# EDGAR Filing Document

**Accession Number:** 0000917469
**File Stem:** 0001752724-23-046223
**Filing Date:** 2023-2
**Character Count:** 350080
**Document Hash:** 3d5695afd2fe03c6993926016dae2831
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046223.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046223

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LOOMIS SAYLES FUNDS I
- **CENTRAL INDEX KEY:** 0000917469
- **IRS NUMBER:** 043219179
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08282
- **FILM NUMBER:** 23682102

**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 II
- **DATE OF NAME CHANGE:** 20031119

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

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

## Series and Classes Contracts Data

### Loomis Sayles Securitized Asset Fund (Series ID: S000006639)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000018125 | Institutional Class | LSSAX           |

## Nport-Ex

**PORTFOLIO OF INVESTMENTS – as of December 31, 2022 (Unaudited)** 

**Loomis Sayles Securitized Asset Fund** 

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – 91.7% of Net Assets** | **Bonds and Notes – 91.7% of Net Assets** |  |
|  | **ABS Car Loan – 5.7%** | **ABS Car Loan – 5.7%** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;630692 | American Credit Acceptance Receivables Trust, Series 2020-2, Class C, <br>3.880%, 4/13/2026, 144A | $627819 |
| 1220839 | American Credit Acceptance Receivables Trust, Series 2021-1, Class C, <br>0.830%, 3/15/2027, 144A | 1201047 |
| 1280000 | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class C, <br>1.010%, 1/19/2027 | 1165990 |
| 3860000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, <br>2.020%, 2/20/2027, 144A | 3498049 |
| 1960000 | Avis Budget Rental Car Funding AESOP LLC, Series 2022-5A, Class A, <br>6.120%, 4/20/2027, 144A | 1993329 |
| 2750000 | Bank of The West Auto Trust, Series 2019-1, Class B, <br>2.760%, 1/15/2025, 144A | 2706564 |
| 500000 | CarMax Auto Owner Trust, Series 2020-3, Class C, <br>1.690%, 4/15/2026 | 469611 |
| 1485000 | CarMax Auto Owner Trust, Series 2021-1, Class C, <br>0.940%, 12/15/2026 | 1299924 |
| 3030000 | Carmax Auto Owner Trust, Series 2022-3, Class D, <br>6.200%, 1/16/2029 | 2910443 |
| 1529622 | Carvana Auto Receivables Trust, Series 2021-N1, Class C, <br>1.300%, 1/10/2028 | 1419543 |
| 666640 | Carvana Auto Receivables Trust, Series 2021-N2, Class C, <br>1.070%, 3/10/2028 | 612561 |
| 4455000 | Carvana Auto Receivables Trust, Series 2021-P1, Class C, <br>1.530%, 3/10/2027 | 3861157 |
| 5410000 | Carvana Auto Receivables Trust, Series 2021-P2, Class C, <br>1.600%, 6/10/2027 | 4627054 |
| 820000 | Carvana Auto Receivables Trust, Series 2022-P3, Class A4, <br>4.850%, 6/12/2028 | 784075 |
| 1044288 | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A, <br>1.370%, 7/16/2029, 144A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1034055 |
| 1435000 | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, <br>1.000%, 5/15/2030, 144A | 1370657 |
| 570000 | Drive Auto Receivables Trust, Series 2021-1, Class C, <br>1.020%, 6/15/2027 | 557208 |
| 570000 | DT Auto Owner Trust, Series 2021-2A, Class C, <br>1.100%, 2/16/2027, 144A | 541488 |
| 590680 | Flagship Credit Auto Trust, Series 2020-2, Class C, <br>3.800%, 4/15/2026, 144A | 583555 |
| 885000 | Flagship Credit Auto Trust, Series 2021-2, Class B, <br>0.930%, 6/15/2027, 144A | 842544 |
| 1650000 | Ford Credit Auto Owner Trust, Series 2020-B, Class C, <br>2.040%, 12/15/2026 | 1554602 |
| 2375000 | Foursight Capital Automobile Receivables Trust, Series 2021-2, Class C, <br>1.570%, 7/15/2027, 144A | 2205229 |
| 1725000 | GM Financial Consumer Automobile Receivables Trust, Series 2020-3, Class D, <br>1.910%, 9/16/2027 | 1629012 |
| 565000 | GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, <br>1.480%, 8/15/2025, 144A | 545929 |
| 1776000 | Hyundai Auto Lease Securitization Trust, Series 2021-B, Class B, <br>0.620%, 3/16/2026, 144A | 1684774 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  | **ABS Car Loan – continued** | **ABS Car Loan – continued** | **ABS Car Loan – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800000 | Hyundai Auto Receivables Trust, Series 2020-B, Class C, <br>1.600%, 12/15/2026 | $| 751911 |
| 4230000 | Hyundai Auto Receivables Trust, Series 2021-C, Class C, <br>1.660%, 6/15/2028 |  | 3763485 |
| 1936777 | JPMorgan Chase Bank NA, Series 2021-1, Class B, <br>0.875%, 9/25/2028, 144A |  | 1872219 |
| 3485000 | OneMain Direct Auto Receivables Trust, Series 2022-1A, Class A2, <br>30-day Average SOFR + 1.600%, 5.407%, 3/14/2029, 144A(a) |  | 3474688 |
| 1764410 | Prestige Auto Receivables Trust, Series 2020-1A, Class C, <br>1.310%, 11/16/2026, 144A |  | 1751238 |
| 2261271 | Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B, <br>5.281%, 5/15/2032, 144A |  | 2207611 |
| 1226620 | Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class B, <br>5.721%, 8/16/2032, 144A |  | 1218089 |
| 770000 | Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C, <br>3.710%, 2/17/2026, 144A |  | 760367 |
| 297856 | Santander Drive Auto Receivables Trust, Series 2020-2, Class C, <br>1.460%, 9/15/2025 |  | 296800 |
| 489174 | Santander Drive Auto Receivables Trust, Series 2020-3, Class C, <br>1.120%, 1/15/2026 |  | 484731 |
| 3980000 | Santander Retail Auto Lease Trust, Series 2021-B, Class C, <br>1.100%, 6/20/2025, 144A |  | 3756913 |
| 115413 | Westlake Automobile Receivables Trust, Series 2020-2A, Class C, <br>2.010%, 7/15/2025, 144A |  | 114159 |
| 2290000 | Westlake Automobile Receivables Trust, Series 2021-2A, Class C, <br>0.890%, 7/15/2026, 144A |  | 2134690 |
| 530000 | World Omni Auto Receivables Trust, Series 2020-B, Class B, <br>1.220%, 3/16/2026 |  | 496025 |
| 1980000 | World Omni Auto Receivables Trust, Series 2021-A, Class C, <br>0.890%, 8/16/2027 |  | 1752686 |
| 2610000 | World Omni Auto Receivables Trust, Series 2021-B, Class C, <br>1.290%, 12/15/2027 |  | 2294383 |
| 1490000 | World Omni Select Auto Trust, Series 2020-A, Class C, <br>1.250%, 10/15/2026 |  | 1402138 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68258352 |
|  | **ABS Credit Card – 0.3%** | **ABS Credit Card – 0.3%** | **ABS Credit Card – 0.3%** |
| 2275000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, <br>1.540%, 3/20/2026, 144A |  | 2170475 |
| 1655000 | Mission Lane Credit Card Master Trust, Series 2021-A, Class A, <br>1.590%, 9/15/2026, 144A |  | 1602770 |
|  |  |  | 3773245 |
|  | **ABS Home Equity – 6.8%** | **ABS Home Equity – 6.8%** | **ABS Home Equity – 6.8%** |
| 1766545 | Ajax Mortgage Loan Trust, Series 2019-D, Class A1, <br>2.956%, 9/25/2065, 144A(b) |  | 1640931 |
| 1448850 | Citigroup Mortgage Loan Trust, Series 2019-RP1, Class M2, <br>4.000%, 1/25/2066, 144A(b) |  | 1244426 |
| 4698 | CoreVest American Finance Trust, Series 2018-1, Class A, <br>3.804%, 6/15/2051, 144A |  | 4686 |
| 489894 | CoreVest American Finance Trust, Series 2019-2, Class A, <br>2.835%, 6/15/2052, 144A |  | 466851 |
| 1561106 | CoreVest American Finance Trust, Series 2019-3, Class A, <br>2.705%, 10/15/2052, 144A |  | 1461920 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **ABS Home Equity – continued** | **ABS Home Equity – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13355 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, <br>5.115%, 2/25/2035(b) | $13180 |
| 1723986 | Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, <br>1.668%, 9/27/2060, 144A(b) | 1626444 |
| 910000 | FirstKey Homes Trust, Series 2020-SRF1, Class B, <br>1.740%, 8/17/2037, 144A | 812956 |
| 3730000 | FirstKey Homes Trust, Series 2021-SFR1, Class B, <br>1.788%, 8/17/2038, 144A | 3194998 |
| 2495000 | FirstKey Homes Trust, Series 2021-SFR1, Class C, <br>1.888%, 8/17/2038, 144A | 2114347 |
| 5430000 | FirstKey Homes Trust, Series 2021-SFR2, Class C, <br>1.707%, 9/17/2038, 144A | 4543458 |
| 2751000 | FRTKL, Series 2021-SFR1, Class C, <br>1.922%, 9/17/2038, 144A | 2335507 |
| 832837 | HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, <br>3.928%, 5/19/2034(b) | 770013 |
| 1454536 | Home Partners of America Trust, Series 2021-1, Class C, <br>2.078%, 9/17/2041, 144A | 1153449 |
| 5974724 | Invitation Homes Trust, Series 2018-SFR4, Class B, <br>1-month LIBOR + 1.250%, 5.589%, 1/17/2038, 144A(a) | 5874052 |
| 10778178 | JPMorgan Mortgage Trust, Series 2017-4, Class AX1, IO, <br>0.370%, 11/25/2048, 144A(b)(c)(d) | 130852 |
| 4515000 | Legacy Mortgage Asset Trust, Series 2020-RPL1, Class A2, <br>3.250%, 9/25/2059, 144A(b) | 3829777 |
| 4006000 | Mill City Mortgage Loan Trust, Series 2015-2, Class B1, <br>3.665%, 9/25/2057, 144A(b) | 3702443 |
| 539187 | Mill City Mortgage Loan Trust, Series 2018-2, Class M1, <br>3.750%, 5/25/2058, 144A(b) | 510306 |
| 722460 | Mill City Mortgage Loan Trust, Series 2018-3, Class A1, <br>3.500%, 8/25/2058, 144A(b) | 689749 |
| 1646966 | Mill City Mortgage Loan Trust, Series 2019-1, Class M1, <br>3.500%, 10/25/2069, 144A(b) | 1455167 |
| 1108247 | Mill City Mortgage Loan Trust, Series 2021-NMR1, Class A1, <br>1.125%, 11/25/2060, 144A(b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1010644 |
| 18610 | Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, <br>4.285%, 7/25/2035(b)(d) | 15852 |
| 195489 | OBX Trust, Series 2018-EXP1, Class 1A3, <br>4.000%, 4/25/2048, 144A(b) | 178468 |
| 134987 | OBX Trust, Series 2019-EXP1, Class 1A3, <br>4.000%, 1/25/2059, 144A(b) | 126735 |
| 1120000 | Progress Residential Trust, Series 2020-SFR3, Class B, <br>1.495%, 10/17/2027, 144A | 989411 |
| 2670000 | Progress Residential Trust, Series 2021-SFR2, Class C, <br>1.997%, 4/19/2038, 144A | 2293207 |
| 1892000 | Progress Residential Trust, Series 2021-SFR3, Class B, <br>1.888%, 5/17/2026, 144A | 1626199 |
| 3450000 | Progress Residential Trust, Series 2021-SFR4, Class C, <br>2.039%, 5/17/2038, 144A | 2906661 |
| 830000 | Progress Residential Trust, Series 2021-SFR5, Class C, <br>1.808%, 7/17/2038, 144A | 705519 |
| 1715000 | Progress Residential Trust, Series 2021-SFR6, Class C, <br>1.855%, 7/17/2038, 144A | 1457879 |
| 5450000 | Progress Residential Trust, Series 2021-SFR9, Class C, <br>2.362%, 11/17/2040, 144A | 4311554 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  | **ABS Home Equity – continued** | **ABS Home Equity – continued** | **ABS Home Equity – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1223 | RALI Trust, Series 2006-QS13, Class 2A1, <br>5.750%, 1/25/2023(d) | $| 913 |
| 10341 | RALI Trust, Series 2006-QS18, Class 3A3, <br>5.750%, 1/25/2023(d) |  | 5832 |
| 585 | RALI Trust, Series 2006-QS6, Class 2A1, <br>6.000%, 1/25/2023(d) |  | 465 |
| 59529 | Sequoia Mortgage Trust, Series 2019-CH2, Class A1, <br>4.500%, 8/25/2049, 144A(b) |  | 58112 |
| 5570000 | Towd Point Mortgage Trust, Series 2017-3, Class A2, <br>3.000%, 7/25/2057, 144A(b) |  | 5214495 |
| 4036054 | Towd Point Mortgage Trust, Series 2017-4, Class A2, <br>3.000%, 6/25/2057, 144A(b) |  | 3619842 |
| 795015 | Towd Point Mortgage Trust, Series 2018-3, Class A1, <br>3.750%, 5/25/2058, 144A(b) |  | 751597 |
| 2325000 | Towd Point Mortgage Trust, Series 2018-4, Class A2, <br>3.000%, 6/25/2058, 144A(b) |  | 1899664 |
| 5530000 | Towd Point Mortgage Trust, Series 2019-2, Class A2, <br>3.750%, 12/25/2058, 144A(b) |  | 4821552 |
| 5555000 | Towd Point Mortgage Trust, Series 2020-2, Class A2B, <br>3.000%, 4/25/2060, 144A(b) |  | 4351919 |
| 5000000 | Towd Point Mortgage Trust, Series 2020-4, Class A2, <br>2.500%, 10/25/2060, 144A |  | 3909593 |
| 1689070 | Tricon American Homes Trust, Series 2019-SFR1, Class A, <br>2.750%, 3/17/2038, 144A |  | 1547450 |
| 1275000 | Tricon American Homes Trust, Series 2020-SFR1, Class C, <br>2.249%, 7/17/2038, 144A |  | 1108317 |
| 1305000 | Tricon American Homes Trust, Series 2020-SFR2, Class B, <br>1.832%, 11/17/2039, 144A |  | 1087381 |
| 740636 | WaMu Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, <br>3.738%, 11/25/2036(b) |  | 656891 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82231664 |
|  | **ABS Other – 5.7%** | **ABS Other – 5.7%** | **ABS Other – 5.7%** |
| 4591721 | AASET LLC, Series 2022-1A, Class A, <br>6.000%, 5/16/2047, 144A |  | 4284742 |
| 1819724 | Accelerated Assets LLC, Series 2018-1, Class A, <br>3.870%, 12/02/2033, 144A |  | 1744483 |
| 3133558 | BHG Securitization Trust, Series 2021-A, Class A, <br>1.420%, 11/17/2033, 144A |  | 2910486 |
| 1012287 | BHG Securitization Trust, Series 2022-C, Class A, <br>5.320%, 10/17/2035, 144A |  | 1003754 |
| 1304767 | Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, <br>4.213%, 12/16/2041, 144A(b) |  | 1067601 |
| 3024725 | CAL Funding IV Ltd., Series 2020-1A, Class A, <br>2.220%, 9/25/2045, 144A |  | 2613567 |
| 1572819 | Castlelake Aircraft Structured Trust, Series 2019-1A, Class A, <br>3.967%, 4/15/2039, 144A |  | 1329242 |
| 315711 | Castlelake Aircraft Structured Trust, Series 2021-1A, Class A, <br>3.474%, 1/15/2046, 144A |  | 264593 |
| 550000 | Chesapeake Funding II LLC, Series 2020-1A, Class C, <br>2.140%, 8/15/2032, 144A |  | 537707 |
| 2225000 | Chesapeake Funding II LLC, Series 2021-1A, Class B, <br>0.990%, 4/15/2033, 144A |  | 2070836 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **ABS Other – continued** | **ABS Other – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2287150 | CLI Funding VI LLC, Series 2020-3A, Class A, <br>2.070%, 10/18/2045, 144A | $1985085 |
| 740000 | Dell Equipment Finance Trust, Series 2020-2, Class C, <br>1.370%, 1/22/2024, 144A | 725335 |
| 812000 | GreatAmerica Leasing Receivables Funding LLC, Series 2021-1, Class B, <br>0.720%, 12/15/2026, 144A | 736170 |
| 2150398 | Hilton Grand Vacations Trust, Series 2020-AA, Class A, <br>2.740%, 2/25/2039, 144A | 2007993 |
| 595087 | Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, <br>3.721%, 7/15/2039, 144A | 467097 |
| 4265000 | HPEFS Equipment Trust, Series 2021-1A, Class C, <br>0.750%, 3/20/2031, 144A | 4090224 |
| 1455000 | HPEFS Equipment Trust, Series 2021-2A, Class C, <br>0.880%, 9/20/2028, 144A | 1381502 |
| 2008172 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, <br>4.250%, 12/15/2038, 144A | 1586536 |
| 777943 | MAPS Ltd., Series 2018-1A, Class A, <br>4.212%, 5/15/2043, 144A | 652725 |
| 1585000 | Marlette Funding Trust, Series 2021-2A, Class B, <br>1.060%, 9/15/2031, 144A | 1546076 |
| 478016 | Merlin Aviation Holdings DAC, Series 2016-1, Class A, <br>4.500%, 12/15/2032, 144A(b) | 365696 |
| 305000 | MMAF Equipment Finance LLC, Series 2020-A, Class A5, <br>1.560%, 10/09/2042, 144A | 265416 |
| 474248 | MVW LLC, Series 2021-1WA, Class B, <br>1.440%, 1/22/2041, 144A | 429520 |
| 945000 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class B, <br>2.780%, 1/15/2069, 144A | 736353 |
| 756000 | OneMain Financial Issuance Trust, Series 2020-2A, Class A, <br>1.750%, 9/14/2035, 144A | 660419 |
| 5400000 | OneMain Financial Issuance Trust, Series 2021-1A, Class B, <br>1.950%, 6/16/2036, 144A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4264291 |
| 813736 | Orange Lake Timeshare Trust, Series 2018-A, Class A, <br>3.100%, 11/08/2030, 144A | 787164 |
| 3806779 | S-Jets Ltd., Series 2017-1, Class A, <br>3.967%, 8/15/2042, 144A | 2950292 |
| 1635000 | SCF Equipment Leasing LLC, Series 2021-1A, Class B, <br>1.370%, 8/20/2029, 144A | 1468213 |
| 243146 | Sierra Timeshare Receivables Funding LLC, Series 2018 - 2A, Class A, <br>3.500%, 6/20/2035, 144A | 237250 |
| 467095 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class B, <br>2.320%, 7/20/2037, 144A | 427432 |
| 382830 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B, <br>1.340%, 11/20/2037, 144A | 350131 |
| 2904371 | SLAM Ltd., Series 2021-1A, Class A, <br>2.434%, 6/15/2046, 144A | 2402902 |
| 210000 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, <br>28-day Auction Rate Security, 7.892%, 9/15/2032(a) | 204406 |
| 139948 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, <br>28-day Auction Rate Security, 7.792%, 9/15/2032(a) | 136220 |
| 5485000 | SMB Private Education Loan Trust, Series 2019-B, Class B, <br>3.560%, 6/15/2043, 144A | 4723561 |
| 2640652 | SpringCastle America Funding LLC, Series 2020-AA, Class A, <br>1.970%, 9/25/2037, 144A | 2399415 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  | **ABS Other – continued** | **ABS Other – continued** | **ABS Other – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;521174 | Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, <br>2.730%, 8/21/2045, 144A | $| 471876 |
| 1734867 | TIF Funding II LLC, Series 2020-1A, Class A, <br>2.090%, 8/20/2045, 144A |  | 1488700 |
| 3930810 | Triumph Rail Holdings LLC, Series 2021-2, Class A, <br>2.150%, 6/19/2051, 144A |  | 3352580 |
| 3567294 | Wave Trust, Series 2017-1A, Class A, <br>3.844%, 11/15/2042, 144A |  | 2693343 |
| 965173 | Welk Resorts LLC, Series 2019-AA, Class A, <br>2.800%, 6/15/2038, 144A |  | 902006 |
| 3102661 | Willis Engine Structured Trust V, Series 2020-A, Class A, <br>3.228%, 3/15/2045, 144A |  | 2386056 |
| 1900571 | Willis Engine Structured Trust VI, Series 2021-A, Class A, <br>3.104%, 5/15/2046, 144A |  | 1391007 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68500003 |
|  | **ABS Student Loan – 2.6%** | **ABS Student Loan – 2.6%** | **ABS Student Loan – 2.6%** |
| 552850 | College Ave Student Loans LLC, Series 2021-A, Class A2, <br>1.600%, 7/25/2051, 144A |  | 470000 |
| 761908 | Commonbond Student Loan Trust, Series 2020, Class A, <br>1.980%, 8/25/2050, 144A |  | 653440 |
| 1520363 | Education Funding Trust, Series 2020-A, Class A, <br>2.790%, 7/25/2041, 144A |  | 1396914 |
| 761875 | EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, <br>1.800%, 11/25/2045, 144A |  | 645254 |
| 1099088 | Massachusetts Educational Financing Authority, Series 2018-A, Class A, <br>3.850%, 5/25/2033 |  | 1026799 |
| 1357366 | Navient Private Education Refi Loan Trust, Series 2019-CA, Class A2, <br>3.130%, 2/15/2068, 144A |  | 1281538 |
| 1030758 | Navient Private Education Refi Loan Trust, Series 2019-GA, Class A, <br>2.400%, 10/15/2068, 144A |  | 947752 |
| 850953 | Navient Private Education Refi Loan Trust, Series 2020-BA, Class A2, <br>2.120%, 1/15/2069, 144A |  | 772488 |
| 1506854 | Navient Private Education Refi Loan Trust, Series 2020-DA, Class A, <br>1.690%, 5/15/2069, 144A |  | 1357146 |
| 1565000 | Navient Private Education Refi Loan Trust, Series 2020-DA, Class B, <br>3.330%, 5/15/2069, 144A |  | 1253875 |
| 1493782 | Navient Private Education Refi Loan Trust, Series 2020-GA, Class A, <br>1.170%, 9/16/2069, 144A |  | 1323386 |
| 1667419 | Navient Private Education Refi Loan Trust, Series 2021-A, Class A, <br>0.840%, 5/15/2069, 144A |  | 1441663 |
| 1273882 | Navient Private Education Refi Loan Trust, Series 2021-BA, Class A, <br>0.940%, 7/15/2069, 144A |  | 1082343 |
| 1630000 | Nelnet Student Loan Trust, Series 2021-A, Class B1, <br>2.850%, 4/20/2062, 144A |  | 1295385 |
| 504000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, <br>28-day Auction Rate Security, 7.884%, 6/15/2032(a) |  | 491009 |
| 84000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, <br>28-day Auction Rate Security, 7.818%, 6/15/2032(a) |  | 81835 |
| 164000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, <br>28-day Auction Rate Security, 7.770%, 3/15/2033(a) |  | 159756 |
| 2465000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, <br>28-day Auction Rate Security, 7.826%, 3/15/2033(a) |  | 2401206 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  | **ABS Student Loan – continued** | **ABS Student Loan – continued** | **ABS Student Loan – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;411179 | SMB Private Education Loan Trust, Series 2016-C, Class A2A, <br>2.340%, 9/15/2034, 144A | $| 391558 |
| 3164982 | SMB Private Education Loan Trust, Series 2018-A, Class A2B, <br>1-month LIBOR + 0.800%, 5.118%, 2/15/2036, 144A(a) |  | 3085711 |
