      | 4.14%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 31300MBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    642071 | PA      | $639740.19    | 0.09%             | 2041-09-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                 | BPR Trust 2022-SSP                                           | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4650000 | PA      | $4557618.45   | 0.66%             | 2039-05-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                            | CUSIP: 3136AMRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3222823 | PA      | $3159064.16   | 0.46%             | 2045-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                   | CarMax Auto Owner Trust 2020-2                               | CUSIP: 14315VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331642 | PA      | $329401.07    | 0.05%             | 2024-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137B5KW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7715533 | PA      | $7643608.50   | 1.11%             | 2023-08-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | United States Treasury Bill                                  | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   8510000 | PA      | $8504013.81   | 1.23%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BN32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    795458 | PA      | $788280.05    | 0.11%             | 2063-03-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac REMICS                                           | CUSIP: 31397RFM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205937 | PA      | $196906.47    | 0.03%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FYUR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1398155 | PA      | $1395148.49   | 0.20%             | 2024-08-25      | Floating      | 4.00%                 | 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        |    655329 | PA      | $639803.97    | 0.09%             | 2030-07-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36176RBE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3408 | PA      | $3159.83      | 0.00%             | 2062-02-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BH39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27049 | PA      | $25892.89     | 0.00%             | 2062-12-20      | Floating      | 4.34%                 | No            |                  3 | On Loan: No      |
| Ford Credit Auto Owner Trust                              | Ford Credit Auto Owner Trust 2020-A                          | CUSIP: 34528GAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132019 | PA      | $130805.76    | 0.02%             | 2024-08-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| PenFed Auto Receivables Owner Trust                       | PenFed Auto Receivables Owner Trust 2022-A                   | CUSIP: 706874AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $602169.42    | 0.09%             | 2028-12-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                        | Honda Auto Receivables 2020-1 Owner Trust                    | CUSIP: 43813RAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96653 | PA      | $95760.90     | 0.01%             | 2024-04-22      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31385WZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       881 | PA      | $902.77       | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | United States Treasury Note/Bond                             | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47260000 | PA      | $47095697.77  | 6.84%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31418MS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    823897 | PA      | $839201.87    | 0.12%             | 2033-11-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31386DT42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4279 | PA      | $4377.65      | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36198NVQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    306050 | PA      | $302810.36    | 0.04%             | 2064-05-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Donlen Fleet Lease Funding                                | Donlen Fleet Lease Funding 2 LLC                             | CUSIP: 257812AD9<br>LEI: 549300ZWUQETU54FDP26 | Long             | ABS-O            | CORP              | US        |   1239202 | PA      | $1197485.78   | 0.17%             | 2034-12-11      | Fixed         | 0.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38382EHC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3478056 | PA      | $3306274.55   | 0.48%             | 2046-05-20      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                            | CUSIP: 3136A7YW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3024416 | PA      | $2948898.36   | 0.43%             | 2042-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 3617A5D44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2072101 | PA      | $2030417.22   | 0.29%             | 2065-10-20      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38380L2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4109616 | PA      | $4043912.29   | 0.59%             | 2069-06-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38380LU50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3600573 | PA      | $3548896.56   | 0.52%             | 2070-01-20      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                        | CUSIP: 31297ANS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10828 | PA      | $10550.69     | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38376RAC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3492931 | PA      | $3367888.89   | 0.49%             | 2065-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31416BPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229984 | PA      | $229725.30    | 0.03%             | 2036-06-01      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31411JPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178424 | PA      | $175077.97    | 0.03%             | 2037-02-01      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41569 | PA      | $40941.99     | 0.01%             | 2037-12-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                       | COMM 2016-DC2 Mortgage Trust                                 | CUSIP: 12594CBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2590923 | PA      | $2507977.05   | 0.36%             | 2049-02-10      | Fixed         | 3.55%                 | 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        |   1865000 | PA      | $1697815.62   | 0.25%             | 2028-03-10      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20465 | PA      | $20635.20     | 0.00%             | 2037-02-01      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 31342AXY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    226347 | PA      | $222184.25    | 0.03%             | 2033-07-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38380QBX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7767762 | PA      | $7712820.27   | 1.12%             | 2070-05-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38380LX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3133765 | PA      | $3122600.51   | 0.45%             | 2070-01-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LUJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447332 | PA      | $448083.24    | 0.07%             | 2036-02-01      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 3138AR6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809205 | PA      | $817926.64    | 0.12%             | 2041-10-01      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375UMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3029049 | PA      | $2998927.03   | 0.44%             | 2064-07-20      | Floating      | 3.64%                 | 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        |   5055821 | PA      | $4972739.08   | 0.72%             | 2030-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Bank                                                      | BANK 2020-BNK25                                              | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1595000 | PA      | $1355523.35   | 0.20%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                         | Credit Acceptance Auto Loan Trust 2020-3                     | CUSIP: 22536BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7901415 | PA      | $7738287.48   | 1.12%             | 