# EDGAR Filing Document

**Accession Number:** 0000872649
**File Stem:** 0001410368-26-056135
**Filing Date:** 2026-5
**Character Count:** 108841
**Document Hash:** ba570861c186a1ef544f427d4ecb6e9a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-056135.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001410368-26-056135

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260930

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06241
- **FILM NUMBER:** 261041116

**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           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

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

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2026-03-31

**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:** $659563538.98

**Total Liabilities:** $2747671.26

**Net Assets:** $656815867.72

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -313.26000000 | **1-Year:** -7408.73000000 | **5-Year:** -7860.37000000 | **10-Year:** -322.61000000 | **30-Year:** -6.65000000

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

- **3-Month:** -688.16000000 | **1-Year:** -14754.72000000 | **5-Year:** -26342.66000000 | **10-Year:** -3411.34000000 | **30-Year:** -1697.23000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000018239 | 0.19%                | 0.71%                | -0.63%               |
| Class ID C000018241 | 0.12%                | 0.66%                | -0.61%               |
| Class ID C000018242 | 0.21%                | 0.82%                | -0.61%               |
| Class ID C000182250 | 0.21%                | 0.74%                | -0.52%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-75551.12               | $-559445.40                                |
| Month 2  | $166348.93               | $3050844.21                                |
| Month 3  | $-288264.71              | $-5421114.32                               |