| 1497240 | SMB Private Education Loan Trust, Series 2018-B, Class A2A, <br>3.600%, 1/15/2037, 144A |  | 1425837 |
| 4159159 | SMB Private Education Loan Trust, Series 2018-C, Class A2A, <br>3.630%, 11/15/2035, 144A |  | 3909399 |
| 858841 | SMB Private Education Loan Trust, Series 2021-A, Class APT2, <br>1.070%, 1/15/2053, 144A |  | 736422 |
| 524711 | SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX, <br>2.840%, 1/25/2041, 144A |  | 505393 |
| 4328087 | SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, <br>2.540%, 5/15/2046, 144A |  | 3916560 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32052669 |
|  | **ABS Whole Business – 0.8%** | **ABS Whole Business – 0.8%** | **ABS Whole Business – 0.8%** |
| 2426711 | Adams Outdoor Advertising LP, Series 2018-1, Class A, <br>4.810%, 11/15/2048, 144A |  | 2300490 |
| 3858725 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, <br>4.666%, 9/05/2048, 144A |  | 3613368 |
| 3911040 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, <br>3.858%, 12/05/2049, 144A |  | 3248850 |
|  |  |  | 9162708 |
|  | **Agency Commercial Mortgage-Backed Securities – 14.3%** | **Agency Commercial Mortgage-Backed Securities – 14.3%** | **Agency Commercial Mortgage-Backed Securities – 14.3%** |
| 254886703 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K138, Class X1, <br>0.149%, 1/25/2032(b)(c) |  | 3077247 |
| 19797735 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K145, Class X1, <br>0.317%, 6/25/2055(b)(c) |  | 498299 |
| 66595901 | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Series K146, Class X1, <br>0.230%, 6/25/2054(b)(c) |  | 1324859 |
| 16341184 | Federal National Mortgage Association, REMIC, Series 2020-M37, Class X, IO, <br>1.035%, 4/25/2032(b)(c) |  | 883323 |
| 23214364 | Federal National Mortgage Association, Series 2019-M17, Class X, <br>0.317%, 8/25/2034(b)(c) |  | 431476 |
| 14028911 | Federal National Mortgage Association, Series 2020-M33, Class X, IO, <br>1.903%, 6/25/2028(b)(c) |  | 929024 |
| 17856461 | Federal National Mortgage Association, Series 2020-M43, Class X1, IO, <br>2.074%, 8/25/2034(b)(c) |  | 1885016 |
| 2210000 | FHLMC, <br>3.100%, 6/01/2037 |  | 1811007 |
| 2815000 | FHLMC, <br>3.100%, 6/01/2037 |  | 2306780 |
| 2323000 | FHLMC, <br>3.100%, 6/01/2037 |  | 1903606 |
| 4581476 | FHLMC, <br>3.450%, 5/01/2037 |  | 4039222 |
| 1674672 | FHLMC, <br>3.700%, 5/01/2037 |  | 1511723 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Agency Commercial Mortgage-Backed Securities – continued** | **Agency Commercial Mortgage-Backed Securities – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18352088 | FHLMC Multifamily Structured Pass Through Certificates, Series K-103, Class X1, <br>0.639%, 11/25/2029(b)(c) | $646269 |
| 13736332 | FHLMC Multifamily Structured Pass Through Certificates, Series K-108, Class X1, <br>1.691%, 3/25/2030(b)(c) | 1286050 |
| 14574416 | FHLMC Multifamily Structured Pass Through Certificates, Series K-117, Class X1, <br>1.238%, 8/25/2030(b)(c) | 1023561 |
| 70707120 | FHLMC Multifamily Structured Pass Through Certificates, Series K-150, Class X1, <br>0.446%, 9/25/2032(b)(c) | 1867502 |
| 3375377 | FHLMC Multifamily Structured Pass Through Certificates, Series K-1513, Class X1, IO, <br>0.860%, 8/25/2034(b)(c)(d) | 211709 |
| 20631676 | FHLMC Multifamily Structured Pass Through Certificates, Series K-1514, Class X1, <br>0.577%, 10/25/2034(b)(c) | 931974 |
| 52261790 | FHLMC Multifamily Structured Pass Through Certificates, Series K-1516, Class X1, IO, <br>1.511%, 5/25/2035(b)(c) | 6225053 |
| 53848764 | FHLMC Multifamily Structured Pass Through Certificates, Series K-1517, Class X1, IO, <br>1.324%, 7/25/2035(b)(c) | 5645127 |
| 96123760 | FHLMC Multifamily Structured Pass Through Certificates, Series K-1521, Class X1, IO, <br>0.980%, 8/25/2036(b)(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7975033 |
| 76325887 | FHLMC Multifamily Structured Pass Through Certificates, Series K028, Class X1, <br>0.173%, 2/25/2023(b)(c)(d) | 284 |
| 67533835 | FHLMC Multifamily Structured Pass Through Certificates, Series K031, Class X1, <br>0.167%, 4/25/2023(b)(c)(d) | 23363 |
| 29679281 | FHLMC Multifamily Structured Pass Through Certificates, Series K036, Class X1, <br>0.687%, 10/25/2023(b)(c)(d) | 117327 |
| 31791365 | FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class X1, <br>1.078%, 3/25/2024(b)(c)(d) | 263748 |
| 35792332 | FHLMC Multifamily Structured Pass Through Certificates, Series K040, Class X1, <br>0.695%, 9/25/2024(b)(c)(d) | 304187 |
| 67840306 | FHLMC Multifamily Structured Pass Through Certificates, Series K047, Class X1, <br>0.104%, 5/25/2025(b)(c)(d) | 186361 |
| 37811740 | FHLMC Multifamily Structured Pass Through Certificates, Series K051, Class X1, <br>0.503%, 9/25/2025(b)(c)(d) | 422341 |
| 16130163 | FHLMC Multifamily Structured Pass Through Certificates, Series K052, Class X1, <br>0.636%, 11/25/2025(b)(c)(d) | 233034 |
| 9271047 | FHLMC Multifamily Structured Pass Through Certificates, Series K053, Class X1, <br>0.877%, 12/25/2025(b)(c)(d) | 190781 |
| 16083461 | FHLMC Multifamily Structured Pass Through Certificates, Series K054, Class X1, <br>1.157%, 1/25/2026(b)(c)(d) | 453351 |
| 7126345 | FHLMC Multifamily Structured Pass Through Certificates, Series K055, Class X1, <br>1.346%, 3/25/2026(b)(c)(d) | 245167 |
| 26696390 | FHLMC Multifamily Structured Pass Through Certificates, Series K057, Class X1, <br>1.169%, 7/25/2026(b)(c) | 861036 |
| 8286619 | FHLMC Multifamily Structured Pass Through Certificates, Series K058, Class X1, <br>0.915%, 8/25/2026(b)(c)(d) | 222685 |
| 24690372 | FHLMC Multifamily Structured Pass Through Certificates, Series K059, Class X1, <br>0.304%, 9/25/2026(b)(c)(d) | 222242 |
| 90050658 | FHLMC Multifamily Structured Pass Through Certificates, Series K060, Class X1, <br>0.070%, 10/25/2026(b)(c)(d) | 254016 |
| 17517262 | FHLMC Multifamily Structured Pass Through Certificates, Series K105, Class X1, <br>1.523%, 1/25/2030(b)(c) | 1445980 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Agency Commercial Mortgage-Backed Securities – continued** | **Agency Commercial Mortgage-Backed Securities – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11595410 | FHLMC Multifamily Structured Pass Through Certificates, Series K107, Class X1, IO, <br>1.591%, 1/25/2030(b)(c) | $1004209 |
| 32677107 | FHLMC Multifamily Structured Pass Through Certificates, Series K141, Class X1, <br>0.305%, 2/25/2032(b)(c) | 768631 |
| 79218075 | FHLMC Multifamily Structured Pass Through Certificates, Series K142, Class X1, <br>0.297%, 3/25/2032(b)(c) | 1806568 |
| 35926635 | FHLMC Multifamily Structured Pass Through Certificates, Series K143, Class X1, <br>0.342%, 4/25/2055(b)(c) | 949757 |
| 46051365 | FHLMC Multifamily Structured Pass Through Certificates, Series K144, Class X1, <br>0.325%, 4/25/2032(b)(c) | 1194863 |
| 51601624 | FHLMC Multifamily Structured Pass Through Certificates, Series K147, Class X1,, <br>0.357%, 6/25/2032(b)(c) | 1514043 |
| 82461679 | FHLMC Multifamily Structured Pass Through Certificates, Series K149, Class X1, <br>0.264%, 8/25/2032(b)(c) | 1919213 |
| 14393366 | FHLMC Multifamily Structured Pass Through Certificates, Series K152, Class X1, <br>0.956%, 1/25/2031(b)(c) | 780699 |
| 123491822 | FHLMC Multifamily Structured Pass Through Certificates, Series K157, Class X1, IO, <br>0.010%, 8/25/2033(b)(c) | 583511 |
| 23478926 | FHLMC Multifamily Structured Pass Through Certificates, Series KS03, Class X, <br>0.200%, 8/25/2025(b)(c)(d) | 115423 |
| 32038341 | FHLMC Multifamily Structured Pass Through Certificates, Series KW02, Class X1, <br>0.295%, 12/25/2026(b)(c)(d) | 165460 |
| 24000000 | FNMA, <br>3.850%, 9/01/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21424501 |
| 1665000 | FNMA, <br>4.090%, 7/01/2034 | 1577174 |
| 325308093 | FREMF Mortgage Trust, Series 2018-K156, Class X2A, IO, <br>0.100%, 7/25/2036, 144A(c) | 2185094 |
| 15992129 | FRESB Mortgage Trust, Series 2021-SB90, Class X1, IO, <br>0.652%, 6/25/2041(b)(c) | 424944 |
| 24643100 | FRESB Mortgage Trust, Series 2021-SB91, Class X1, IO, <br>0.569%, 8/25/2041(b)(c) | 681875 |
| 93109270 | FRESB Mortgage Trust, Series 2022-SB95, Class X1, <br>0.004%, 11/25/2041(b)(c) | 682044 |
| 3424915 | Government National Mortgage Association, Series 2006-46, Class IO, <br>0.476%, 4/16/2046(b)(c)(d) | 32756 |
| 1440407 | Government National Mortgage Association, Series 2006-51, Class IO, <br>0.938%, 8/16/2046(b)(c)(d) | 29488 |
| 4000000 | Government National Mortgage Association, Series 2008-52, Class E, <br>6.041%, 8/16/2042(b) | 3898123 |
| 548801 | Government National Mortgage Association, Series 2008-80, Class E, <br>5.674%, 8/16/2042(b) | 539419 |
| 4114190 | Government National Mortgage Association, Series 2009-114, Class IO, <br>0.017%, 10/16/2049(b)(c)(d) | 92 |
| 1683653 | Government National Mortgage Association, Series 2010-124, Class X, <br>1.022%, 12/16/2052(b)(c)(d) | 28363 |
| 238360 | Government National Mortgage Association, Series 2010-49, Class IA, <br>1.450%, 10/16/2052(b)(c)(d) | 9091 |
| 1515544 | Government National Mortgage Association, Series 2011-119, Class IO, <br>0.215%, 8/16/2051(b)(c)(d) | 3201 |
| 3110370 | Government National Mortgage Association, Series 2011-121, Class ZA, <br>6.500%, 8/16/2051 | 3009446 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Agency Commercial Mortgage-Backed Securities – continued** | **Agency Commercial Mortgage-Backed Securities – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2376954 | Government National Mortgage Association, Series 2011-161, Class IO, <br>0.216%, 4/16/2045(b)(c)(d) | $5940 |
| 950167 | Government National Mortgage Association, Series 2011-38, Class IO, <br>0.530%, 4/16/2053(b)(c)(d) | 8074 |
| 1 | Government National Mortgage Association, Series 2012-100, Class IC, <br>1.431%, 9/16/2050(b)(c)(d) |  |
| 1 | Government National Mortgage Association, Series 2012-111, Class IC, <br>1.331%, 9/16/2050(b)(c)(d) |  |
| 18885851 | Government National Mortgage Association, Series 2012-142, Class IO, <br>0.196%, 4/16/2054(b)(c)(d) | 57727 |
| 3732182 | Government National Mortgage Association, Series 2012-23, Class IO, <br>0.214%, 6/16/2053(b)(c)(d) | 24140 |
| 4794240 | Government National Mortgage Association, Series 2012-55, Class IO, <br>0.026%, 4/16/2052(b)(c)(d) | 47 |
| 792046 | Government National Mortgage Association, Series 2012-70, Class IO, <br>0.094%, 8/16/2052(b)(c)(d) | 450 |
| 5582476 | Government National Mortgage Association, Series 2012-79, Class IO, <br>0.384%, 3/16/2053(b)(c)(d) | 54682 |
| 20917402 | Government National Mortgage Association, Series 2012-85, Class IO, <br>0.364%, 9/16/2052(b)(c)(d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;184411 |
| 1030513 | Government National Mortgage Association, Series 2013-175, Class IO, <br>0.207%, 5/16/2055(b)(c)(d) | 5075 |
| 2280777 | Government National Mortgage Association, Series 2014-101, Class IO, <br>0.609%, 4/16/2056(b)(c)(d) | 34576 |
| 10410752 | Government National Mortgage Association, Series 2014-130, Class IB, <br>0.236%, 8/16/2054(b)(c)(d) | 98592 |
| 8491655 | Government National Mortgage Association, Series 2014-24, Class IX, <br>0.122%, 1/16/2054(b)(c)(d) | 41836 |
| 5488944 | Government National Mortgage Association, Series 2014-70, Class IO, <br>0.454%, 3/16/2049(b)(c)(d) | 68597 |
| 3543780 | Government National Mortgage Association, Series 2014-86, Class IO, <br>0.480%, 4/16/2056(b)(c)(d) | 44012 |
| 15932055 | Government National Mortgage Association, Series 2015-120, Class IO, <br>0.686%, 3/16/2057(b)(c)(d) | 340035 |
| 10717399 | Government National Mortgage Association, Series 2015-146, Class IB, <br>0.273%, 7/16/2055(b)(c)(d) | 99777 |
| 6002878 | Government National Mortgage Association, Series 2015-171, Class IO, <br>0.847%, 11/16/2055(b)(c)(d) | 179821 |
| 7137717 | Government National Mortgage Association, Series 2015-189, Class IG, <br>0.736%, 1/16/2057(b)(c)(d) | 203231 |
| 3752604 | Government National Mortgage Association, Series 2015-21, Class IO, <br>0.677%, 7/16/2056(b)(c)(d) | 93741 |
| 11560911 | Government National Mortgage Association, Series 2015-32, Class IO, <br>0.581%, 9/16/2049(b)(c)(d) | 225891 |
| 2844032 | Government National Mortgage Association, Series 2015-68, Class IO, <br>0.338%, 7/16/2057(b)(c)(d) | 45524 |
| 11542932 | Government National Mortgage Association, Series 2015-70, Class IO, <br>0.571%, 12/16/2049(b)(c)(d) | 218744 |
| 6417109 | Government National Mortgage Association, Series 2015-73, Class IO, <br>0.427%, 11/16/2055(b)(c)(d) | 99320 |
| 17584004 | Government National Mortgage Association, Series 2016-132, Class IO, <br>0.641%, 7/16/2056(b)(c)(d) | 403845 |
| 8942592 | Government National Mortgage Association, Series 2016-143, Class IO, <br>0.858%, 10/16/2056(c)(d) | 359132 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Agency Commercial Mortgage-Backed Securities – continued** | **Agency Commercial Mortgage-Backed Securities – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7336556 | Government National Mortgage Association, Series 2016-6, Class IO, <br>0.485%, 2/16/2051(b)(c)(d) | $83123 |
| 24233712 | Government National Mortgage Association, Series 2017-168, Class IO, <br>0.577%, 12/16/2059(b)(c) | 868878 |
| 24486592 | Government National Mortgage Association, Series 2017-90, Class IO, <br>0.724%, 1/16/2059(b)(c) | 963523 |
| 4867207 | Government National Mortgage Association, Series 2018-133, Class IO, <br>1.114%, 6/16/2058(b)(c) | 333477 |
| 10980122 | Government National Mortgage Association, Series 2018-2, Class IO, <br>0.707%, 12/16/2059(b)(c) | 494847 |
| 33458037 | Government National Mortgage Association, Series 2018-82, Class IO, <br>0.483%, 5/16/2058(b)(c) | 1105561 |
| 19613856 | Government National Mortgage Association, Series 2018-96, Class IO, <br>0.461%, 8/16/2060(b)(c) | 701960 |
| 9657694 | Government National Mortgage Association, Series 2019-75, Class IO, <br>0.856%, 12/16/2060(b)(c) | 518846 |
| 8068980 | Government National Mortgage Association, Series 2019-94, Class IO, <br>0.962%, 8/16/2061(b)(c)(d) | 472607 |
| 39723844 | Government National Mortgage Association, Series 2020-108, Class IO, <br>0.847%, 6/16/2062(b)(c) | 2398160 |
| 19456957 | Government National Mortgage Association, Series 2020-128, Class IO, <br>0.913%, 10/16/2062(b)(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1295909 |
| 41242633 | Government National Mortgage Association, Series 2020-136, Class IO, <br>1.013%, 8/16/2062(b)(c) | 2900520 |
| 38044131 | Government National Mortgage Association, Series 2020-172, Class IO, <br>1.194%, 9/16/2062(b)(c) | 2918088 |
| 16331665 | Government National Mortgage Association, Series 2020-174, Class IO, <br>0.845%, 1/16/2063(b)(c) | 1028612 |
| 37166359 | Government National Mortgage Association, Series 2020-179, Class IO, <br>1.008%, 9/16/2062(b)(c) | 2625796 |
| 44906122 | Government National Mortgage Association, Series 2020-197, Class IO, <br>0.946%, 10/16/2062(b)(c) | 3063963 |
| 35176818 | Government National Mortgage Association, Series 2020-26, Class IO, <br>0.706%, 10/15/2061(b)(c) | 1754834 |
| 9434619 | Government National Mortgage Association, Series 2021-10, Class IO, <br>0.983%, 5/16/2063(b)(c) | 692190 |
| 42008852 | Government National Mortgage Association, Series 2021-106, Class IO, <br>0.858%, 4/16/2063(b)(c) | 2824213 |
| 42101834 | Government National Mortgage Association, Series 2021-12, Class IO, <br>0.969%, 3/16/2063(b)(c) | 2871892 |
| 45662764 | Government National Mortgage Association, Series 2021-128, Class IO, <br>1.004%, 6/16/2061(b)(c) | 3047136 |
| 56151628 | Government National Mortgage Association, Series 2021-132, Class BI, <br>0.924%, 4/16/2063(b)(c) | 3919372 |
| 53543981 | Government National Mortgage Association, Series 2021-133, Class IO, <br>0.879%, 7/16/2063(b)(c) | 3780098 |
| 55295690 | Government National Mortgage Association, Series 2021-144, Class IO, <br>0.825%, 4/16/2063(b)(c) | 3660796 |
| 11392806 | Government National Mortgage Association, Series 2021-145, Class IO, <br>0.772%, 7/16/2061(b)(c) | 688091 |
| 48560374 | Government National Mortgage Association, Series 2021-151, Class IO, <br>0.917%, 4/16/2063(b)(c) | 3481585 |
| 52023176 | Government National Mortgage Association, Series 2021-163, Class IO, <br>0.797%, 3/16/2064(b)(c) | 3337375 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |  |
|  | **Agency Commercial Mortgage-Backed Securities – continued** | **Agency Commercial Mortgage-Backed Securities – continued** | **Agency Commercial Mortgage-Backed Securities – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21148279 | Government National Mortgage Association, Series 2021-180, Class IO, <br>0.903%, 11/16/2063(b)(c) | $| 1529042 |
| 57662077 | Government National Mortgage Association, Series 2021-186, Class IO, <br>0.765%, 5/16/2063(b)(c) |  | 3542424 |
| 40574451 | Government National Mortgage Association, Series 2021-20, Class IO, <br>1.135%, 8/16/2062(b)(c) |  | 3144074 |
| 35031297 | Government National Mortgage Association, Series 2021-33, Class IO, <br>0.840%, 10/16/2062(b)(c) |  | 2266056 |
| 30925277 | Government National Mortgage Association, Series 2021-40, Class IO, <br>0.824%, 2/16/2063(b)(c) |  | 2053222 |
| 46723298 | Government National Mortgage Association, Series 2021-52, Class IO, <br>0.718%, 4/16/2063(b)(c) |  | 2575454 |
| 50011719 | Government National Mortgage Association, Series 2022-166, Class IO, <br>0.792%, 4/16/2065(b)(c) |  | 3386163 |
| 28627445 | Government National Mortgage Association, Series 2022-17, Class IO, <br>0.802%, 6/16/2064(b)(c) |  | 1929238 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;172342096 |
|  | **Collateralized Mortgage Obligations – 6.5%** | **Collateralized Mortgage Obligations – 6.5%** | **Collateralized Mortgage Obligations – 6.5%** |
| 5503 | Federal Home Loan Mortgage Corp., REMIC, Series 1673, Class SE, <br>8.390%, 2/15/2024(b)(d) |  | 5421 |
| 8049 | Federal Home Loan Mortgage Corp., REMIC, Series 2626, Class SQ, <br>4.205%, 6/15/2023(b)(d) |  | 7837 |
| 61676 | Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, <br>7.000%, 7/15/2033(c)(d) |  | 13112 |
| 12832 | Federal Home Loan Mortgage Corp., REMIC, Series 2725, Class SC, <br>2.895%, 11/15/2033(b)(d) |  | 12263 |
| 651368 | Federal Home Loan Mortgage Corp., REMIC, Series 3013, Class AS, <br>6.688%, 5/15/2035(b)(d) |  | 627433 |
| 2784697 | Federal Home Loan Mortgage Corp., REMIC, Series 3149, Class LS, <br>2.882%, 5/15/2036(b)(c)(d) |  | 261541 |
| 856170 | Federal Home Loan Mortgage Corp., REMIC, Series 3229, Class BI, <br>2.302%, 10/15/2036(b)(c)(d) |  | 71938 |
| 919190 | Federal Home Loan Mortgage Corp., REMIC, Series 3416, Class BI, <br>1.932%, 2/15/2038(b)(c)(d) |  | 64315 |
| 382112 | Federal Home Loan Mortgage Corp., REMIC, Series 3417, Class VS, <br>5.539%, 2/15/2038(b)(d) |  | 370992 |
| 359302 | Federal Home Loan Mortgage Corp., REMIC, Series 3417, Class WS, <br>6.111%, 2/15/2038(b)(d) |  | 341178 |
| 1026604 | Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, IO, <br>2.576%, 6/15/2048(b)(c) |  | 924982 |
| 459264 | Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, IO, <br>3.871%, 12/15/2036(b)(c) |  | 450323 |
| 1178932 | Federal Home Loan Mortgage Corp., REMIC, Series 3747, Class CS, <br>2.182%, 10/15/2040(b)(c)(d) |  | 118815 |
| 32701 | Federal Home Loan Mortgage Corp., REMIC, Series 3792, Class DF, <br>1-month LIBOR + 0.400%, 4.718%, 11/15/2040(a)(d) |  | 32497 |
| 183907 | Federal Home Loan Mortgage Corp., REMIC, Series 3808, Class SH, <br>0.960%, 2/15/2041(b)(d) |  | 115521 |
| 1121866 | Federal Home Loan Mortgage Corp., REMIC, Series 3922, Class SH, <br>1.582%, 9/15/2041(b)(c)(d) |  | 63006 |