2029-10-15      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQ40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    763041 | PA      | $771293.04    | 0.11%             | 2036-02-01      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 3138EHAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263168 | PA      | $268743.40    | 0.04%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                            | CUSIP: 31359HYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3554 | PA      | $3426.33      | 0.00%             | 2024-04-25      | Floating      | 3.25%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36176HLX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10871 | PA      | $9757.34      | 0.00%             | 2062-11-20      | Variable      | 4.70%                 | 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        |  24224552 | PA      | $24210184.47  | 3.51%             | 2030-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60442 | PA      | $59507.18     | 0.01%             | 2038-03-01      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1734615 | PA      | $1717369.68   | 0.25%             | 2065-02-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                       | Toyota Auto Receivables 2020-B Owner Trust                   | CUSIP: 89239RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196811 | PA      | $194740.52    | 0.03%             | 2024-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                            | CUSIP: 31393CLX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583202 | PA      | $586432.84    | 0.09%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                        | CUSIP: 3128PWV21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15015 | PA      | $14555.09     | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4C54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276429 | PA      | $278795.50    | 0.04%             | 2036-03-01      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263671 | PA      | $261080.63    | 0.04%             | 2044-10-25      | Floating      | 3.25%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    614401 | PA      | $608428.89    | 0.09%             | 2060-10-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| 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      | $3099295.08   | 0.45%             | 2028-08-21      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36176HLJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7894 | PA      | $7261.04      | 0.00%             | 2062-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31406CC22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108521 | PA      | $111212.28    | 0.02%             | 2034-10-01      | Fixed         | 6.50%                 | 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        |    587006 | PA      | $578705.58    | 0.08%             | 2027-08-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr         | GM Financial Consumer Automobile Receivables Trust 2020-1    | CUSIP: 36258NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    177213 | PA      | $176028.49    | 0.03%             | 2024-09-16      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                | Navient Private Education Refi Loan Trust 2019-F             | CUSIP: 63935CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1678917 | PA      | $1556241.83   | 0.23%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38376RSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3382794 | PA      | $3334273.95   | 0.48%             | 2066-02-20      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC                      | SoFi Professional Loan Program 2016-D LLC                    | CUSIP: 83404LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13999 | PA      | $13960.46     | 0.00%             | 2039-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38382DYY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1826056 | PA      | $1756442.48   | 0.26%             | 2048-04-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BU42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    960492 | PA      | $952141.96    | 0.14%             | 2063-03-20      | Floating      | 4.24%                 | 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        |   7060382 | PA      | $7034049.32   | 1.02%             | 2026-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41084 | PA      | $40504.19     | 0.01%             | 2037-01-01      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    417360 | PA      | $413861.10    | 0.06%             | 2061-02-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                        | CUSIP: 31283H6S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114270 | PA      | $118542.06    | 0.02%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LUP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1275335 | PA      | $1294188.96   | 0.19%             | 2037-03-01      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31412NSX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14278 | PA      | $14195.61     | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac REMICS                                           | CUSIP: 3133T0YC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1520 | PA      | $1469.32      | 0.00%             | 2023-08-15      | Floating      | 3.14%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38376RU61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2322065 | PA      | $2288227.33   | 0.33%             | 2067-02-20      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae I Pool                                            | CUSIP: 36200WT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5125 | PA      | $5358.77      | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                            | CUSIP: 31397ME86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568611 | PA      | $534018.20    | 0.08%             | 2038-08-25      | Variable      | 3.42%                 | 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        |   3279464 | PA      | $2271028.80   | 0.33%             | 2027-11-15      | Floating      | 5.79%                 | 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        |    791211 | PA      | $781790.12    | 0.11%             | 2027-06-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31419A6G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125462 | PA      | $126684.07    | 0.02%             | 2036-11-01      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36198NVW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1581748 | PA      | $1569138.79   | 0.23%             | 2064-03-20      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 3140HRRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $5032640.91   | 0.73%             | 2026-01-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                                            | MVW 2020-1 LLC                                               | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    384478 | PA      | $350129.30    | 0.05%             | 2037-10-20      | Fixed         | 1.74%                 | 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        |    567681 | PA      | $559783.84    | 0.08%             | 2027-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Nissan Auto Receivables Owner Trust                       | Nissan Auto Receivables 2020-A Owner Trust                   | CUSIP: 65479MAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612607 | PA      | $603856.82    | 0.09%             | 2024-12-16      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375B7T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3489118 | PA      | $3484564.81   | 0.51%             | 2063-04-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                  | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31394XVP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5122 | PA      | $4259.76      | 0.00%             | 2044-03-25      | Variable      | 3.61%                 | No            |                  3 | On Loan: No      |