### Schedule of Portfolio Investments

| Name                                             | Title                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Avis Budget Rental Car Funding AESOP LLC         | Avis Budget Rental Car Funding AESOP LLC                     | CUSIP: 05377REZ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3220000 | PA      | $3202279.05   | 0.49%             | 2028-08-21      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2021-NRD                                           | CUSIP: 05592CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1825000 | PA      | $1814359.16   | 0.28%             | 2038-12-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2022-SSP                                           | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4650000 | PA      | $4650000.00   | 0.71%             | 2039-05-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2023-5YR4                                              | CUSIP: 06211FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740100 | PA      | $768605.52    | 0.12%             | 2056-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2020-BNK25                                              | CUSIP: 06539WBB1<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   1595000 | PA      | $1475256.65   | 0.22%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust    | BHG Securitization Trust 2024-1CON                           | CUSIP: 08862HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225846 | PA      | $228597.22    | 0.03%             | 2035-04-17      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                  | CFCRE Commercial Mortgage Trust 2016-C7                      | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1745000 | PA      | $1734514.47   | 0.26%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | Commercial Mortgage Pass Through Certificates                | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    701585 | PA      | $696799.99    | 0.11%             | 2030-10-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                   | Carvana Auto Receivables Trust 2021-N2                       | CUSIP: 14686KAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    264338 | PA      | $261793.92    | 0.04%             | 2028-03-10      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE                    | DROP Mortgage Trust 2021-FILE                                | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2570000 | PA      | $2557150.00   | 0.39%             | 2043-10-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                      | Extended Stay America Trust 2026-ESH2                        | CUSIP: 30227WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    837124 | PA      | $837123.88    | 0.13%             | 2043-02-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31283H6S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65925 | PA      | $68027.62     | 0.01%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128M87E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71483 | PA      | $69117.81     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128PWV21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1040 | PA      | $1035.77      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QLUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46807 | PA      | $47814.29     | 0.01%             | 2036-04-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4C54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200457 | PA      | $208928.03    | 0.03%             | 2036-03-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4E94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306650 | PA      | $314979.86    | 0.05%             | 2035-09-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4WG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51291 | PA      | $52696.19     | 0.01%             | 2038-11-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5GE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120702 | PA      | $124115.28    | 0.02%             | 2037-04-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94910 | PA      | $97346.12     | 0.01%             | 2037-04-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185612 | PA      | $191567.05    | 0.03%             | 2037-06-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5NT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62578 | PA      | $63960.54     | 0.01%             | 2038-11-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47342 | PA      | $48311.47     | 0.01%             | 2038-03-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31297ANS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8174 | PA      | $8110.82      | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300L5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131497 | PA      | $135481.53    | 0.02%             | 2038-09-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQ40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378670 | PA      | $389145.12    | 0.06%             | 2036-02-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79689 | PA      | $81486.66     | 0.01%             | 2034-12-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15167 | PA      | $15575.72     | 0.00%             | 2037-12-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55220 | PA      | $56743.15     | 0.01%             | 2038-09-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LUJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275413 | PA      | $283192.73    | 0.04%             | 2036-02-01      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LUP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619931 | PA      | $644056.22    | 0.10%             | 2037-03-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300MBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165755 | PA      | $171924.57    | 0.03%             | 2041-09-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31326NF55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    605600 | PA      | $632151.14    | 0.10%             | 2046-01-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                          | Federal Home Loan Bank Discount Notes                        | CUSIP: 313385VG8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGSE             | US        |  13258000 | PA      | $13247423.03  | 2.02%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3133TK5Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16044 | PA      | $15666.24     | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31342AXY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113471 | PA      | $115954.75    | 0.02%             | 2033-07-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31349ULH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41657 | PA      | $42886.27     | 0.01%             | 2035-02-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136A6JW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    840786 | PA      | $826957.20    | 0.13%             | 2042-06-25      | Floating      | 4.33%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136A6VQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771490 | PA      | $753950.54    | 0.11%             | 2042-06-25      | Floating      | 4.23%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136A7YW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2156373 | PA      | $2134633.12   | 0.32%             | 2042-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136AFEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840298 | PA      | $1787558.84   | 0.27%             | 2043-07-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136AMRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2314279 | PA      | $2276456.72   | 0.35%             | 2045-02-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                              | CUSIP: 3136B8HP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228516 | PA      | $227890.31    | 0.03%             | 2027-01-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136BANP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2502416 | PA      | $2352118.55   | 0.36%             | 2050-06-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31371J7C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4652 | PA      | $4753.98      | 0.00%             | 2031-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31371L3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       966 | PA      | $977.65       | 0.00%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3137B2PW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98978 | PA      | $91567.80     | 0.01%             | 2043-06-15      | Floating      | 5.89%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BXQY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2580000 | PA      | $2560951.34   | 0.39%             | 2027-03-25      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F73C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156787 | PA      | $156508.06    | 0.02%             | 2027-10-25      | Floating      | 4.06%                 | 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        |    188246 | PA      | $187482.54    | 0.03%             | 2027-10-25      | Floating      | 3.98%                 | 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        |   1022471 | PA      | $1012465.18   | 0.15%             | 2030-12-25      | Floating      | 3.92%                 | 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        |   1080738 | PA      | $1076831.11   | 0.16%             | 2028-01-25      | Floating      | 3.85%                 | 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        |    302438 | PA      | $301296.56    | 0.05%             | 2026-09-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FNXD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8367073 | PA      | $8374736.75   | 1.28%             | 2029-08-25      | Floating      | 4.43%                 | 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        |   2210979 | PA      | $2188629.36   | 0.33%             | 2027-07-25      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FQ3P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6518047 | PA      | $6478898.11   | 0.99%             | 2026-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229288 | PA      | $229110.83    | 0.03%             | 2027-01-25      | Floating      | 4.20%                 | 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        |   4900667 | PA      | $4903991.44   | 0.75%             | 2027-02-25      | Floating      | 4.48%                 | 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        |   6445633 | PA      | $6475675.78   | 0.99%             | 2027-02-25      | Floating      | 4.57%                 | 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        |  14091629 | PA      | $14134945.58  | 2.15%             | 2030-03-25      | Floating      | 4.58%                 | 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        |  14091629 | PA      | $14181236.58  | 2.16%             | 2030-03-25      | Floating      | 4.67%                 | 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        |   1610242 | PA      | $1607889.99   | 0.24%             | 2030-05-25      | Floating      | 4.25%                 | 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        |   1485867 | PA      | $1487476.53   | 0.23%             | 2030-05-25      | Floating      | 4.25%                 | 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        |   1892389 | PA      | $1888180.63   | 0.29%             | 2030-06-25      | Floating      | 4.22%                 | 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        |   1063261 | PA      | $1059939.23   | 0.16%             | 2030-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUZR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367084 | PA      | $366962.68    | 0.06%             | 2027-06-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUZS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275313 | PA      | $274941.27    | 0.04%             | 2027-06-25      | Floating      | 4.07%                 | 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        |    271805 | PA      | $271332.78    | 0.04%             | 2030-07-25      | Floating      | 4.08%                 | 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        |    228662 | PA      | $226832.69    | 0.03%             | 2030-07-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWHP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24544 | PA      | $24433.90     | 0.00%             | 2030-08-25      | Floating      | 4.08%                 | 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        |     65429 | PA      | $64939.73     | 0.01%             | 2030-08-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWJ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1603187 | PA      | $1598722.20   | 0.24%             | 2030-04-25      | Floating      | 4.12%                 | 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        |   1763225 | PA      | $1752823.75   | 0.27%             | 2030-04-25      | Floating      | 4.04%                 | 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        |    487206 | PA      | $486465.95    | 0.07%             | 2027-08-25      | Floating      | 4.07%                 | 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        |    435061 | PA      | $433955.92    | 0.07%             | 2027-08-25      | Floating      | 3.99%                 | 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        |   3366915 | PA      | $3347233.19   | 0.51%             | 2028-08-25      | Floating      | 3.85%                 | 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        |   3653528 | PA      | $3644891.56   | 0.55%             | 2051-05-25      | Variable      | 2.20%                 | 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        |   6221178 | PA      | $6172373.23   | 0.94%             | 2028-09-25      | Floating      | 3.87%                 | 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      | $10804331.32  | 1.64%             | 2028-11-25      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H5FZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7165000 | PA      | $6716652.27   | 1.02%             | 2030-11-25      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H6LM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17526436 | PA      | $16544515.39  | 2.52%             | 2031-10-25      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H92P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16300000 | PA      | $16163683.10  | 2.46%             | 2032-11-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HHJF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $5266133.60   | 0.80%             | 2031-10-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HHUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9147635 | PA      | $9133684.63   | 1.39%             | 2029-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HLJA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10350000 | PA      | $10432561.95  | 1.59%             | 2030-02-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HN4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8345000 | PA      | $8372313.19   | 1.27%             | 2030-05-25      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31385WZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       380 | PA      | $394.45       | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138AH2T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63343 | PA      | $65528.40     | 0.01%             | 2041-12-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138AR6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    610594 | PA      | $637164.17    | 0.10%             | 2041-10-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138ECC50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53192 | PA      | $48542.25     | 0.01%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EGLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67950 | PA      | $69591.68     | 0.01%             | 2034-09-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EGTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171045 | PA      | $172130.87    | 0.03%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EHAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147447 | PA      | $148305.48    | 0.02%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EHMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549900 | PA      | $566383.29    | 0.09%             | 2034-10-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EHMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43705 | PA      | $44910.98     | 0.01%             | 2033-10-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EHNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292995 | PA      | $300369.26    | 0.05%             | 2037-09-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EJZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11126 | PA      | $11510.25     | 0.00%             | 2041-07-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31390TZ77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3364 | PA      | $3380.05      | 0.00%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31391WRV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81530 | PA      | $81940.83     | 0.01%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                             | Fannie Mae REMIC Trust 2002-W10                              | CUSIP: 31392ET59<br>LEI: 5493006KCWOV61WOTM60 | Long             | ABS-MBS          | USGSE             | US        |      3686 | PA      | $3489.83      | 0.00%             | 2042-08-25      | Variable      | 4.86%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393CLX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286960 | PA      | $291112.51    | 0.04%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| FHLMC Structured Pass Through Securities         | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31394XVP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3428 | PA      | $3007.53      | 0.00%             | 2044-03-25      | Variable      | 4.32%                 | No            |                  3 | On Loan: No      |