| 1388728 | Federal Home Loan Mortgage Corp., REMIC, Series 4041, Class ES, <br>2.411%, 8/15/2040(b) |  | 1257002 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Collateralized Mortgage Obligations – continued** | **Collateralized Mortgage Obligations – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1002161 | Federal Home Loan Mortgage Corp., REMIC, Series 4097, Class US, <br>1.832%, 8/15/2032(b)(c)(d) | $51808 |
| 4983868 | Federal Home Loan Mortgage Corp., REMIC, Series 4136, Class SG, IO, <br>1.832%, 11/15/2042(b)(c)(d) | 486008 |
| 3262592 | Federal Home Loan Mortgage Corp., REMIC, Series 4321, Class BS, <br>0.479%, 6/15/2039(b)(c)(d) | 151660 |
| 1236749 | Federal Home Loan Mortgage Corp., REMIC, Series 4512, Class IE, <br>4.500%, 3/15/2044(c)(d) | 155094 |
| 3554697 | Federal Home Loan Mortgage Corp., REMIC, Series 4672, Class SP, <br>1.782%, 4/15/2047(b)(c)(d) | 345869 |
| 1424809 | Federal Home Loan Mortgage Corp., REMIC, Series 4749, Class IO, <br>4.000%, 12/15/2047(c)(d) | 242977 |
| 3433511 | Federal Home Loan Mortgage Corp., REMIC, Series 5048, Class HI, IO, <br>4.500%, 1/15/2042(c) | 575374 |
| 174682 | Federal Home Loan Mortgage Corp., REMIC, Series 5065, Class EI, IO, <br>5.427%, 11/25/2044(b)(c) | 37614 |
| 8546043 | Federal Home Loan Mortgage Corp., REMIC, Series 5065, Class HI, IO, <br>4.929%, 4/15/2042(b)(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1508038 |
| 1166239 | Federal Home Loan Mortgage Corp., REMIC, Series 5078, Class MI, IO, <br>4.000%, 9/25/2043(c)(d) | 299883 |
| 15982751 | Federal Home Loan Mortgage Corp., REMIC, Series 5094, Class IO, <br>1.554%, 12/15/2048(b)(c) | 1136099 |
| 5815092 | Federal Home Loan Mortgage Corp., REMIC, Series 5187, Class EI, <br>4.500%, 1/25/2052(c) | 974562 |
| 3403986 | Federal Home Loan Mortgage Corp., REMIC, Series 5187, Class IA, <br>5.000%, 1/25/2052(c) | 547603 |
| 18983363 | Federal Home Loan Mortgage Corp., REMIC, Series 5187, Class IE, <br>4.000%, 1/25/2052(c) | 3398702 |
| 340016 | Federal Home Loan Mortgage Corp., REMIC, Series 5214, Class BI, <br>0.903%, 4/25/2052(b)(c) | 13849 |
| 125000 | Federal Home Loan Mortgage Corp., REMIC, Series 5214, Class BY, <br>3.000%, 4/25/2052 | 100967 |
| 202290 | Federal Home Loan Mortgage Corp., Series 224, Class IO, <br>6.000%, 3/01/2033(c)(d) | 31724 |
| 12808 | Federal National Mortgage Association, REMIC, Series 1996-45, Class SC, <br>2.861%, 1/25/2024(b)(c)(d) | 127 |
| 684105 | Federal National Mortgage Association, REMIC, Series 2005-22, Class DG, <br>6.810%, 4/25/2035(b)(d) | 652836 |
| 1149658 | Federal National Mortgage Association, REMIC, Series 2005-45, Class DA, <br>8.328%, 6/25/2035(b) | 1211424 |
| 2099477 | Federal National Mortgage Association, REMIC, Series 2005-62, Class GZ, <br>5.750%, 7/25/2035 | 2138168 |
| 983295 | Federal National Mortgage Association, REMIC, Series 2006-46, Class SK, <br>8.108%, 6/25/2036(b) | 1040953 |
| 35579 | Federal National Mortgage Association, REMIC, Series 2006-69, Class KI, <br>2.911%, 8/25/2036(b)(c)(d) | 2557 |
| 260200 | Federal National Mortgage Association, REMIC, Series 2008-15, Class AS, <br>11.057%, 8/25/2036(b)(d) | 303090 |
| 654946 | Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, <br>3.421%, 8/25/2038(b) | 615101 |
| 173520 | Federal National Mortgage Association, REMIC, Series 2008-87, Class LD, <br>4.104%, 11/25/2038(b)(d) | 166955 |
| 729519 | Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, <br>2.363%, 3/25/2039(b)(d) | 658465 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Collateralized Mortgage Obligations – continued** | **Collateralized Mortgage Obligations – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62688 | Federal National Mortgage Association, REMIC, Series 2010-75, Class MT, <br>1.504%, 12/25/2039(b)(d) | $56975 |
| 2621479 | Federal National Mortgage Association, REMIC, Series 2010-80, Class PZ, <br>5.000%, 7/25/2040 | 2614773 |
| 282244 | Federal National Mortgage Association, REMIC, Series 2011-100, Class SH, <br>3.580%, 11/25/2040(b) | 251329 |
| 2459750 | Federal National Mortgage Association, REMIC, Series 2011-51, Class SM, <br>1.461%, 6/25/2041(b)(c)(d) | 191740 |
| 1390041 | Federal National Mortgage Association, REMIC, Series 2012-14, Class MS, <br>2.111%, 3/25/2042(b)(c)(d) | 130294 |
| 990295 | Federal National Mortgage Association, REMIC, Series 2012-21, Class SB, <br>1.561%, 3/25/2042(b)(c)(d) | 64128 |
| 3329211 | Federal National Mortgage Association, REMIC, Series 2012-97, Class SB, <br>1.611%, 9/25/2042(b)(c)(d) | 319035 |
| 396352 | Federal National Mortgage Association, REMIC, Series 2013-109, Class US, <br>1.485%, 7/25/2043(b)(d) | 307509 |
| 1627449 | Federal National Mortgage Association, REMIC, Series 2013-117, Class S, <br>2.211%, 11/25/2043(b)(c)(d) | 209306 |
| 1769384 | Federal National Mortgage Association, REMIC, Series 2013-34, Class PS, <br>1.761%, 8/25/2042(b)(c)(d) | 101563 |
| 11710422 | Federal National Mortgage Association, REMIC, Series 2014-15, Class SA, <br>1.661%, 4/25/2044(b)(c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1051947 |
| 860113 | Federal National Mortgage Association, REMIC, Series 2014-28, Class SD, <br>1.661%, 5/25/2044(b)(c)(d) | 54691 |
| 355880 | Federal National Mortgage Association, REMIC, Series 2015-55, Class KT, <br>1.399%, 5/25/2041(b)(d) | 316833 |
| 8038255 | Federal National Mortgage Association, REMIC, Series 2016-22, Class ST, IO, <br>1.711%, 4/25/2046(b)(c) | 524536 |
| 1238832 | Federal National Mortgage Association, REMIC, Series 2016-26, Class KL, <br>1.865%, 11/25/2042(b) | 896053 |
| 8864078 | Federal National Mortgage Association, REMIC, Series 2016-32, Class SA, <br>1.711%, 10/25/2034(b)(c) | 610273 |
| 10801612 | Federal National Mortgage Association, REMIC, Series 2016-60, Class ES, <br>1.711%, 9/25/2046(b)(c) | 813534 |
| 7303506 | Federal National Mortgage Association, REMIC, Series 2016-60, Class QS, <br>1.711%, 9/25/2046(b)(c) | 546580 |
| 4410629 | Federal National Mortgage Association, REMIC, Series 2016-82, Class SC, <br>1.711%, 11/25/2046(b)(c)(d) | 302109 |
| 4618820 | Federal National Mortgage Association, REMIC, Series 2016-82, Class SG, <br>1.711%, 11/25/2046(b)(c) | 295447 |
| 5425243 | Federal National Mortgage Association, REMIC, Series 2016-93, Class SL, <br>2.261%, 12/25/2046(b)(c) | 385377 |
| 7484152 | Federal National Mortgage Association, REMIC, Series 2017-26, Class SA, <br>1.761%, 4/25/2047(b)(c) | 458997 |
| 40735864 | Federal National Mortgage Association, REMIC, Series 2017-57, Class SD, IO, <br>0.364%, 8/25/2047(b)(c) | 1031306 |
| 3565741 | Federal National Mortgage Association, REMIC, Series 2020-72, Class LI, IO, <br>5.000%, 12/25/2040(c) | 790624 |
| 13593418 | Federal National Mortgage Association, REMIC, Series 2021-24, Class IO, <br>1.161%, 3/25/2059(b)(c) | 1000196 |
| 5703596 | Federal National Mortgage Association, REMIC,Series 2013-66, Class LI, IO, <br>7.000%, 7/25/2043(c) | 984445 |
| 269605 | Federal National Mortgage Association, Series 334, Class 11, <br>6.000%, 3/25/2033(c)(d) | 41654 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Collateralized Mortgage Obligations – continued** | **Collateralized Mortgage Obligations – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68880 | Federal National Mortgage Association, Series 334, Class 19, <br>7.000%, 2/25/2033(b)(c)(d) | $13837 |
| 290153 | Federal National Mortgage Association, Series 339, Class 13, <br>6.000%, 6/25/2033(c)(d) | 48845 |
| 182534 | Federal National Mortgage Association, Series 339, Class 7, <br>5.500%, 11/25/2033(c)(d) | 29729 |
| 644325 | Federal National Mortgage Association, Series 356, Class 13, <br>5.500%, 6/25/2035(c)(d) | 124097 |
| 271426 | Federal National Mortgage Association, Series 359, Class 17, <br>6.000%, 7/25/2035(c)(d) | 53435 |
| 144452 | Federal National Mortgage Association, Series 374, Class 18, <br>6.500%, 8/25/2036(c)(d) | 29157 |
| 315951 | Federal National Mortgage Association, Series 374, Class 20, <br>6.500%, 9/25/2036(c)(d) | 65333 |
| 147435 | Federal National Mortgage Association, Series 374, Class 22, <br>7.000%, 10/25/2036(c)(d) | 32546 |
| 157758 | Federal National Mortgage Association, Series 374, Class 23, <br>7.000%, 10/25/2036(c)(d) | 30109 |
| 218530 | Federal National Mortgage Association, Series 374, Class 24, <br>7.000%, 6/25/2037(c)(d) | 49861 |
| 193828 | Federal National Mortgage Association, Series 381, Class 12, <br>6.000%, 11/25/2035(c)(d) | 35852 |
| 91714 | Federal National Mortgage Association, Series 381, Class 13, <br>6.000%, 11/25/2035(b)(c)(d) | 16953 |
| 125052 | Federal National Mortgage Association, Series 381, Class 18, <br>7.000%, 3/25/2037(c)(d) | 24795 |
| 74829 | Federal National Mortgage Association, Series 381, Class 19, <br>7.000%, 3/25/2037(b)(c)(d) | 15488 |
| 22121 | Federal National Mortgage Association, Series 383, Class 32, <br>6.000%, 1/25/2038(c)(d) | 4391 |
| 686197 | Federal National Mortgage Association, Series 384, Class 20, <br>5.500%, 5/25/2036(b)(c)(d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;126581 |
| 238820 | Federal National Mortgage Association, Series 384, Class 31, <br>6.500%, 7/25/2037(c)(d) | 51088 |
| 157502 | Federal National Mortgage Association, Series 384, Class 36, <br>7.000%, 7/25/2037(b)(c)(d) | 21348 |
| 172261 | Federal National Mortgage Association, Series 384, Class 4, <br>4.500%, 9/25/2036(b)(c)(d) | 12000 |
| 101583 | Federal National Mortgage Association, Series 385, Class 23, <br>7.000%, 7/25/2037(c)(d) | 21409 |
| 18896 | Federal National Mortgage Association, Series 386, Class 25, <br>7.000%, 3/25/2038(b)(c)(d) | 4448 |
| 345035 | Government National Mortgage Association, Series 2009-65, Class NZ, <br>5.500%, 8/20/2039(d) | 345918 |
| 175750 | Government National Mortgage Association, Series 2010-H02, Class FA, <br>1-month LIBOR + 0.680%, 4.735%, 2/20/2060(a) | 174534 |
| 107328 | Government National Mortgage Association, Series 2010-H22, Class FE, <br>1-month LIBOR + 0.350%, 4.192%, 5/20/2059(a)(d) | 105942 |
| 120057 | Government National Mortgage Association, Series 2010-H24, Class FA, <br>1-month LIBOR + 0.350%, 4.192%, 10/20/2060(a) | 118863 |
| 117395 | Government National Mortgage Association, Series 2011-H05, Class FB, <br>1-month LIBOR + 0.500%, 4.342%, 12/20/2060(a) | 116417 |
| 54880 | Government National Mortgage Association, Series 2011-H11, Class FA, <br>1-month LIBOR + 0.500%, 4.342%, 3/20/2061(a) | 54471 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Collateralized Mortgage Obligations – continued** | **Collateralized Mortgage Obligations – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65821 | Government National Mortgage Association, Series 2011-H21, Class FA, <br>1-month LIBOR + 0.600%, 4.442%, 10/20/2061(a)(d) | $65130 |
| 187360 | Government National Mortgage Association, Series 2011-H21, Class FT, <br>1-year CMT + 0.700%, 4.892%, 10/20/2061(a)(d) | 186207 |
| 4411 | Government National Mortgage Association, Series 2012-H11, Class BA, <br>2.000%, 5/20/2062(d) | 3949 |
| 274550 | Government National Mortgage Association, Series 2012-H22, Class HD, <br>5.310%, 1/20/2061(b)(d) | 272926 |
| 4922 | Government National Mortgage Association, Series 2012-H24, Class FE, <br>1-month LIBOR + 0.600%, 4.442%, 10/20/2062(a)(d) | 4821 |
| 99040 | Government National Mortgage Association, Series 2012-H24, Class HI, <br>1.167%, 10/20/2062(b)(c)(d) | 6382 |
| 219745 | Government National Mortgage Association, Series 2013-H01, Class JA, <br>1-month LIBOR + 0.320%, 4.162%, 1/20/2063(a)(d) | 216260 |
| 31815 | Government National Mortgage Association, Series 2013-H11, Class JA, <br>3.500%, 4/20/2063(d) | 30428 |
| 1293440 | Government National Mortgage Association, Series 2013-H13, Class SI, <br>1.259%, 6/20/2063(b)(c)(d) | 45970 |
| 6272498 | Government National Mortgage Association, Series 2013-H16, Class AI, <br>1.447%, 7/20/2063(b)(c)(d) | 133013 |
| 4165355 | Government National Mortgage Association, Series 2013-H18, Class EI, <br>1.682%, 7/20/2063(b)(c)(d) | 195228 |
| 753417 | Government National Mortgage Association, Series 2013-H18, Class JI, <br>1.231%, 8/20/2063(b)(c)(d) | 14383 |
| 137630 | Government National Mortgage Association, Series 2013-H20, Class FA, <br>1-month LIBOR + 0.600%, 4.442%, 8/20/2063(a)(d) | 135973 |
| 14068252 | Government National Mortgage Association, Series 2014-H24, Class HI, <br>0.989%, 9/20/2064(b)(c)(d) | 304192 |
| 1854071 | Government National Mortgage Association, Series 2015-152, Class PI, IO, <br>4.000%, 10/20/2045(c)(d) | 231582 |
| 16469999 | Government National Mortgage Association, Series 2015-H01, Class XZ, <br>4.583%, 10/20/2064(b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16251058 |
| 444447 | Government National Mortgage Association, Series 2015-H04, Class HA, <br>3.500%, 11/20/2064(b)(d) | 431854 |
| 3433 | Government National Mortgage Association, Series 2015-H05, Class FA, <br>1-month LIBOR + 0.300%, 4.142%, 4/20/2061(a)(d) | 3299 |
| 2154205 | Government National Mortgage Association, Series 2015-H10, Class JA, <br>2.250%, 4/20/2065 | 2077088 |
| 9285 | Government National Mortgage Association, Series 2015-H13, Class FL, <br>1-month LIBOR + 0.280%, 4.122%, 5/20/2063(a)(d) | 8835 |
| 11669 | Government National Mortgage Association, Series 2015-H19, Class FA, <br>1-month LIBOR + 0.200%, 4.042%, 4/20/2063(a)(d) | 11136 |
| 350801 | Government National Mortgage Association, Series 2015-H28, Class JZ, <br>5.003%, 3/20/2065(b)(d) | 345265 |
| 2686 | Government National Mortgage Association, Series 2015-H29, Class FA, <br>1-month LIBOR + 0.700%, 4.542%, 10/20/2065(a)(d) | 2578 |
| 138333 | Government National Mortgage Association, Series 2015-H29, Class HZ, <br>4.596%, 9/20/2065(b)(d) | 131104 |
| 3288 | Government National Mortgage Association, Series 2015-H30, Class FA, <br>1-month LIBOR + 0.680%, 4.522%, 8/20/2061(a)(d) | 3140 |
| 1444312 | Government National Mortgage Association, Series 2016-17, Class GT, <br>1.162%, 8/20/2045(b) | 1129198 |
| 520973 | Government National Mortgage Association, Series 2016-23, Class PA, <br>5.644%, 7/20/2037(b)(d) | 516362 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Collateralized Mortgage Obligations – continued** | **Collateralized Mortgage Obligations – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10293449 | Government National Mortgage Association, Series 2016-H01, Class AI, <br>0.021%, 1/20/2066(b)(c)(d) | $278792 |
| 15305505 | Government National Mortgage Association, Series 2016-H09, Class JI, <br>0.026%, 4/20/2066(b)(c)(d) | 427223 |
| 208069 | Government National Mortgage Association, Series 2016-H14, Class JZ, <br>4.126%, 8/20/2063(b)(d) | 201555 |
| 482209 | Government National Mortgage Association, Series 2016-H19, Class CZ, <br>4.758%, 8/20/2066(b)(d) | 475380 |
| 35927 | Government National Mortgage Association, Series 2016-H19, Class EZ, <br>5.165%, 6/20/2061(b)(d) | 33291 |
| 4398593 | Government National Mortgage Association, Series 2017-128, Class IO, <br>0.980%, 12/16/2056(b)(c)(d) | 202459 |
| 5498846 | Government National Mortgage Association, Series 2017-26, Class IM, IO, <br>6.500%, 2/20/2047(c)(d) | 806467 |
| 1930297 | Government National Mortgage Association, Series 2017-H05, Class AI, IO, <br>0.040%, 1/20/2067(b)(c) | 89925 |
| 7627147 | Government National Mortgage Association, Series 2018-110, Class IO, <br>0.606%, 1/16/2060(b)(c)(d) | 371677 |
| 12017283 | Government National Mortgage Association, Series 2018-129, Class IO, <br>0.617%, 7/16/2060(b)(c) | 526929 |
| 12023758 | Government National Mortgage Association, Series 2018-143, Class IO, <br>0.488%, 10/16/2060(b)(c) | 581637 |
| 52428 | Government National Mortgage Association, Series 2018-H02, Class FJ, <br>1-month LIBOR + 0.200%, 4.042%, 10/20/2064(a)(d) | 51895 |
| 4336583 | Government National Mortgage Association, Series 2018-H16, Class CZ, <br>4.269%, 5/20/2068(b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4108531 |
| 280000 | Government National Mortgage Association, Series 2019-111, Class LP, <br>3.500%, 9/20/2049(d) | 226019 |
| 17672531 | Government National Mortgage Association, Series 2019-116, Class IO, <br>0.622%, 12/16/2061(b)(c) | 902854 |
| 324000 | Government National Mortgage Association, Series 2019-132, Class LP, <br>3.500%, 10/20/2049(d) | 261919 |
| 8447001 | Government National Mortgage Association, Series 2019-152, Class LI, <br>1.197%, 2/20/2044(b)(c)(d) | 924965 |
| 2341071 | Government National Mortgage Association, Series 2019-44, Class BS, <br>1.697%, 4/20/2049(b)(c)(d) | 165417 |
| 10012870 | Government National Mortgage Association, Series 2019-70, Class SK, <br>1.647%, 8/20/2043(b)(c) | 938216 |
| 2086048 | Government National Mortgage Association, Series 2019-H02, Class BZ, <br>4.262%, 1/20/2069(b) | 1919713 |
| 4075853 | Government National Mortgage Association, Series 2020-148, Class IJ, IO, <br>3.000%, 6/20/2049(c)(d) | 938579 |
| 11096300 | Government National Mortgage Association, Series 2020-47, Class IQ, <br>3.500%, 3/20/2050(c) | 2785032 |
| 55412090 | Government National Mortgage Association, Series 2021-H03, Class IO, <br>0.789%, 4/20/2070(b)(c)(d) | 162243 |
| 8565402 | Government National Mortgage Association, Series 2021-H08, Class IA, IO, <br>0.856%, 1/20/2068(b)(c)(d) | 71416 |
| 5306804 | Government National Mortgage Association, Series 2021-H17, Class IO, <br>0.855%, 3/20/2070(b)(c)(d) | 31769 |
|  |  | 77905648 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Mortgage Related – 36.5%** | **Mortgage Related – 36.5%** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91238661 | FHLMC, <br>2.000%, with various maturities from 2050 to 2052(e) | $74454574 |
| 16214888 | FHLMC, <br>2.500%, with various maturities from 2050 to 2052(e) | 13629024 |
| 157377225 | FNMA, <br>2.000%, with various maturities from 2050 to 2051(e) | 128439811 |
| 121870278 | FNMA, <br>2.500%, with various maturities from 2050 to 2052(e) | 103448940 |
| 81916533 | FNMA, <br>3.000%, with various maturities from 2047 to 2052(e) | 72032962 |
| 467665 | FNMA, <br>4.000%, 1/01/2052 | 436054 |
| 9 | GNMA, <br>5.470%, 11/20/2059(b) | 9 |
| 28000000 | GNMA (TBA), <br>5.500%, 1/01/2053(f) | 28156565 |
| 122020 | Government National Mortgage Association, Series 2018-H12, Class HZ, <br>4.628%, 8/20/2068(b)(d) | 115649 |
| 2500771 | Government National Mortgage Association, Series 2019-HO2, Class JA, <br>3.500%, 12/20/2068 | 2364469 |
| 9563379 | Government National Mortgage Association, Series 2020-148, Class EI, <br>3.000%, 11/20/2049(c) | 2141108 |
| 8270000 | UMBS<sup>®</sup> (TBA), <br>3.500%, 1/01/2053(f) | 7511663 |
| 8000000 | UMBS<sup>®</sup> (TBA), <br>4.000%, 1/01/2053(f) | 7501280 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;440232108 |
|  | **Non-Agency Commercial Mortgage-Backed Securities – 12.5%** | **Non-Agency Commercial Mortgage-Backed Securities – 12.5%** |
| 3720000 | BANK, Series 2019-BN20, Class A3, <br>3.011%, 9/15/2062 | 3251296 |
| 3525000 | BANK, Series 2019-BN22, Class A4, <br>2.978%, 11/15/2062 | 3072835 |
| 1770000 | BANK, Series 2020-BN25, Class A5, <br>2.649%, 1/15/2063 | 1504248 |
| 3649000 | BANK, Series 2020-BN26, Class A4, <br>2.403%, 3/15/2063 | 3048885 |
| 785000 | BANK, Series 2020-BN28, Class AS, <br>2.140%, 3/15/2063 | 599200 |
| 5300000 | BANK, Series 2022-BNK39, Class A4, <br>2.928%, 2/15/2055 | 4472169 |
| 1000000 | Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2016-UB10, Class A4, <br>3.170%, 7/15/2049 | 926810 |
| 4045000 | Barclays Commercial Mortgage Securities Trust, Series 2020-BID, Class A, <br>1-month LIBOR + 2.140%, 6.458%, 10/15/2037, 144A(a) | 3903820 |
| 3330000 | Benchmark Mortgage Trust, Series 2019-B10, Class A4, <br>3.717%, 3/15/2062 | 3075271 |
| 5185000 | Benchmark Mortgage Trust, Series 2019-B13, Class A4, <br>2.952%, 8/15/2057 | 4548657 |
| 4970000 | BMO Mortgage Trust, Series 2022-C1, Class A5, <br>3.374%, 2/17/2055(b) | 4311733 |
| 1860000 | BPR Trust, Series 2022-STAR, Class A, <br>1-month SOFR + 3.232%, 7.568%, 8/15/2024, 144A(a) | 1830384 |