| Flagship Credit Auto Trust                                | Flagship Credit Auto Trust 2020-3                            | CUSIP: 33844TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2807 | PA      | $2803.11      | 0.00%             | 2025-04-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 3138EHMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1367743 | PA      | $1388895.32   | 0.20%             | 2034-10-01      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38380LRU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6112877 | PA      | $5748638.19   | 0.83%             | 2068-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31404ADY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14471 | PA      | $14424.13     | 0.00%             | 2023-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | United States Treasury Bill                                  | CUSIP: 912796ZH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  66250000 | PA      | $66250000.00  | 9.62%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                       | Comm 2014-UBS2 Mortgage Trust                                | CUSIP: 12591UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1488000 | PA      | $1454232.67   | 0.21%             | 2047-03-10      | Fixed         | 3.96%                 | 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      | $9938518.16   | 1.44%             | 2028-11-25      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| Welk Resorts LLC                                          | Welk Resorts 2019-A LLC                                      | CUSIP: 94946DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    761286 | PA      | $711462.88    | 0.10%             | 2038-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                    | United States Treasury Note/Bond                             | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31785000 | PA      | $31611175.78  | 4.59%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust 2020-1               | Toyota Auto Loan Extended Note Trust 2020-1                  | CUSIP: 89237JAA4<br>LEI: 549300XP7ILZSI1BWP36 | Long             | ABS-O            | CORP              | US        |    765000 | PA      | $698870.34    | 0.10%             | 2033-05-25      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31404FAG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94270 | PA      | $94866.17     | 0.01%             | 2034-03-01      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Gold Pool                                        | CUSIP: 3128M87E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100503 | PA      | $96625.35     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC               | BBCMS 2020-BID Mortgage Trust                                | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3895000 | PA      | $3759055.15   | 0.55%             | 2037-10-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36177TN29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1432347 | PA      | $1420688.38   | 0.21%             | 2063-11-20      | Variable      | 4.68%                 | 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        |   8515000 | PA      | $8396772.63   | 1.22%             | 2029-08-25      | Floating      | 4.79%                 | 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      | $15642865.50  | 2.27%             | 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: 3137FKJH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1260335 | PA      | $1247081.28   | 0.18%             | 2045-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2789 | PA      | $2677.15      | 0.00%             | 2065-10-20      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BZY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14953 | PA      | $14261.63     | 0.00%             | 2062-10-20      | Floating      | 4.34%                 | No            |                  3 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr         | GM Financial Consumer Automobile Receivables Trust 2019-4    | CUSIP: 36258MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56414 | PA      | $56296.46     | 0.01%             | 2024-07-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128121 | PA      | $127055.49    | 0.02%             | 2063-05-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                 | BPR Trust 2021-NRD                                           | CUSIP: 05592CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1825000 | PA      | $1698164.69   | 0.25%             | 2038-12-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.          | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137B5JM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7862871 | PA      | $7794634.05   | 1.13%             | 2023-07-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38375BNA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32523 | PA      | $32312.36     | 0.00%             | 2061-09-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                            | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302640 | PA      | $294867.72    | 0.04%             | 2037-07-25      | Floating      | 3.82%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36185KDJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    536191 | PA      | $552315.46    | 0.08%             | 2065-06-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154058 | PA      | $152003.88    | 0.02%             | 2034-12-01      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QLUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239641 | PA      | $235335.34    | 0.03%             | 2036-04-01      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36186QVP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    531020 | PA      | $542963.49    | 0.08%             | 2065-05-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31419AMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474309 | PA      | $480656.96    | 0.07%             | 2037-09-01      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Government National Mortgage Association                     | CUSIP: 38380LKG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103407 | PA      | $102268.61    | 0.01%             | 2068-09-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 3620E1AY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    907722 | PA      | $921963.72    | 0.13%             | 2063-02-20      | Floating      | 4.97%                 | 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      | $3118597.23   | 0.45%             | 2039-02-15      | Floating      | 5.89%                 | 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      | $2447469.08   | 0.36%             | 2043-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac REMICS                                           | CUSIP: 3133TK5Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48548 | PA      | $47043.38     | 0.01%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 31326NF55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1342591 | PA      | $1351192.14   | 0.20%             | 2046-01-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5GE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148314 | PA      | $145282.57    | 0.02%             | 2037-04-01      | Floating      | 2.45%                 | 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        |   3245439 | PA      | $3169095.97   | 0.46%             | 2030-12-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31406XSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61189 | PA      | $60617.08     | 0.01%             | 2035-06-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae REMICS                                            | CUSIP: 3136A6JW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1371225 | PA      | $1340750.97   | 0.19%             | 2042-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31410KSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649549 | PA      | $653894.14    | 0.09%             | 2037-04-01      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                               | Freddie Mac Non Gold Pool                                    | CUSIP: 31349ULH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83441 | PA      | $84085.35     | 0.01%             | 2035-02-01      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                | Fannie Mae Pool                                              | CUSIP: 31410GTH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15222 | PA      | $16338.44     | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                  | Ginnie Mae II Pool                                           | CUSIP: 36230KR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20361 | PA      | $20159.35     | 0.00%             | 2061-08-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-27

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

**Signature:** John Sgroi

**Name of Signer:** John Sgroi

**Title:** Assistant Treasurer