| FHLMC Structured Pass Through Securities         | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167565 | PA      | $153264.85    | 0.02%             | 2044-10-25      | Floating      | 5.06%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31395UKP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254285 | PA      | $257940.43    | 0.04%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31396AXW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372696 | PA      | $372972.39    | 0.06%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170741 | PA      | $165911.12    | 0.03%             | 2037-07-25      | Floating      | 3.84%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31397ME86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354238 | PA      | $345199.55    | 0.05%             | 2038-08-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31397RFM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154336 | PA      | $157158.99    | 0.02%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31398JLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370843 | PA      | $347842.12    | 0.05%             | 2048-06-15      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31398WB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154675 | PA      | $158373.80    | 0.02%             | 2036-12-15      | Floating      | 4.77%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31400WUJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5962 | PA      | $6093.09      | 0.00%             | 2033-04-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31401XPH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93511 | PA      | $95990.68     | 0.01%             | 2033-06-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31402C2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60805 | PA      | $62213.40     | 0.01%             | 2034-04-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31402LJ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39104 | PA      | $40286.13     | 0.01%             | 2033-08-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403BAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56119 | PA      | $57391.71     | 0.01%             | 2033-10-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403CY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50909 | PA      | $52555.86     | 0.01%             | 2035-11-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403G5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229855 | PA      | $238073.15    | 0.04%             | 2037-06-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403GDV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1479 | PA      | $1489.52      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403GKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1585 | PA      | $1639.00      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403LGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1278 | PA      | $1291.06      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31404FAG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48663 | PA      | $50349.04     | 0.01%             | 2034-03-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31405EJP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73858 | PA      | $75345.45     | 0.01%             | 2034-08-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31406L4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216432 | PA      | $223076.53    | 0.03%             | 2036-01-01      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31406XSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50026 | PA      | $52064.99     | 0.01%             | 2035-06-01      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407JTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25874 | PA      | $26450.02     | 0.00%             | 2035-08-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407RP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80029 | PA      | $82405.74     | 0.01%             | 2035-08-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31409AW21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       663 | PA      | $694.94       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31409VJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6691 | PA      | $6878.69      | 0.00%             | 2036-09-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140J5FU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340973 | PA      | $352729.81    | 0.05%             | 2040-12-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410F3T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24326 | PA      | $24872.38     | 0.00%             | 2037-04-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410GTH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6783 | PA      | $7173.72      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410KSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380218 | PA      | $391425.30    | 0.06%             | 2037-04-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410KSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251802 | PA      | $258178.25    | 0.04%             | 2035-07-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83452 | PA      | $86383.84     | 0.01%             | 2035-05-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27403 | PA      | $28189.79     | 0.00%             | 2037-01-01      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31411JPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149686 | PA      | $153969.01    | 0.02%             | 2037-02-01      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31411KKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146477 | PA      | $150326.45    | 0.02%             | 2037-03-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31412CBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85268 | PA      | $88910.03     | 0.01%             | 2036-08-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10560 | PA      | $10740.19     | 0.00%             | 2037-02-01      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31414EWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51022 | PA      | $52473.42     | 0.01%             | 2038-07-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31414FJD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134260 | PA      | $137310.32    | 0.02%             | 2038-08-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31416BPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172143 | PA      | $176855.68    | 0.03%             | 2036-06-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31416BT24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126293 | PA      | $131011.41    | 0.02%             | 2035-07-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418MS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500115 | PA      | $514608.87    | 0.08%             | 2033-11-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418NB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181961 | PA      | $185344.53    | 0.03%             | 2037-07-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31419A6G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69511 | PA      | $71394.66     | 0.01%             | 2036-11-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31419AMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297704 | PA      | $307339.83    | 0.05%             | 2037-09-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31419AQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418408 | PA      | $429162.53    | 0.07%             | 2034-04-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit         | Ford Credit Auto Owner Trust/Ford Credit                     | CUSIP: 34532MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3915000 | PA      | $3983450.25   | 0.61%             | 2037-08-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36176HLJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7264 | PA      | $7053.40      | 0.00%             | 2062-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36176HMD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1243 | PA      | $1222.72      | 0.00%             | 2062-08-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36176RBE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3235 | PA      | $3178.46      | 0.00%             | 2062-02-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36177TN45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1586 | PA      | $1555.26      | 0.00%             | 2064-01-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36178FK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86468 | PA      | $85955.21     | 0.01%             | 2063-07-20      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3617A5D44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238943 | PA      | $237826.38    | 0.04%             | 2065-10-20      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36185KDJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114875 | PA      | $118250.70    | 0.02%             | 2065-06-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36186QVP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81208 | PA      | $83694.25     | 0.01%             | 2065-05-20      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36193DHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93071 | PA      | $92502.57     | 0.01%             | 2066-02-20      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36200WT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2516 | PA      | $2632.76      | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36207KEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5970 | PA      | $6032.88      | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3620E0KH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164824 | PA      | $168331.72    | 0.03%             | 2061-02-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3620E1AW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71168 | PA      | $72850.12     | 0.01%             | 2063-02-20      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3620E1AY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179639 | PA      | $182710.94    | 0.03%             | 2063-02-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3620E1CU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233314 | PA      | $236375.57    | 0.04%             | 2063-03-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36225BND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10147 | PA      | $10511.37     | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36230KSC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3416 | PA      | $3408.77      | 0.00%             | 2061-08-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36230RPD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5915 | PA      | $5825.23      | 0.00%             | 2062-02-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receivables Trust         | GM Financial Revolving Receivables Trust 2021-1              | CUSIP: 36263HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655000 | PA      | $646249.86    | 0.10%             | 2034-06-12      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36297E2D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       744 | PA      | $743.31       | 0.00%             | 2061-04-20      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36297E2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1347 | PA      | $1324.81      | 0.00%             | 2061-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38374BQR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36290 | PA      | $36373.29     | 0.01%             | 2045-11-16      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38374KVF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    559971 | PA      | $554011.70    | 0.08%             | 2035-02-20      | Floating      | 3.99%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23444 | PA      | $23196.73     | 0.00%             | 2063-05-20      | Floating      | 4.25%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94841 | PA      | $94597.47     | 0.01%             | 2060-10-20      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87109 | PA      | $85976.91     | 0.01%             | 2060-10-20      | Floating      | 4.13%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BH39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2256 | PA      | $2189.75      | 0.00%             | 2062-12-20      | Floating      | 4.28%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BJK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67081 | PA      | $65931.94     | 0.01%             | 2060-12-20      | Floating      | 4.16%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BLH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3064 | PA      | $3037.45      | 0.00%             | 2061-02-20      | Floating      | 4.38%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BN32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133492 | PA      | $131841.14    | 0.02%             | 2063-03-20      | Floating      | 4.13%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BU42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151514 | PA      | $149757.55    | 0.02%             | 2063-03-20      | Floating      | 4.18%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        77 | PA      | $74.63        | 0.00%             | 2062-05-20      | Floating      | 4.23%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49831 | PA      | $49336.08     | 0.01%             | 2062-08-20      | Floating      | 4.30%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BZY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3728 | PA      | $3615.99      | 0.00%             | 2062-10-20      | Floating      | 4.28%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375LQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466476 | PA      | $459923.53    | 0.07%             | 2037-10-20      | Floating      | 4.31%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375UMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    719793 | PA      | $719678.97    | 0.11%             | 2064-07-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375UWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3019 | PA      | $2708.83      | 0.00%             | 2065-03-20      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376ETM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43521 | PA      | $42595.33     | 0.01%             | 2059-11-20      | Floating      | 4.94%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RAC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237316 | PA      | $229133.93    | 0.03%             | 2065-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35906 | PA      | $35532.08     | 0.01%             | 2065-04-20      | Floating      | 4.26%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RAZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       645 | PA      | $623.28       | 0.00%             | 2065-04-20      | Floating      | 4.03%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255306 | PA      | $251737.06    | 0.04%             | 2065-05-20      | Floating      | 4.01%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RFW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10092 | PA      | $9738.72      | 0.00%             | 2065-07-20      | Floating      | 4.08%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2177 | PA      | $2118.20      | 0.00%             | 2061-08-20      | Floating      | 4.46%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       244 | PA      | $237.07       | 0.00%             | 2065-10-20      | Floating      | 4.48%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    761041 | PA      | $764568.01    | 0.12%             | 2066-02-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RU61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    814700 | PA      | $808665.59    | 0.12%             | 2067-02-20      | Floating      | 4.53%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RYM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195319 | PA      | $193483.68    | 0.03%             | 2066-09-20      | Floating      | 4.33%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38378DLM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1258558 | PA      | $1258174.83   | 0.19%             | 2038-09-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    751882 | PA      | $751772.87    | 0.11%             | 2064-07-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    306907 | PA      | $303674.75    | 0.05%             | 2065-02-20      | Floating      | 4.27%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380L2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1711118 | PA      | $1712212.85   | 0.26%             | 2069-06-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380L7U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2206037 | PA      | $2209529.45   | 0.34%             | 2070-04-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LFQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1801427 | PA      | $1811423.18   | 0.28%             | 2068-06-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LKG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20294 | PA      | $20251.31     | 0.00%             | 2068-09-20      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4851270 | PA      | $4839541.60   | 0.74%             | 2068-09-20      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LRU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5334229 | PA      | $5067798.25   | 0.77%             | 2068-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LU50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1668858 | PA      | $1669087.83   | 0.25%             | 2070-01-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300155 | PA      | $297432.76    | 0.05%             | 2070-01-20      | Floating      | 4.