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| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Non-Agency Commercial Mortgage-Backed Securities – continued** | **Non-Agency Commercial Mortgage-Backed Securities – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2770000 | BX Commercial Mortgage Trust, Series 2022-AHP, Class B, <br>1-month SOFR + 1.840%, 6.176%, 1/17/2039, 144A(a) | $2619304 |
| 510000 | CALI Mortgage Trust, Series 2019-101C, Class A, <br>3.957%, 3/10/2039, 144A | 439610 |
| 120427 | Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class AM, <br>3.416%, 10/15/2045, 144A | 108260 |
| 2309782 | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, <br>3.400%, 10/05/2030, 144A | 1980378 |
| 2572000 | Commercial Mortgage Pass Through Certificates, Series 2013-CR13, Class A4, <br>4.194%, 11/10/2046(b) | 2526884 |
| 1260108 | Commercial Mortgage Pass Through Certificates, Series 2013-CR6, Class A4, <br>3.101%, 3/10/2046 | 1256062 |
| 313330 | Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, <br>3.147%, 2/10/2047 | 310134 |
| 516076 | Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, <br>3.653%, 4/10/2047 | 510927 |
| 507453 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A4, <br>3.691%, 3/10/2047 | 496263 |
| 1300000 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, <br>3.961%, 3/10/2047 | 1270499 |
| 2520000 | Commercial Mortgage Pass Through Certificates, Series 2014-UBS5, Class A4, <br>3.838%, 9/10/2047 | 2433036 |
| 3110000 | Commercial Mortgage Pass Through Certificates, Series 2015-DC1, Class A5, <br>3.350%, 2/10/2048 | 2960481 |
| 726088 | Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, <br>3.550%, 2/10/2049 | 702843 |
| 6160000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, <br>3.953%, 9/15/2037, 144A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5534134 |
| 1805000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, <br>4.185%, 9/15/2037, 144A | 1532156 |
| 2045000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class C, <br>4.336%, 9/15/2037, 144A | 1651245 |
| 2405000 | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4, <br>2.968%, 12/15/2052 | 2066254 |
| 5365000 | DROP Mortgage Trust, Series 2021-FILE, Class A, <br>1-month LIBOR + 1.150%, 5.470%, 10/15/2043, 144A(a) | 5109211 |
| 3563102 | Extended Stay America Trust, Series 2021-ESH, Class C, <br>1-month LIBOR + 1.700%, 6.018%, 7/15/2038, 144A(a) | 3420087 |
| 3690000 | GS Mortgage Securities Corp. II, Series 2012-BWTR, Class A, <br>2.954%, 11/05/2034, 144A | 3225751 |
| 5775000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, <br>3.550%, 3/05/2033, 144A(b) | 5238501 |
| 3461000 | GS Mortgage Securities Trust, Series 2013-GC16, Class B, <br>5.161%, 11/10/2046(b) | 3370465 |
| 5100000 | GS Mortgage Securities Trust, Series 2014-GC18, Class AS, <br>4.383%, 1/10/2047 | 4878899 |
| 1295000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, <br>4.885%, 1/10/2047(b) | 1185554 |
| 1416000 | GS Mortgage Securities Trust, Series 2014-GC20, Class A5, <br>3.998%, 4/10/2047 | 1383683 |
| 2373000 | GS Mortgage Securities Trust, Series 2014-GC22, Class C, <br>4.686%, 6/10/2047(b) | 2204745 |
| 5000000 | GS Mortgage Securities Trust, Series 2019-GSA1, Class A4, <br>3.048%, 11/10/2052 | 4347720 |

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| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | **Non-Agency Commercial Mortgage-Backed Securities – continued** | **Non-Agency Commercial Mortgage-Backed Securities – continued** |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2555000 | GS Mortgage Securities Trust, Series 2020-GC45, Class A5, <br>2.911%, 2/13/2053 | $2098754 |
| 5885000 | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10, <br>4.155%, 8/05/2034, 144A | 5120574 |
| 1575000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, <br>4.064%, 12/15/2047, 144A(b) | 1488162 |
| 2405000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class AS, <br>4.243%, 4/15/2047(b) | 2317315 |
| 346378 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, <br>3.584%, 4/15/2047 | 341805 |
| 730000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C25, Class AS, <br>4.065%, 11/15/2047 | 695731 |
| 1268338 | Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, <br>3.277%, 10/15/2030, 144A | 1021012 |
| 930000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C16, Class B, <br>4.315%, 6/15/2047(b) | 877312 |
| 640393 | Morgan Stanley Capital I Trust, Series 2011-C2, Class D, <br>5.211%, 6/15/2044, 144A(b) | 576354 |
| 3285000 | Morgan Stanley Capital I Trust, Series 2013-ALTM, Class A2, <br>3.705%, 2/05/2035, 144A(b) | 2988159 |
| 5780000 | Morgan Stanley Capital I Trust, Series 2019-L3, Class A4, <br>3.127%, 11/15/2052 | 5022391 |
| 2085000 | Morgan Stanley Capital I Trust, Series 2021-L5, Class A4, <br>2.728%, 5/15/2054 | 1727990 |
| 3475000 | RBS Commercial Funding, Inc., Trust, Series 2013-SMV, Class C, <br>3.584%, 3/11/2031, 144A(b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3266500 |
| 1861317 | Starwood Retail Property Trust, Series 2014-STAR, Class A, <br>1-month LIBOR + 1.470%, 5.788%, 11/15/2027, 144A(a) | 1288962 |
| 6500000 | Starwood Retail Property Trust, Series 2014-STAR, Class B, <br>1-month LIBOR + 1.900%, 6.218%, 11/15/2027, 144A(a)(d) | 4112266 |
| 1350000 | UBS Commercial Mortgage Trust, Series 2019-C16, Class A4, <br>3.605%, 4/15/2052 | 1221628 |
| 4000000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class AS, <br>4.020%, 8/15/2050 | 3824620 |
| 1833492 | Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class ASB, <br>3.400%, 6/15/2048 | 1783251 |
| 5000000 | Wells Fargo Commercial Mortgage Trust, Series 2018-C48, Class A5, <br>4.302%, 1/15/2052 | 4741994 |
| 5012000 | Wells Fargo Commercial Mortgage Trust, Series 2019-C54, Class A4, <br>3.146%, 12/15/2052 | 4376208 |
| 1875000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class AS, <br>4.358%, 8/15/2046(b) | 1841401 |
| 790000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS, <br>4.176%, 5/15/2047 | 761895 |
| 1149266 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, <br>3.638%, 5/15/2047 | 1133145 |
| 535000 | WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, <br>4.204%, 11/15/2047(b) | 485707 |
|  |  | 150421530 |