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128142 | PA      | $126884.15    | 0.02%             | 2069-08-20      | Floating      | 3.95%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380QBX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    619926 | PA      | $612949.20    | 0.09%             | 2070-05-20      | Floating      | 4.18%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38382DYY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1076187 | PA      | $1074899.81   | 0.16%             | 2048-04-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38382EHC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2130080 | PA      | $1987170.86   | 0.30%             | 2046-05-20      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                      | Hertz Vehicle Financing III LLC                              | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   1555000 | PA      | $1571159.56   | 0.24%             | 2028-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                                   | MVW 2020-1 LLC                                               | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115364 | PA      | $114216.21    | 0.02%             | 2037-10-20      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                  | MVW 2024-1 LLC                                               | CUSIP: 62847RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372425 | PA      | $376020.56    | 0.06%             | 2043-02-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2019-F             | CUSIP: 63935CAB7<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    653408 | PA      | $631906.71    | 0.10%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2020-D             | CUSIP: 63941HAA0<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    206700 | PA      | $196368.15    | 0.03%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2021-E             | CUSIP: 63942EAA6<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   2147392 | PA      | $1921622.45   | 0.29%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2021-C             | CUSIP: 63942JAA5<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    867161 | PA      | $787641.15    | 0.12%             | 2069-10-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust            | NextGear Floorplan Master Owner Trust                        | CUSIP: 65341KBZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1260000 | PA      | $1270897.36   | 0.19%             | 2029-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust            | NextGear Floorplan Master Owner Trust                        | CUSIP: 65341KCC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2735000 | PA      | $2736608.18   | 0.42%             | 2029-09-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                 | SMB Private Education Loan Trust 2021-D                      | CUSIP: 78449MAA4<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |    396471 | PA      | $375414.69    | 0.06%             | 2053-03-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                   | Starwood Retail Property Trust 2014-STAR                     | CUSIP: 85571XAA5<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   2830426 | PA      | $1698198.72   | 0.26%             | 2027-11-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp.                      | FIXED INC CLEARING CORP.REPO                                 | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   5115258 | PA      | $5115257.83   | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust        | TCO Commercial Mortgage Trust 2024-DPM                       | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $643992.19    | 0.10%             | 2039-12-15      | Floating      | 4.92%                 | 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      | $4347758.25   | 0.66%             | 2035-04-25      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    634000 | PA      | $636080.31    | 0.10%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7900000 | PA      | $7929933.57   | 1.21%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34485000 | PA      | $34629136.61  | 5.27%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13620000 | PA      | $13790250.00  | 2.10%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18230000 | PA      | $18695007.38  | 2.85%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13575000 | PA      | $13547956.02  | 2.06%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9755000 | PA      | $9799202.34   | 1.49%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4420000 | PA      | $4520140.63   | 0.69%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15030000 | PA      | $15212003.98  | 2.32%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8870000 | PA      | $8909499.17   | 1.36%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3265000 | PA      | $3240002.34   | 0.49%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11845000 | PA      | $11702489.84  | 1.78%             | 2029-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2085000 | PA      | $2102103.51   | 0.32%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4270000 | PA      | $4324042.19   | 0.66%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25060000 | PA      | $25150059.38  | 3.83%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4760000 | PA      | $4754793.75   | 0.72%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9885000 | PA      | $9918593.58   | 1.51%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41285000 | PA      | $41333381.07  | 6.29%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8370000 | PA      | $8355940.99   | 1.27%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7660000 | PA      | $7566045.35   | 1.15%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9311000 | PA      | $9194976.19   | 1.40%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4055000 | PA      | $4002570.11   | 0.61%             | 2030-10-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13829000 | PA      | $13574567.97  | 2.07%             | 2030-11-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CPR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5845000 | PA      | $5765544.53   | 0.88%             | 2030-12-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CPW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8971000 | PA      | $8894606.37   | 1.35%             | 2031-01-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CQB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3307000 | PA      | $3280905.72   | 0.50%             | 2028-02-29      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CQD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11789000 | PA      | $11560588.13  | 1.76%             | 2031-02-28      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CQG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22130000 | PA      | $22059114.95  | 3.36%             | 2031-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CQH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  49382000 | PA      | $49455301.65  | 7.53%             | 2028-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                   | Wheels Fleet Lease Funding 1 LLC                             | CUSIP: 96328GAS6<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |    246966 | PA      | $247905.05    | 0.04%             | 2038-04-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-23

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

**Signature:** John Sgroi

**Name of Signer:** John Sgroi

**Title:** Assistant Treasurer