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| | | |
|:---|:---|:---|
| **Principal<br>Amount** | **Description** | **Value (†)** |
| **Bonds and Notes – continued** | **Bonds and Notes – continued** |  |
|  | Total Bonds and Notes <br>(Identified Cost $1,337,689,961) | 1104880023 |
| **Collateralized Loan Obligations – 7.4%** | **Collateralized Loan Obligations – 7.4%** |  |
| $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2225000 | AGL CLO 12 Ltd., Series 2021-12A, Class B, <br>3-month LIBOR + 1.600%, 5.843%, 7/20/2034, 144A(a) | $2122009 |
| 3000000 | AGL CLO 3 Ltd., Series 2020-3A, Class A, <br>3-month LIBOR + 1.300%, 5.379%, 1/15/2033, 144A(a) | 2944485 |
| 5255000 | Alinea CLO Ltd., Series 2018-1A, Class B, <br>3-month LIBOR + 1.650%, 5.893%, 7/20/2031, 144A(a) | 5069819 |
| 595000 | Allegro CLO VIII Ltd., Series 2018-2A, Class B1, <br>3-month LIBOR + 1.670%, 5.749%, 7/15/2031, 144A(a) | 573733 |
| 3835000 | Dryden 53 CLO Ltd., Series 2017-53A, Class B, <br>3-month LIBOR + 1.400%, 5.479%, 1/15/2031, 144A(a) | 3695951 |
| 4275000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class B1, <br>3-month LIBOR + 1.550%, 5.793%, 1/20/2034, 144A(a) | 4101580 |
| 1565000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, <br>3-month LIBOR + 1.700%, 6.365%, 11/22/2031, 144A(a) | 1508502 |
| 2675000 | Greystone Commercial Real Estate Notes CDO Ltd., Series 2021-HC2, Class A, <br>1-month SOFR + 1.914%, 6.250%, 12/15/2039, 144A(a) | 2599958 |
| 3497500 | Hayfin U.S. XII Ltd., Series 2018-8A, Class B, <br>3-month LIBOR + 1.480%, 5.723%, 4/20/2031, 144A(a) | 3356376 |
| 3005000 | LCM 30 Ltd., Series 30A, Class BR, <br>3-month LIBOR + 1.500%, 5.743%, 4/20/2031, 144A(a) | 2870577 |
| 1750000 | Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR, <br>3-month LIBOR + 1.200%, 5.615%, 7/29/2030, 144A(a) | 1733354 |
| 2350000 | Magnetite XXIX Ltd., Series 2021-29A, Class B, <br>3-month LIBOR + 1.400%, 5.479%, 1/15/2034, 144A(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2233626 |
| 2075000 | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, <br>3-month LIBOR + 1.650%, 5.729%, 7/15/2034, 144A(a) | 1997376 |
| 2560000 | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-40A, Class B, <br>3-month LIBOR + 1.400%, 5.479%, 4/16/2033, 144A(a) | 2463419 |
| 5280000 | OCP CLO Ltd., Series 2020-8RA, Class A2, <br>3-month LIBOR + 1.550%, 5.629%, 1/17/2032, 144A(a) | 5049143 |
| 2040000 | Octagon Investment Partners Ltd., Series 2018-18A, Class A2, <br>3-month LIBOR + 1.470%, 5.549%, 4/16/2031, 144A(a) | 1961146 |
| 4045000 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class BR, <br>3-month LIBOR + 1.600%, 5.878%, 4/21/2034, 144A(a) | 3895226 |
| 4205000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, <br>3-month LIBOR + 1.650%, 5.893%, 7/02/2035, 144A(a) | 4058233 |
| 5300000 | OHA Credit Funding Ltd., Series 2021-8A, Class B1, <br>3-month LIBOR + 1.500%, 5.694%, 1/18/2034, 144A(a) | 5105819 |
| 4970000 | Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, <br>3-month LIBOR + 1.500%, 5.727%, 10/17/2031, 144A(a) | 4800409 |
| 575000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, <br>3-month LIBOR + 1.700%, 6.375%, 5/21/2034, 144A(a) | 549937 |
| 690000 | Palmer Square Loan Funding Ltd., Series 2020-1A, Class B, <br>3-month LIBOR + 1.900%, 6.575%, 2/20/2028, 144A(a) | 671272 |
| 3800000 | Post CLO Ltd., Series 2022-1A, Class A, <br>3-month SOFR + 1.380%, 5.343%, 4/20/2035, 144A(a) | 3703780 |
| 1035000 | Recette CLO Ltd., Series 2015-1A, Class BRR, <br>3-month LIBOR + 1.400%, 5.643%, 4/20/2034, 144A(a) | 970870 |
| 7650000 | Rockland Park CLO Ltd., Series 2021-1A, Class B, <br>3-month LIBOR + 1.650%, 5.893%, 4/20/2034, 144A(a) | 7368396 |
| 5900000 | TICP CLO VII Ltd., Series 2017-7A, Class BR, <br>3-month LIBOR + 1.700%, 5.779%, 4/15/2033, 144A(a) | 5708604 |

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| | | | |
|:---|:---|:---|:---|
| **Principal<br>Amount** | **Principal<br>Amount** | **Description** | **Value (†)** |
|  **Collateralized Loan Obligations – continued** | **Collateralized Loan Obligations – continued** | **Collateralized Loan Obligations – continued** |  |
| $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3830000 | VERDE CLO Ltd., Series 2019-1A, Class BR, <br>3-month LIBOR + 1.600%, 5.679%, 4/15/2032, 144A(a) | $3661231 |
|  | 3000000 | Vibrant CLO Ltd., Series 2018-10A, Class A1, <br>3-month LIBOR + 1.200%, 5.443%, 10/20/2031, 144A(a) | 2931021 |
|  | 1315000 | Voya CLO Ltd., Series 2013-3A, Class A2RR, <br>3-month LIBOR + 1.700%, 5.894%, 10/18/2031, 144A(a) | 1260657 |
|  |  | Total Collateralized Loan Obligations <br>(Identified Cost $91,792,422) | 88966509 |
|  **Loan Participations – 0.3%** | **Loan Participations – 0.3%** | **Loan Participations – 0.3%** |  |
|  |  | **ABS Other – 0.1%** | **ABS Other – 0.1%** |
|  | 2235676 | Harbour Aircraft Investments Ltd., Series 2017-1, Class A, <br>4.000%, 11/15/2037 | 1739224 |
|  |  | **Agency Commercial Mortgage-Backed Securities – 0.2%** | **Agency Commercial Mortgage-Backed Securities – 0.2%** |
|  | 33512452 | Government National Mortgage Association, Series 2020-130, Class IO, <br>1.014%, 8/16/2060(b)(c) | 2324434 |
|  |  | Total Loan Participations <br>(Identified Cost $5,290,090) | 4063658 |
|  **Short-Term Investments – 3.7%** | **Short-Term Investments – 3.7%** | **Short-Term Investments – 3.7%** |  |
|  | 19996174 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $20,000,173 on 1/03/2023 collateralized by $23,312,000 U.S. Treasury Note, 1.250% due 3/31/2028 valued at $20,396,182 including accrued interest(g) | 19996174 |
|  | 18000000 | U.S. Treasury Bills, <br>4.237%, 3/16/2023(h)(i) | 17850726 |
|  | 5000000 | U.S. Treasury Bills, <br>2.960%, 5/18/2023(h)(i) | 4915356 |
|  | 2000000 | U.S. Treasury Bills, <br>4.223%, 3/23/2023(h) | 1981385 |
|  |  | Total Short-Term Investments <br>(Identified Cost $44,764,091) | 44743641 |
|  |  | Total Investments – 103.1% <br>(Identified Cost $1,479,536,564) | 1242653831 |
|  |  | Other assets less liabilities – (3.1)% | (37880198) |
|  |  | Net Assets – 100.0% | $1204773633 |

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| | |
|:---|:---|
| (†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund's Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board's oversight.  |

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Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value per share.

Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.

Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and collateralized loan obligations where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment.

The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer's security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund's investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund's net asset value ("NAV") is calculated. Fair valuation by the Fund's valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund's NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

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

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

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

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

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

(f) When-issued/delayed delivery. The Fund may enter into when-issued or delayed delivery transactions. When-issued
refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price
of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time
the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Fund take delivery of the security. No interest accrues to the Fund until the transaction settles. Delayed delivery transactions
include those designated as To Be Announced ("TBAs") in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is "to be
announced" 48 hours prior to the established trade settlement date. Certain transactions require the Fund or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Fund covers its net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or
securities.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Fund's NAV as if the Fund's had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

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(g) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which
the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund's policy that the market value of the collateral for repurchase agreements be at least equal to
102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of
the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. As of
December 31, 2022, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

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

(i) Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

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| | |
|:---|:---|
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the value of Rule 144A holdings amounted to $373,487,358 or 31.0% of net assets.  |

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ABS Asset-Backed Securities

CMT Constant Maturity Treasury

FHLMC Federal Home Loan Mortgage Corp.

FNMA Federal National Mortgage Association

GNMA Government National Mortgage Association

LIBOR London Interbank Offered Rate

REMIC Real Estate Mortgage Investment Conduit

SLM Sallie Mae

SOFR Secured Overnight Financing Rate

TBA To Be Announced

UMBS® Uniform Mortgage-Backed Securities

**Futures Contracts** 

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as "initial margin." As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as "variation margin," are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund's ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund's claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At December 31, 2022, open long futures contracts were as follows:

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Financial Futures** | **Expiration<br>Date** | **Contracts** | **Notional<br>Amount** | **Value** | **Unrealized<br>Appreciation<br>(Depreciation)** |
|  5 Year U.S. Treasury Note | 3/31/2023 | 446 | $48212067 | $48136641 | $(75426) |
|  10 Year U.S. Treasury Note | 3/22/2023 | 763 | 86195292 | 85682516 | (512776) |
|  30 Year U.S. Treasury Bond | 3/22/2023 | 259 | 32736790 | 32464031 | (272759) |
|  Ultra 10 Year U.S. Treasury Note | 3/22/2023 | 606 | 72154812 | 71678437 | (476375) |
|  Ultra Long U.S. Treasury Bond | 3/22/2023 | 202 | 27373373 | 27131125 | (242248) |
|  Total | Total | Total | Total | Total | $(1579584) |

---

------

**Fair Value Measurements** 

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

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

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

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

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

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

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

The following is a summary of the inputs used to value the Fund's investments as of December 31, 2022, at value:

------

**Asset Valuation Inputs** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| Description | Level 1 | Level 2 | Level 3 | Total |
|  Bonds and Notes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABS Home Equity | $— | $82077750 | $153914 | $82231664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Agency Commercial Mortgage-Backed Securities |  | 165154676 | 7187420 | 172342096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations |  | 59960644 | 17945004 | 77905648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mortgage Related |  | 440116459 | 115649 | 440232108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage-Backed Securities |  | 146309264 | 4112266 | 150421530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Bonds and Notes\* |  | 181746977 |  | 181746977 |
|  Total Bonds and Notes |  | 1075365770 | 29514253 | 1104880023 |
|  Collateralized Loan Obligations |  | 88966509 |  | 88966509 |
|  Loan Participations\* |  | 4063658 |  | 4063658 |
|  Short-Term Investments |  | 44743641 |  | 44743641 |
|  Total | $— | $1213139578 | $29514253 | $1242653831 |

---

**Liability Valuation Inputs** 

---

| | | | |
|:---|:---|:---|:---|
| Description | Level 1 | Level 2 | Total |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts (unrealized depreciation) | $(1579584) | $– $– $| (1579584) |

---

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

------

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

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

------

**Asset Valuation Inputs** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Investments in<br>Securities | Balance as of<br>September 30, 2022 | Accrued<br>Discounts<br>(Premiums) | Realized<br>Gain (Loss) | Change in<br>Unrealized<br>Appreciation<br>(Depreciation) | Purchases | Sales | Transfers into<br>Level 3 | Transfers out of<br>Level 3 | Balance as of<br>December 31, 2022 | Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held at<br>December 31,<br>2022 |
|  Bonds and Notes |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABS Home Equity | $120729 | $— | $(13514) | $46468 | $— | $231 | $— | $— | $153914 | $46605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Agency Commercial Mortgage-Backed Securities | 7314851 |  | (5699225) | 4618198 |  |  | 1240044 | (286448) | 7187420 | 4598571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | 18129628 | 8020 | (1186248) | (448353) | 1098333 | (706822) | 1050446 |  | 17945004 | (557465) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mortgage Related | 114303 |  |  | (55) | 1401 |  |  |  | 115649 | (55) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage-Backed Securities | 4270703 |  |  | (158437) |  |  |  |  | 4112266 | (158437) |
|  Total | $29950214 | $8020 | $(6898987) | $4057821 | $1099734 | $(706591) | $2290490 | $(286448) | $29514253 | $3929219 |

---

A debt security valued at $286,448 was transferred from Level 3 to Level 2 during the period ended December 31, 2022. At September 30, 2022, this security was fair valued as determined by the Fund's valuation designee as an independent pricing service did not provide a reliable price for the security. At December 31, 2022, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies.

Debt securities valued at $2,290,490 were transferred from Level 2 to Level 3 during the period ended December 31, 2022. At September 30, 2022, these securities were valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies. At December 31, 2022, these securities were fair valued as determined by the Fund's valuation designee as an independent pricing service did not provide a reliable price for the securities.

------

The significant unobservable inputs used for those securities fair valued by the adviser and categorized in Level 3 as of December 31, 2022, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Valuation Technique(s)** | **Unobservable Input** | **Unobservable<br>Input<br>Value(s)** | **Value** |
|  Bonds and Notes |  |  |  |  |
|  ABS Home Equity<sup>1</sup> | Market Discount | Discount Rate | 1.00% | $130852 |
|  |  |  | 3.00% | 23062 |
|  Agency Commercial Mortgage-Backed Securities<sup>1</sup> | Market Discount | Discount Rate | 1.00% | 6871969 |
|  |  |  | 2.00% | 315451 |
|  Collateralized Mortgage Obligations<sup>1</sup> | Market Discount | Discount Rate | 0.50% | 3044071 |
|  |  |  | 1.00% | 13847826 |
|  |  |  | 2.00% | 929904 |
|  |  |  | 3.00% | 123203 |
|  Mortgage Related<sup>1</sup> | Market Discount | Discount Rate | 1.00% | 115649 |
|  Non-Agency Commercial Mortgage-Backed Securities<sup>2</sup> | Discounted Cash Flows | Constant Default Rate | 100% |  |
|  |  | Loss Severity | 39% |  |
|  |  | Lag Time | 24 months |  |
|  |  | Loss Adjusted Spread | 12% | 4112266 |
|  |  |  |  | $29514253 |

---

---

| | |
|:---|:---|
| 1 | "Odd lot" securities (those with current principal below the normal trading size) are valued using a discount to the "round lot" price for the same security. The significant unobservable input used in the fair value measurement is the discount rate. Discount rates are set at a specific fixed rate depending on the size of the odd lot. The Unobservable Input Value(s) noted above reflect a range due to the fact that there are multiple odd lot securities within each asset type that have had different discount rates applied. A significant change in the discount rate could have a material effect on the fair value measurement. There is an inverse relationship between the discount rate and the fair value measurement, meaning a significant increase in the discount rate would result in a lower fair value measurement, and vice versa.  |

---

---

| | |
|:---|:---|
| 2 | Security is valued using a discounted cash flow model. The significant unobservable inputs used in the fair value measurement are the constant default rate, loss severity, lag time, and loss adjusted spread. Significant changes in input values could have a material effect on the fair value measurement. There is an inverse relationship between the loss severity, lag time, and loss adjusted spread and the fair value measurement, meaning a significant increase in any of those input values in isolation would have resulted in a lower fair value measurement, and vice versa. The constant default rate of 100% is based on the fact that the underlying loan is in default.  |

---

**Derivatives** 

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include futures contracts.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund's investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. As of December 31, 2022, the Fund used futures contracts to hedge against changes in interest rates and to manage duration.

The following is a summary of derivative instruments for the Fund, as of December 31, 2022.

---

| | |
|:---|:---|
| Liabilities | Unrealized<br>depreciation on<br>futures contracts |
|  Exchange-traded liability derivatives Interest rate contracts | $(1579584) |

---

------

The Fund's derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund's investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Counterparty risk is managed based on policies and procedures established by each Fund's adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange's clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker's customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker's customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of December 31, 2022:

---

| | |
|:---|:---|
| Maximum Amount<br> of Loss - Gross | Maximum Amount of<br> Loss - Net |
| $13570203 | $13570203 |

---

------

Industry Summary at December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
|  Mortgage Related | 36.5% |
|  Agency Commercial Mortgage-Backed Securities | 14.5 |
|  Non-Agency Commercial Mortgage-Backed Securities | 12.5 |
|  ABS Home Equity | 6.8 |
|  Collateralized Mortgage Obligations | 6.5 |
|  ABS Other | 5.8 |
|  ABS Car Loan | 5.7 |
|  ABS Student Loan | 2.6 |
|  Other Investments, less than 2% each | 1.1 |
|  Collateralized Loan Obligations | 7.4 |
|  Short-Term Investments | 3.7 |
|  Total Investments | 103.1 |
|  Other assets less liabilities (including futures contracts) | (3.1) |
|  Net Assets | 100.0% |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-08282

- **c. CIK number of Registrant:** 0000917469

- **d. LEI of Registrant:** 549300826G7KS737WZ11

- **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 Securitized Asset Fund

- **b. EDGAR series identifier (if any):** S000006639

- **c. LEI of Series:** 549300LK4FBVP0RT7L56

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

- **a. Date of fiscal year-end:** 2023-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1306534987.90

**Total Liabilities:** $100265491.23

**Net Assets:** $1206269496.67

**Delayed Delivery Securities:** $100265490.80

**Cash Not Reported:** $1535856.12

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1632.74000000 | **1-Year:** -40806.16000000 | **5-Year:** -80772.14000000 | **10-Year:** -27752.90000000 | **30-Year:** -1848.38000000

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

- **3-Month:** -286.11000000 | **1-Year:** -2704.66000000 | **5-Year:** -5873.70000000 | **10-Year:** -11246.77000000 | **30-Year:** -1176.64000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000018125 | -2.29%               | 3.55%                | -0.32%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1519137.06             | $-22647876.83                              |
| Month 2  | $-905460.16              | $30613033.23                               |
| Month 3  | $-1638354.50             | $-1095296.22                               |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                              | Title                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| World Omni Auto Receivables Trust                 | World Omni Auto Receivables Trust 2021-B                           | CUSIP: 98163LAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2610000 | PA      | $2294383.14   | 0.19%             | 2027-12-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B10 Mortgage Trust                                  | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3330000 | PA      | $3075270.65   | 0.25%             | 2062-03-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  55295690 | PA      | $3660795.83   | 0.30%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L5                             | CUSIP: 61691YAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2085000 | PA      | $1727989.62   | 0.14%             | 2054-05-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FCUJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271426 | PA      | $53435.44     | 0.00%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31397BRJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    856170 | PA      | $71937.68     | 0.01%             | 2036-10-15      | Floating      | 2.30%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133AFJP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23591390 | PA      | $19274211.28  | 1.60%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                    | Home Partners of America 2021-1 Trust                              | CUSIP: 437300AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1454536 | PA      | $1153448.87   | 0.10%             | 2041-09-17      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  79218075 | PA      | $1806568.20   | 0.15%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| RBSCF Trust                                       | RBS Commercial Funding Inc 2013-SMV Trust                          | CUSIP: 74932BAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3475000 | PA      | $3266500.00   | 0.27%             | 2031-03-11      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2014-C19                | CUSIP: 46641WAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    346378 | PA      | $341805.13    | 0.03%             | 2047-04-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137AFJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1121866 | PA      | $63006.31     | 0.01%             | 2041-09-15      | Floating      | 1.58%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38373MX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3898122.80   | 0.32%             | 2042-08-16      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets LLC                            | Accelerated Assets 2018-1 LLC                                      | CUSIP: 00436MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1819724 | PA      | $1744482.91   | 0.14%             | 2033-12-02      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RPA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10293449 | PA      | $278792.08    | 0.02%             | 2066-01-20      | Variable      | 0.02%                 | No            |                  3 | On Loan: No      |
| Drive Auto Receivables Trust                      | Drive Auto Receivables Trust 2021-1                                | CUSIP: 262108AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $557207.78    | 0.05%             | 2027-06-15      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RKR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    350801 | PA      | $345264.97    | 0.03%             | 2065-03-20      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  46723298 | PA      | $2575453.62   | 0.21%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136BB2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3565741 | PA      | $790623.83    | 0.07%             | 2040-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AGRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396352 | PA      | $307509.32    | 0.03%             | 2043-07-25      | Floating      | 1.49%                 | No            |                  3 | On Loan: No      |
| CoreVest American Finance Ltd                     | CoreVest American Finance 2019-2Trust                              | CUSIP: 21872GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    489894 | PA      | $466850.96    | 0.04%             | 2052-06-15      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140LGF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24000000 | PA      | $21424501.44  | 1.78%             | 2037-09-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379T4X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1444312 | PA      | $1129198.39   | 0.09%             | 2045-08-20      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AXPC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40735864 | PA      | $1031305.80   | 0.09%             | 2047-08-25      | Floating      | 0.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31418CP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1863037 | PA      | $1660313.12   | 0.14%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BKE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117395 | PA      | $116416.98    | 0.01%             | 2060-12-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379UAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7137717 | PA      | $203230.79    | 0.02%             | 2057-01-16      | Variable      | 0.74%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132XEDC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2210000 | PA      | $1811007.00   | 0.15%             | 2037-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FFTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18896 | PA      | $4448.42      | 0.00%             | 2038-03-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2014-USA OA LLC                                               | CUSIP: 12649AAL3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2045000 | PA      | $1651244.66   | 0.14%             | 2037-09-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379K2B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10717399 | PA      | $99777.49     | 0.01%             | 2055-07-16      | Variable      | 0.27%                 | No            |                  3 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2020-G                   | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1493782 | PA      | $1323386.09   | 0.11%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CCRE16 Mortgage Trust                                    | CUSIP: 12591VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    516076 | PA      | $510927.08    | 0.04%             | 2047-04-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2019-C54                     | CUSIP: 95001YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5012000 | PA      | $4376207.75   | 0.36%             | 2052-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136A4WJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1390041 | PA      | $130293.65    | 0.01%             | 2042-03-25      | Floating      | 2.11%                 | No            |                  3 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust    | Foursight Capital Automobile Receivables Trust 2021-2              | CUSIP: 35105UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2375000 | PA      | $2205228.59   | 0.18%             | 2027-07-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                             | HPEFS Equipment Trust 2021-1                                       | CUSIP: 40440YAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4265000 | PA      | $4090223.71   | 0.34%             | 2031-03-20      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FHQ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 123491822 | PA      | $583511.21    | 0.05%             | 2033-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378XQX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10410752 | PA      | $98592.32     | 0.01%             | 2054-08-16      | Variable      | 0.24%                 | No            |                  3 | On Loan: No      |
| Banc of America Commercial Mortgage Trust         | Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10 | CUSIP: 06054MAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $926810.30    | 0.08%             | 2049-07-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                   | MVW 2021-1W LLC                                                    | CUSIP: 55389TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474248 | PA      | $429520.47    | 0.04%             | 2041-01-22      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Loan Issue No. 1, LLC | EDvestinU Private Education Loan Issue No 3 LLC                    | CUSIP: 28166LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    761875 | PA      | $645254.46    | 0.05%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38373MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3424915 | PA      | $32755.61     | 0.00%             | 2046-04-16      | Variable      | 0.47%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137H5AD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3403986 | PA      | $547603.29    | 0.05%             | 2052-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BM7D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  37811740 | PA      | $422341.26    | 0.04%             | 2025-09-25      | Variable      | 0.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380P6Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41242633 | PA      | $2900520.17   | 0.24%             | 2062-08-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DZE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  56151628 | PA      | $3919372.39   | 0.32%             | 2063-04-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137B2HP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  76325887 | PA      | $283.93       | 0.00%             | 2023-02-25      | Variable      | 0.17%                 | No            |                  3 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2018-C                            | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |   4159159 | PA      | $3909398.92   | 0.32%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378NHQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1030513 | PA      | $5075.27      | 0.00%             | 2055-05-16      | Variable      | 0.21%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DM23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  48560374 | PA      | $3481584.54   | 0.29%             | 2063-04-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4411 | PA      | $3948.83      | 0.00%             | 2062-05-20      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133ADNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5011775 | PA      | $4102865.86   | 0.34%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381Y4N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324000 | PA      | $261919.37    | 0.02%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KVD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315010 | PA      | $247514.33    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR4                                     | CUSIP: 74333EAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3450000 | PA      | $2906661.23   | 0.24%             | 2038-05-17      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                        | Blackbird Capital Aircraft Lease Securitization Ltd 2016-1         | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1304767 | PA      | $1067601.46   | 0.09%             | 2041-12-16      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140L7PW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16541917 | PA      | $13500750.51  | 1.12%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BRQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4794240 | PA      | $46.98        | 0.00%             | 2052-04-16      | Variable      | 0.03%                 | No            |                  3 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2014-LC16                    | CUSIP: 94988XAW6<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3824620.40   | 0.32%             | 2050-08-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2020-D                   | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1506854 | PA      | $1357146.24   | 0.11%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Rockland Park CLO Ltd                             | Rockland Park CLO Ltd                                              | CUSIP: 773663AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7650000 | PA      | $7368395.85   | 0.61%             | 2034-04-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31394DDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684105 | PA      | $652835.64    | 0.05%             | 2035-04-25      | Floating      | 6.81%                 | No            |                  3 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                    | CUSIP: 3136BBGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16341184 | PA      | $883322.69    | 0.07%             | 2032-04-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RU38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1930297 | PA      | $89925.02     | 0.01%             | 2067-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380LQL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2086048 | PA      | $1919712.96   | 0.16%             | 2069-01-20      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380MBL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19613856 | PA      | $701960.31    | 0.06%             | 2060-08-16      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2019-1                               | CUSIP: 59981AAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1646966 | PA      | $1455166.69   | 0.12%             | 2069-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                          | OHA Credit Funding 8 Ltd                                           | CUSIP: 67707GAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5300000 | PA      | $5105818.60   | 0.42%             | 2034-01-18      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR23                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       606 | NC      | $-476374.78   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133AKMT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1422739 | PA      | $1160371.33   | 0.10%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RLZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138333 | PA      | $131104.31    | 0.01%             | 2065-09-20      | Variable      | 4.59%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H7MB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  46051365 | PA      | $1194862.52   | 0.10%             | 2032-04-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136A72Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3329210 | PA      | $319035.01    | 0.03%             | 2042-09-25      | Floating      | 1.61%                 | No            |                  3 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                       | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  19996174 | PA      | $19996174.02  | 1.66%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380NDZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9657694 | PA      | $518846.11    | 0.04%             | 2060-12-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380QS86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8565402 | PA      | $71416.43     | 0.01%             | 2068-01-20      | Variable      | 0.86%                 | No            |                  3 | On Loan: No      |
| Education Funding Trust                           | Education Funding Trust Trust                                      | CUSIP: 28141PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1520363 | PA      | $1396914.05   | 0.12%             | 2041-07-25      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140LGWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1665000 | PA      | $1577173.86   | 0.13%             | 2034-07-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust          | AmeriCredit Automobile Receivables Trust 2021-2                    | CUSIP: 03066RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1280000 | PA      | $1165990.40   | 0.10%             | 2027-01-19      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AFUN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5703596 | PA      | $984444.68    | 0.08%             | 2043-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                  | Planet Fitness Master Issuer LLC                                   | CUSIP: 72703PAB9<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   3858725 | PA      | $3613367.97   | 0.30%             | 2048-09-05      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379KF37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15932054 | PA      | $340034.97    | 0.03%             | 2057-03-16      | Variable      | 0.69%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38373MWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1440407 | PA      | $29488.29     | 0.00%             | 2046-08-16      | Variable      | 0.94%                 | No            |                  3 | On Loan: No      |
| Sierra Receivables Funding Co LLC                 | Sierra Timeshare 2020-2 Receivables Funding LLC                    | CUSIP: 826525AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    467095 | PA      | $427431.58    | 0.04%             | 2037-07-20      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                 | CUSIP: 31282YDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202290 | PA      | $31724.06     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Planet Fitness Master Issuer LLC                  | Planet Fitness Master Issuer LLC                                   | CUSIP: 72703PAC7<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   3911040 | PA      | $3248850.08   | 0.27%             | 2049-12-05      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137F7E68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3433511 | PA      | $575374.06    | 0.05%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KVKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4371572 | PA      | $3575374.29   | 0.30%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136APE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355880 | PA      | $316833.01    | 0.03%             | 2041-05-25      | Floating      | 1.40%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182534 | PA      | $29728.93     | 0.00%             | 2033-11-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-UBS5 Mortgage Trust                                      | CUSIP: 12592KBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2520000 | PA      | $2433036.31   | 0.20%             | 2047-09-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                 | World Omni Auto Receivables Trust 2021-A                           | CUSIP: 98164EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1980000 | PA      | $1752686.10   | 0.15%             | 2027-08-16      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140QNF80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  38333450 | PA      | $33678248.90  | 2.79%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-A                       | CUSIP: 78443CAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    504000 | PA      | $491009.40    | 0.04%             | 2032-06-15      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| World OMNI Select Auto Trust                      | World Omni Select Auto Trust 2020-A                                | CUSIP: 98163DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1490000 | PA      | $1402137.68   | 0.12%             | 2026-10-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                           | SCF Equipment Leasing 2021-1 LLC                                   | CUSIP: 783897AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1635000 | PA      | $1468212.67   | 0.12%             | 2029-08-20      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2018-A                            | CUSIP: 78449PAC3<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |   3164982 | PA      | $3085711.01   | 0.26%             | 2036-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                        | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  18000000 | PA      | $17850726.00  | 1.48%             | 2023-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2012-CCRE3 Mortgage Trust                                     | CUSIP: 12624PAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120427 | PA      | $108259.92    | 0.01%             | 2045-10-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9285 | PA      | $8835.35      | 0.00%             | 2063-05-20      | Floating      | 4.12%                 | No            |                  3 | On Loan: No      |
| BMO 2022-C1 Mortgage Trust                        | BMO 2022-C1 Mortgage Trust                                         | CUSIP: 05609MCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4970000 | PA      | $4311733.44   | 0.36%             | 2055-02-17      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-CCRE6 Mortgage Trust                                     | CUSIP: 12624XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1260108 | PA      | $1256061.78   | 0.10%             | 2046-03-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65821 | PA      | $65130.00     | 0.01%             | 2061-10-20      | Floating      | 4.44%                 | No            |                  3 | On Loan: No      |
| MAPS LTD                                          | MAPS 2018-1 Ltd                                                    | CUSIP: 56564RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    777943 | PA      | $652724.68    | 0.05%             | 2043-05-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 53 CLO Ltd                                                  | CUSIP: 26243EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3835000 | PA      | $3695950.57   | 0.31%             | 2031-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2014-USA OA LLC                                               | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1805000 | PA      | $1532156.38   | 0.13%             | 2037-09-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31395D7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    983295 | PA      | $1040953.38   | 0.09%             | 2036-06-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2014-USA OA LLC                                               | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   6160000 | PA      | $5534134.14   | 0.46%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120057 | PA      | $118863.20    | 0.01%             | 2060-10-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK28                                                    | CUSIP: 06540YAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785000 | PA      | $599199.92    | 0.05%             | 2063-03-15      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2021-SB91 Mortgage Trust                                     | CUSIP: 30322XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24643100 | PA      | $681874.57    | 0.06%             | 2041-08-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2020-GC45                             | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2555000 | PA      | $2098753.65   | 0.17%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BBBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31791365 | PA      | $263747.52    | 0.02%             | 2024-03-25      | Variable      | 1.08%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380PWY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39723844 | PA      | $2398160.22   | 0.20%             | 2062-06-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2020-4                                   | CUSIP: 89179JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $3909593.50   | 0.32%             | 2060-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140L8UC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5955495 | PA      | $4860597.37   | 0.40%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2020-RPL1                              | CUSIP: 52474HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4515000 | PA      | $3829776.96   | 0.32%             | 2059-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RVY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208069 | PA      | $201555.26    | 0.02%             | 2063-08-20      | Variable      | 4.13%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS13 Trust                                        | CUSIP: 75115DAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1223 | PA      | $913.52       | 0.00%             | 2021-09-25      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137B7N21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29679281 | PA      | $117327.24    | 0.01%             | 2023-10-25      | Variable      | 0.69%                 | No            |                  3 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes           | Santander Bank Auto Credit-Linked Notes Series 2022-A              | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2261271 | PA      | $2207610.86   | 0.18%             | 2032-05-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Ltd                   | Octagon Investment Partners 18-R Ltd                               | CUSIP: 67576FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2040000 | PA      | $1961145.84   | 0.16%             | 2031-04-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | MSBAM Commercial Mortgage Securities Trust 2012-CKSV               | CUSIP: 553514AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1268338 | PA      | $1021011.82   | 0.08%             | 2030-10-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381VZ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10012870 | PA      | $938215.96    | 0.08%             | 2043-08-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                       | Extended Stay America Trust 2021-ESH                               | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3563102 | PA      | $3420087.28   | 0.28%             | 2038-07-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375B2R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1293440 | PA      | $45970.14     | 0.00%             | 2063-06-20      | Variable      | 1.26%                 | No            |                  3 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2014-C20                           | CUSIP: 92890FBB1<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |    790000 | PA      | $761895.04    | 0.06%             | 2047-05-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16        | CUSIP: 61763MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930000 | PA      | $877311.69    | 0.07%             | 2047-06-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133AATM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1716842 | PA      | $1402945.05   | 0.12%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR23                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       202 | NC      | $-242248.10   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53848764 | PA      | $5645127.49   | 0.47%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                 | Sierra Timeshare 2018-2 Receivables Funding LLC                    | CUSIP: 82653DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    243146 | PA      | $237250.10    | 0.02%             | 2035-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-N1                             | CUSIP: 14687DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1529622 | PA      | $1419542.72   | 0.12%             | 2028-01-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31417A6P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467665 | PA      | $436054.00    | 0.04%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2021-A                            | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    858841 | PA      | $736421.97    | 0.06%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133KNQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31352482 | PA      | $25546549.76  | 2.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2019-CH2                                    | CUSIP: 81747CAA9<br>LEI: 549300RES143ZXEZ6T39 | Long             | ABS-MBS          | CORP              | US        |     59529 | PA      | $58111.59     | 0.00%             | 2049-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust        | Mercury Financial Credit Card Master Trust                         | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2275000 | PA      | $2170475.35   | 0.18%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BWM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5582476 | PA      | $54682.36     | 0.00%             | 2053-03-16      | Variable      | 0.38%                 | No            |                  3 | On Loan: No      |
| Willis Engine Securitization Trust                | Willis Engine Structured Trust V                                   | CUSIP: 97064FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3102661 | PA      | $2386055.80   | 0.20%             | 2045-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AJN51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    860113 | PA      | $54690.60     | 0.00%             | 2044-05-25      | Floating      | 1.66%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FAA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269605 | PA      | $41654.27     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125052 | PA      | $24794.51     | 0.00%             | 2037-03-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7501279.52   | 0.62%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379KPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2844032 | PA      | $45523.64     | 0.00%             | 2057-07-16      | Variable      | 0.34%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137A6WD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183907 | PA      | $115520.98    | 0.01%             | 2041-02-15      | Floating      | 0.96%                 | No            |                  3 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9      | CUSIP: 46639EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1575000 | PA      | $1488162.22   | 0.12%             | 2047-12-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FPJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3375377 | PA      | $211708.51    | 0.02%             | 2034-08-25      | Variable      | 0.86%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                         | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28000000 | PA      | $28156564.80  | 2.33%             | 2053-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382BYR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8447001 | PA      | $924965.33    | 0.08%             | 2044-02-20      | Floating      | 1.20%                 | No            |                  3 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2022-SB95 Mortgage Trust                                     | CUSIP: 35802DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  93109270 | PA      | $682044.02    | 0.06%             | 2041-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380LGT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122020 | PA      | $115648.73    | 0.01%             | 2068-08-20      | Variable      | 4.63%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 3620ACDL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         9 | PA      | $8.76         | 0.00%             | 2059-11-20      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  52261790 | PA      | $6225053.39   | 0.52%             | 2035-05-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                    | FirstKey Homes 2020-SFR1 Trust                                     | CUSIP: 33767MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910000 | PA      | $812956.42    | 0.07%             | 2037-08-17      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17517262 | PA      | $1445979.90   | 0.12%             | 2030-01-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376G3S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1515544 | PA      | $3200.83      | 0.00%             | 2051-08-16      | Variable      | 0.21%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137H6RR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $100966.96    | 0.01%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BDB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3732182 | PA      | $24139.75     | 0.00%             | 2053-06-16      | Variable      | 0.21%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31397RKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382112 | PA      | $370992.17    | 0.03%             | 2038-02-15      | Floating      | 5.54%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  82461679 | PA      | $1919213.13   | 0.16%             | 2032-08-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2017-4                                    | CUSIP: 46648UAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10778178 | PA      | $130852.14    | 0.01%             | 2048-11-25      | Variable      | 0.37%                 | No            |                  3 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2018-4                                   | CUSIP: 89175TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2325000 | PA      | $1899664.50   | 0.16%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375URS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14068252 | PA      | $304192.04    | 0.03%             | 2064-09-20      | Variable      | 0.99%                 | No            |                  3 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                        | CUSIP: 912796W47<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4915355.45   | 0.41%             | 2023-05-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                    | CUSIP: 3136B56F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23214364 | PA      | $431476.09    | 0.04%             | 2034-08-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38373AHQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345035 | PA      | $345918.08    | 0.03%             | 2039-08-20      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| American Credit Acceptance Receivables Trust      | American Credit Acceptance Receivables Trust 2021-1                | CUSIP: 02528BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1220839 | PA      | $1201046.60   | 0.10%             | 2027-03-15      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KDRA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4997756 | PA      | $4254817.45   | 0.35%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-C29                     | CUSIP: 94989KAW3<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |   1833492 | PA      | $1783251.33   | 0.15%             | 2048-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BANK OF THE WEST AUTO TRUST                       | Bank of The West Auto Trust 2019-1                                 | CUSIP: 065606AE5<br>LEI: 549300VWQMQWM78WF314 | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2706564.03   | 0.22%             | 2025-01-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BPW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7126345 | PA      | $245166.94    | 0.02%             | 2026-03-25      | Variable      | 1.35%                 | No            |                  3 | On Loan: No      |
| COMM Mortgage Trust                               | Comm 2013-CCRE13 Mortgage Trust                                    | CUSIP: 12630BBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2572000 | PA      | $2526884.03   | 0.21%             | 2046-11-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31398JLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1026604 | PA      | $924981.40    | 0.08%             | 2048-06-15      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC18                             | CUSIP: 36252RAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5100000 | PA      | $4878899.19   | 0.40%             | 2047-01-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74829 | PA      | $15488.42     | 0.00%             | 2037-03-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Neuberger Berman CLO Ltd                          | Neuberger Berman Loan Advisers Clo 40 Ltd                          | CUSIP: 64134JAC7<br>LEI: 549300Y2YE54ON4DJE28 | Long             | ABS-CBDO         | CORP              | KY        |   2560000 | PA      | $2463418.88   | 0.20%             | 2033-04-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                  | OneMain Financial Issuance Trust 2020-2                            | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    756000 | PA      | $660419.22    | 0.05%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380QYD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  55412090 | PA      | $162242.72    | 0.01%             | 2070-04-20      | Variable      | 0.79%                 | No            |                  3 | On Loan: No      |
| Santander Consumer Auto Receivables Trust         | Santander Consumer Auto Receivables Trust 2020-A                   | CUSIP: 80281MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    770000 | PA      | $760367.30    | 0.06%             | 2026-02-17      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                 | Magnetite Xxix Ltd                                                 | CUSIP: 55955KAC8<br>LEI: 549300XSCWZTP19VRZ67 | Long             | ABS-CBDO         | CORP              | KY        |   2350000 | PA      | $2233625.65   | 0.19%             | 2034-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9434619 | PA      | $692189.67    | 0.06%             | 2063-05-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376GHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238360 | PA      | $9090.61      | 0.00%             | 2052-10-16      | Variable      | 1.45%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376GVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1683653 | PA      | $28363.32     | 0.00%             | 2052-12-16      | Variable      | 1.02%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AUUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5425243 | PA      | $385376.69    | 0.03%             | 2046-12-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KNMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6094086 | PA      | $4979948.05   | 0.41%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FTBP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13736332 | PA      | $1286050.33   | 0.11%             | 2030-03-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2013-PEMB                        | CUSIP: 36197VAA6<br>LEI: 549300E4QCAQ0FY44H36 | Long             | ABS-MBS          | CORP              | US        |   5775000 | PA      | $5238500.77   | 0.43%             | 2033-03-05      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AGY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1627449 | PA      | $209306.03    | 0.02%             | 2043-11-25      | Floating      | 2.21%                 | No            |                  3 | On Loan: No      |
| Verde CLO Ltd                                     | VERDE CLO Ltd                                                      | CUSIP: 92338BAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3830000 | PA      | $3661231.05   | 0.30%             | 2032-04-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BYY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20917402 | PA      | $184410.95    | 0.02%             | 2052-09-16      | Variable      | 0.36%                 | No            |                  3 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2019-C16                             | CUSIP: 90276YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1221627.56   | 0.10%             | 2052-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Recette CLO LLC                                   | Recette Clo Ltd                                                    | CUSIP: 75620TAX6<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |   1035000 | PA      | $970870.37    | 0.08%             | 2034-04-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BUS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    792046 | PA      | $450.12       | 0.00%             | 2052-08-16      | Variable      | 0.09%                 | No            |                  3 | On Loan: No      |
| Oak Hill Credit Partners                          | OHA Credit Funding 2 LTD                                           | CUSIP: 67707EAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4045000 | PA      | $3895225.79   | 0.32%             | 2034-04-21      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380LKW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4336583 | PA      | $4108530.94   | 0.34%             | 2068-05-20      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RYD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40574451 | PA      | $3144073.62   | 0.26%             | 2062-08-16      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31398QSU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1178932 | PA      | $118815.07    | 0.01%             | 2040-10-15      | Floating      | 2.18%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238820 | PA      | $51088.14     | 0.00%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2019-EXP1 Trust                                                | CUSIP: 67448QAC5<br>LEI: 549300ELWOCL265HSB73 | Long             | ABS-MBS          | CORP              | US        |    134987 | PA      | $126734.61    | 0.01%             | 2059-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd                              | Elmwood CLO VIII Ltd                                               | CUSIP: 29003EAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4275000 | PA      | $4101580.35   | 0.34%             | 2034-01-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| SLAM 2021-1 LLC                                   | Slam 2021-1 Ltd                                                    | CUSIP: 78449AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2904371 | PA      | $2402902.30   | 0.20%             | 2046-06-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| FRTKL                                             | FRTKL 2021-SFR1                                                    | CUSIP: 30322DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2751000 | PA      | $2335507.39   | 0.19%             | 2038-09-17      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AWBW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7484152 | PA      | $458997.04    | 0.04%             | 2047-04-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                  | OneMain Financial Issuance Trust 2021-1                            | CUSIP: 68269MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $4264291.44   | 0.35%             | 2036-06-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31398TKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62688 | PA      | $56974.79     | 0.00%             | 2039-12-25      | Variable      | 1.50%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FQK28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20631676 | PA      | $931974.07    | 0.08%             | 2034-10-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380P4H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19456957 | PA      | $1295909.22   | 0.11%             | 2062-10-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140L8VZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9912639 | PA      | $8072684.57   | 0.67%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                         | Chesapeake Funding II LLC                                          | CUSIP: 165183CM4<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $537706.62    | 0.04%             | 2032-08-15      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378NYK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8491655 | PA      | $41836.26     | 0.00%             | 2054-01-16      | Variable      | 0.12%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16331665 | PA      | $1028612.38   | 0.09%             | 2063-01-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2020-2                                   | CUSIP: 89176UAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5555000 | PA      | $4351919.21   | 0.36%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375U6F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52428 | PA      | $51894.62     | 0.00%             | 2064-10-20      | Floating      | 4.04%                 | No            |                  3 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2021-A                                   | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1630000 | PA      | $1295385.29   | 0.11%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2020-2                           | CUSIP: 22535MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1044288 | PA      | $1034054.74   | 0.09%             | 2029-07-16      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FA2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290153 | PA      | $48845.42     | 0.00%             | 2033-06-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380MLR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4867207 | PA      | $333476.69    | 0.03%             | 2058-06-16      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2016-C                            | CUSIP: 78449KAB6<br>LEI: 54930027GONY06ZX8P67 | Long             | ABS-O            | CORP              | US        |    411179 | PA      | $391558.10    | 0.03%             | 2034-09-15      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2018-3                                   | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795015 | PA      | $751596.87    | 0.06%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2018-3                               | CUSIP: 59980XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    722460 | PA      | $689748.71    | 0.06%             | 2058-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136ARK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8038255 | PA      | $524536.36    | 0.04%             | 2046-04-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                  | Triumph Rail Holdings LLC                                          | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3930810 | PA      | $3352580.41   | 0.28%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                        | MMAF Equipment Finance LLC 2020-A                                  | CUSIP: 60700MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $265416.19    | 0.02%             | 2042-10-09      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2011-C2                             | CUSIP: 617459AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640393 | PA      | $576353.68    | 0.05%             | 2044-06-15      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                          | Neuberger Berman CLO XX Ltd                                        | CUSIP: 64130TBC8<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   2075000 | PA      | $1997376.33   | 0.17%             | 2034-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136A1VK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282244 | PA      | $251328.51    | 0.02%             | 2040-11-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2019-RP1                             | CUSIP: 17327RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1448850 | PA      | $1244425.81   | 0.10%             | 2066-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                      | AGL CLO 12 Ltd                                                     | CUSIP: 00120BAE0<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |   2225000 | PA      | $2122009.20   | 0.18%             | 2034-07-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379K6Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6002878 | PA      | $179821.14    | 0.01%             | 2055-11-16      | Variable      | 0.85%                 | No            |                  3 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                    | CUSIP: 3136BBAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14028911 | PA      | $929023.95    | 0.08%             | 2028-06-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38373M2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    548801 | PA      | $539419.33    | 0.04%             | 2042-08-16      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31394GGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61676 | PA      | $13111.90     | 0.00%             | 2033-07-15      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-P2                             | CUSIP: 14687TAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5410000 | PA      | $4627053.98   | 0.38%             | 2027-06-10      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376G4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3110370 | PA      | $3009446.47   | 0.25%             | 2051-08-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3288 | PA      | $3140.18      | 0.00%             | 2061-08-20      | Floating      | 4.52%                 | No            |                  3 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR23                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       763 | NC      | $-512775.67   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Kestrel Aircraft Funding Limited                  | Kestrel Aircraft Funding Ltd                                       | CUSIP: 49255PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2008172 | PA      | $1586535.83   | 0.13%             | 2038-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK22                                                    | CUSIP: 06540XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3525000 | PA      | $3072834.86   | 0.25%             | 2062-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31393VJE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8049 | PA      | $7837.44      | 0.00%             | 2023-06-15      | Floating      | 4.21%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140L8UY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12800078 | PA      | $10442498.35  | 0.87%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187360 | PA      | $186206.81    | 0.02%             | 2061-10-20      | Floating      | 4.89%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BWFX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32038341 | PA      | $165459.77    | 0.01%             | 2026-12-25      | Variable      | 0.29%                 | No            |                  3 | On Loan: No      |
| BPR Trust                                         | BPR Trust 2022-STAR                                                | CUSIP: 055980AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1860000 | PA      | $1830383.78   | 0.15%             | 2024-08-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31398WB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459264 | PA      | $450323.40    | 0.04%             | 2036-12-15      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133B4CT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7090713 | PA      | $6014463.11   | 0.50%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378N4L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5488944 | PA      | $68596.81     | 0.01%             | 2049-03-16      | Variable      | 0.45%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133ABNB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7234563 | PA      | $5915221.55   | 0.49%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8270000 | PA      | $7511663.49   | 0.62%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2019-B                            | CUSIP: 83192CAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5485000 | PA      | $4723561.33   | 0.39%             | 2043-06-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                             | Palmer Square CLO 2013-2 Ltd                                       | CUSIP: 69688AAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4970000 | PA      | $4800408.69   | 0.40%             | 2031-10-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  53543981 | PA      | $3780097.97   | 0.31%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2019-C                   | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1357366 | PA      | $1281537.90   | 0.11%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RZL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    482209 | PA      | $475380.18    | 0.04%             | 2066-08-20      | Variable      | 4.76%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DK58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11392806 | PA      | $688091.31    | 0.06%             | 2061-07-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BB81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1 | PA      | $0.00         | 0.00%             | 2050-09-16      | Variable      | 1.43%                 | No            |                  3 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2021-2                                      | CUSIP: 57108TAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1585000 | PA      | $1546075.73   | 0.13%             | 2031-09-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BKRK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  67840306 | PA      | $186360.71    | 0.02%             | 2025-05-25      | Variable      | 0.10%                 | No            |                  3 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2020-SFR1                                    | CUSIP: 89613GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275000 | PA      | $1108316.96   | 0.09%             | 2038-07-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375B6D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137630 | PA      | $135973.26    | 0.01%             | 2063-08-20      | Floating      | 4.44%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AJZC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11710422 | PA      | $1051947.20   | 0.09%             | 2044-04-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31397NNR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729519 | PA      | $658464.83    | 0.05%             | 2039-03-25      | Variable      | 2.36%                 | No            |                  3 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2019-GSA1                             | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4347720.00   | 0.36%             | 2052-11-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379KBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3752604 | PA      | $93741.07     | 0.01%             | 2056-07-16      | Variable      | 0.68%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133AKRD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5772658 | PA      | $4709424.21   | 0.39%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-3                                   | CUSIP: 89169DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5570000 | PA      | $5214495.31   | 0.43%             | 2057-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CAL Funding IV Ltd                                | CAL Funding IV Ltd                                                 | CUSIP: 12807CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |   3024725 | PA      | $2613567.48   | 0.22%             | 2045-09-25      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132WVVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4581476 | PA      | $4039221.96   | 0.33%             | 2037-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                       | OCP CLO 2020-8R Ltd                                                | CUSIP: 670898AE5<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |   5280000 | PA      | $5049142.56   | 0.42%             | 2032-01-17      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Estate Notes            | Greystone CRE Notes 2021-HC2 LTD                                   | CUSIP: 39809XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2675000 | PA      | $2599958.23   | 0.22%             | 2039-12-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority     | Massachusetts Educational Financing Authority                      | CUSIP: 57563NAB4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | ABS-O            | CORP              | US        |   1099088 | PA      | $1026799.14   | 0.09%             | 2033-05-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2019-3 Trust                             | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1561106 | PA      | $1461920.43   | 0.12%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FFPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22121 | PA      | $4390.69      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2013-3 Ltd                                                | CUSIP: 92916XAL1<br>LEI: 5493003QPCHR7P2XIW55 | Long             | ABS-CBDO         | CORP              | KY        |   1315000 | PA      | $1260657.49   | 0.10%             | 2031-10-18      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FER46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172261 | PA      | $12000.29     | 0.00%             | 2036-09-25      | Variable      | 4.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375B7G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4165355 | PA      | $195228.40    | 0.02%             | 2063-07-20      | Variable      | 1.68%                 | No            |                  3 | On Loan: No      |
| Hudsons Bay Simon JV Trust                        | Hudsons Bay Simon JV Trust 2015-HBS                                | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5885000 | PA      | $5120574.40   | 0.42%             | 2034-08-05      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust          | Castlelake Aircraft Structured Trust 2019-1                        | CUSIP: 14855MAA6<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-O            | CORP              | US        |   1572819 | PA      | $1329242.16   | 0.11%             | 2039-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380XAG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33458037 | PA      | $1105560.61   | 0.09%             | 2058-05-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140QNBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  92071916 | PA      | $78095824.46  | 6.47%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2014-C19                | CUSIP: 46641WAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2405000 | PA      | $2317314.66   | 0.19%             | 2047-04-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | Commercial Mortgage Pass Through Certificates                      | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2309782 | PA      | $1980378.14   | 0.16%             | 2030-10-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2020-H                   | CUSIP: 63935BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    945000 | PA      | $736353.45    | 0.06%             | 2069-01-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| ADAMS OUTDOOR ADVERTISING                         | Adams Outdoor Advertising LP                                       | CUSIP: 006346AS9<br>LEI: 549300BTFXNHDCUHER30 | Long             | ABS-O            | CORP              | US        |   2426711 | PA      | $2300489.59   | 0.19%             | 2048-11-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380NJB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8068980 | PA      | $472607.25    | 0.04%             | 2061-08-16      | Variable      | 0.96%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379KGH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11560911 | PA      | $225891.30    | 0.02%             | 2049-09-16      | Variable      | 0.58%                 | No            |                  3 | On Loan: No      |
| Dell Equipment Finance Trust                      | Dell Equipment Finance Trust 2020-2                                | CUSIP: 24704GAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    740000 | PA      | $725334.83    | 0.06%             | 2024-01-22      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380LQA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2500771 | PA      | $2364468.58   | 0.20%             | 2068-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375B7Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    753417 | PA      | $14383.03     | 0.00%             | 2063-08-20      | Variable      | 1.23%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380P3W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33512452 | PA      | $2324433.72   | 0.19%             | 2060-08-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378X4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7336556 | PA      | $83122.88     | 0.01%             | 2051-02-16      | Variable      | 0.48%                 | No            |                  3 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust     | BHG Securitization Trust 2021-A                                    | CUSIP: 08861YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3133558 | PA      | $2910485.56   | 0.24%             | 2033-11-17      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-P1                             | CUSIP: 14687BAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4455000 | PA      | $3861156.96   | 0.32%             | 2027-03-10      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380MQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12023758 | PA      | $581637.29    | 0.05%             | 2060-10-16      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| General Motors                                    | GMF Floorplan Owner Revolving Trust                                | CUSIP: 361886CK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565000 | PA      | $545928.99    | 0.05%             | 2025-08-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR5 Trust                               | CUSIP: 74333FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    830000 | PA      | $705518.59    | 0.06%             | 2038-07-17      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2014-C20                           | CUSIP: 92890FAV8<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |   1149266 | PA      | $1133145.30   | 0.09%             | 2047-05-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FQKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18352088 | PA      | $646268.79    | 0.05%             | 2029-11-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                          | OHA Credit Funding 3 LTD                                           | CUSIP: 67112RAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4205000 | PA      | $4058232.89   | 0.34%             | 2035-07-02      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379Y6J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17584004 | PA      | $403844.96    | 0.03%             | 2056-07-16      | Variable      | 0.64%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378N8E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3543780 | PA      | $44012.16     | 0.00%             | 2056-04-16      | Variable      | 0.48%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KMTX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4961790 | PA      | $4055166.47   | 0.34%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2018-2                               | CUSIP: 59980MAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    539187 | PA      | $510306.08    | 0.04%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31394MWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12832 | PA      | $12263.08     | 0.00%             | 2033-11-15      | Floating      | 2.90%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136ASUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8864078 | PA      | $610273.16    | 0.05%             | 2034-10-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK26                                                    | CUSIP: 06540JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3649000 | PA      | $3048885.10   | 0.25%             | 2063-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-C                       | CUSIP: 78443CBB9<br>LEI: 549300IQIXBXDNPLSE92 | Long             | ABS-O            | CORP              | US        |    139948 | PA      | $136219.79    | 0.01%             | 2032-09-15      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2018-K156 Mortgage Trust                                     | CUSIP: 302957AL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 325308093 | PA      | $2185094.46   | 0.18%             | 2036-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-C                       | CUSIP: 78443CBA1<br>LEI: 549300IQIXBXDNPLSE92 | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $204405.60    | 0.02%             | 2032-09-15      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140XBTH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17349447 | PA      | $14159886.60  | 1.17%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KNN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8165760 | PA      | $6676728.99   | 0.55%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91714 | PA      | $16952.63     | 0.00%             | 2035-11-25      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140QNGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  39470147 | PA      | $34702506.68  | 2.88%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137H6RQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340016 | PA      | $13848.51     | 0.00%             | 2052-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2019-2                                   | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5530000 | PA      | $4821551.70   | 0.40%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FCQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    644325 | PA      | $124096.63    | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2021-SFR1 Trust                                     | CUSIP: 33767WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3730000 | PA      | $3194997.89   | 0.26%             | 2038-08-17      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RTB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15305505 | PA      | $427223.32    | 0.04%             | 2066-04-20      | Variable      | 0.03%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BN6H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9271047 | PA      | $190780.89    | 0.02%             | 2025-12-25      | Variable      | 0.88%                 | No            |                  3 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2014-C25                | CUSIP: 46643PBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $695730.66    | 0.06%             | 2047-11-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       446 | NC      | $-75426.18    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Orange Lake Timeshare Trust                       | Orange Lake Timeshare Trust 2018-A                                 | CUSIP: 68504WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813736 | PA      | $787164.46    | 0.07%             | 2030-11-08      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RVE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35031297 | PA      | $2266055.52   | 0.19%             | 2062-10-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR23                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       259 | NC      | $-272758.86   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RHZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44906122 | PA      | $3063962.68   | 0.25%             | 2062-10-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-B                       | CUSIP: 78443CAP9<br>LEI: 549300BLEHJGFV7XSO25 | Long             | ABS-O            | CORP              | US        |   2465000 | PA      | $2401205.80   | 0.20%             | 2033-03-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31398R2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2621479 | PA      | $2614773.05   | 0.22%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KUNP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5224653 | PA      | $4271852.86   | 0.35%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                 | World Omni Auto Receivables Trust 2020-B                           | CUSIP: 98163WAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530000 | PA      | $496024.88    | 0.04%             | 2026-03-16      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2021-B                   | CUSIP: 63942LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1273882 | PA      | $1082342.57   | 0.09%             | 2069-07-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136BF2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13593418 | PA      | $1000195.54   | 0.08%             | 2059-03-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust           | Hyundai Auto Lease Securitization Trust 2021-B                     | CUSIP: 44891VAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1776000 | PA      | $1684773.98   | 0.14%             | 2026-03-16      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AR4L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1238832 | PA      | $896053.38    | 0.07%             | 2042-11-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KDVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4291327 | PA      | $3667930.70   | 0.30%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30925277 | PA      | $2053221.94   | 0.17%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                | Morgan Stanley Mortgage Loan Trust 2005-3AR                        | CUSIP: 61745M4T7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18610 | PA      | $15851.91     | 0.00%             | 2035-07-25      | Variable      | 4.28%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136ATNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10801612 | PA      | $813534.22    | 0.07%             | 2046-09-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140MGSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6275654 | PA      | $5322061.33   | 0.44%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157758 | PA      | $30108.61     | 0.00%             | 2036-10-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BNGU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16083461 | PA      | $453350.64    | 0.04%             | 2026-01-25      | Variable      | 1.16%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H5XW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 254886703 | PA      | $3077247.16   | 0.26%             | 2032-01-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CR14 Mortgage Trust                                      | CUSIP: 12630DAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313330 | PA      | $310134.05    | 0.03%             | 2047-02-10      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                          | Madison Park Funding XXVI Ltd                                      | CUSIP: 55819YAA8<br>LEI: 549300FNRP3W5DX0O430 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1733354.00   | 0.14%             | 2030-07-29      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                            | Invitation Homes 2018-SFR4 Trust                                   | CUSIP: 46187XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5974724 | PA      | $5874051.99   | 0.49%             | 2038-01-17      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21148279 | PA      | $1529041.71   | 0.13%             | 2063-11-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31394ENN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2099477 | PA      | $2138168.06   | 0.18%             | 2035-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR3                                     | CUSIP: 74333VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1892000 | PA      | $1626198.60   | 0.13%             | 2026-05-17      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H7ZD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  66595901 | PA      | $1324858.86   | 0.11%             | 2054-06-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2019-SFR1 Trust                              | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1689070 | PA      | $1547449.71   | 0.13%             | 2038-03-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11595410 | PA      | $1004208.86   | 0.08%             | 2030-01-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FX3T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14574416 | PA      | $1023561.23   | 0.08%             | 2030-08-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                 | Sierra Timeshare 2021-1 Receivables Funding LLC                    | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382830 | PA      | $350130.86    | 0.03%             | 2037-11-20      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  45662764 | PA      | $3047135.57   | 0.25%             | 2061-06-16      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust      | American Credit Acceptance Receivables Trust 2020-2                | CUSIP: 02529WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630692 | PA      | $627819.30    | 0.05%             | 2026-04-13      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KL2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6018151 | PA      | $5116040.92   | 0.42%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382EEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11096300 | PA      | $2785031.49   | 0.23%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35926635 | PA      | $949756.51    | 0.08%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101583 | PA      | $21409.32     | 0.00%             | 2037-07-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2022-P3                             | CUSIP: 14686MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    820000 | PA      | $784074.73    | 0.06%             | 2028-06-12      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  37166359 | PA      | $2625795.82   | 0.22%             | 2062-09-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193828 | PA      | $35852.01     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379RY72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4398593 | PA      | $202458.75    | 0.02%             | 2056-12-16      | Variable      | 0.98%                 | No            |                  3 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                    | CUSIP: 3136BBS94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17856461 | PA      | $1885015.55   | 0.16%             | 2034-08-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137BXM25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3554697 | PA      | $345869.13    | 0.03%             | 2047-04-15      | Floating      | 1.78%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375UUR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3433 | PA      | $3298.87      | 0.00%             | 2061-04-20      | Floating      | 4.14%                 | No            |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-N2                             | CUSIP: 14686KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    666640 | PA      | $612561.52    | 0.05%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380MMQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12017283 | PA      | $526929.03    | 0.04%             | 2060-07-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BHR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107328 | PA      | $105941.90    | 0.01%             | 2059-05-20      | Floating      | 4.19%                 | No            |                  3 | On Loan: No      |
| Bank                                              | BANK 2019-BNK20                                                    | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3720000 | PA      | $3251296.37   | 0.27%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust          | Castlelake Aircraft Structured Trust 2021-1                        | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315711 | PA      | $264592.96    | 0.02%             | 2046-01-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Bill                                        | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2000000 | PA      | $1981385.08   | 0.16%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136ADQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1769384 | PA      | $101562.81    | 0.01%             | 2042-08-25      | Floating      | 1.76%                 | No            |                  3 | On Loan: No      |
| S-JETS Limited                                    | S-Jets 2017-1 Ltd                                                  | CUSIP: 784309AA4<br>LEI: 635400FR77IW5YEET913 | Long             | ABS-O            | CORP              | BM        |   3806779 | PA      | $2950291.51   | 0.24%             | 2042-08-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38373M8V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4114190 | PA      | $92.32        | 0.00%             | 2049-10-16      | Variable      | 0.02%                 | No            |                  3 | On Loan: No      |
| Textainer Marine Containers Limited               | Textainer Marine Containers VII Ltd                                | CUSIP: 88315LAE8<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    521174 | PA      | $471876.16    | 0.04%             | 2045-08-21      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-A                       | CUSIP: 78443CAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84000 | PA      | $81834.90     | 0.01%             | 2032-06-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BR92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18885851 | PA      | $57726.87     | 0.00%             | 2054-04-16      | Variable      | 0.20%                 | No            |                  3 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2022-AHP                              | CUSIP: 05610FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2770000 | PA      | $2619303.69   | 0.22%             | 2039-01-17      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BLME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23478926 | PA      | $115423.34    | 0.01%             | 2025-08-25      | Variable      | 0.20%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H9CB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70707120 | PA      | $1867502.31   | 0.15%             | 2032-09-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378XFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2280776 | PA      | $34576.28     | 0.00%             | 2056-04-16      | Variable      | 0.61%                 | No            |                  3 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2021-NMR1                            | CUSIP: 59982HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1108247 | PA      | $1010644.09   | 0.08%             | 2060-11-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2021-A                   | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1667419 | PA      | $1441663.21   | 0.12%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-4                                   | CUSIP: 89173UAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4036054 | PA      | $3619842.39   | 0.30%             | 2057-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219745 | PA      | $216260.49    | 0.02%             | 2063-01-20      | Floating      | 4.16%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140M2D90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11994928 | PA      | $9776590.83   | 0.81%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AUAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4410629 | PA      | $302108.81    | 0.03%             | 2046-11-25      | Floating      | 1.71%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEV41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157502 | PA      | $21348.03     | 0.00%             | 2037-07-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137ATQQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1002161 | PA      | $51808.16     | 0.00%             | 2032-08-15      | Floating      | 1.83%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136ATNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7303506 | PA      | $546579.82    | 0.05%             | 2046-09-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2004-3                              | CUSIP: 41161PEC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    832837 | PA      | $770013.38    | 0.06%             | 2034-05-19      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137FCT38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1424809 | PA      | $242976.58    | 0.02%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| Hyundai Auto Receivables Trust                    | Hyundai Auto Receivables Trust 2020-B                              | CUSIP: 44933FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $751911.20    | 0.06%             | 2026-12-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BY89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31837 | PA      | $30448.31     | 0.00%             | 2063-04-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| CarMax Auto Owner Trust                           | Carmax Auto Owner Trust 2021-1                                     | CUSIP: 14316NAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1485000 | PA      | $1299924.45   | 0.11%             | 2026-12-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137F8R88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174682 | PA      | $37613.60     | 0.00%             | 2044-11-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31395XQ40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    651368 | PA      | $627433.11    | 0.05%             | 2035-05-15      | Floating      | 6.69%                 | No            |                  3 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2020-2                      | CUSIP: 80285RAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297856 | PA      | $296799.71    | 0.02%             | 2025-09-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RAC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2154205 | PA      | $2077087.66   | 0.17%             | 2065-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31397UJQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2459750 | PA      | $191739.99    | 0.02%             | 2041-06-25      | Floating      | 1.46%                 | No            |                  3 | On Loan: No      |
| CALI Mortgage Trust 2019-101C                     | CALI Mortgage Trust 2019-101C                                      | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $439609.70    | 0.04%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2021-SFR1 Trust                                     | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2495000 | PA      | $2114346.58   | 0.18%             | 2038-08-17      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2020-3                      | CUSIP: 80285WAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    489174 | PA      | $484730.67    | 0.04%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AUBA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4618820 | PA      | $295447.45    | 0.02%             | 2046-11-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133JLNT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1791035 | PA      | $1494691.50   | 0.12%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137H57K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5815092 | PA      | $974561.71    | 0.08%             | 2052-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust     | BHG Securitization Trust 2022-C                                    | CUSIP: 08860DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1012287 | PA      | $1003753.62   | 0.08%             | 2035-10-17      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2016-DC2 Mortgage Trust                                       | CUSIP: 12594CBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    726088 | PA      | $702842.70    | 0.06%             | 2049-02-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381YLF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280000 | PA      | $226019.10    | 0.02%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31397RL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359302 | PA      | $341178.47    | 0.03%             | 2038-02-15      | Floating      | 6.11%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BWS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99040 | PA      | $6381.65      | 0.00%             | 2062-10-20      | Variable      | 1.17%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BRQL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26696390 | PA      | $861036.00    | 0.07%             | 2026-07-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137B3NY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  67533835 | PA      | $23362.65     | 0.00%             | 2023-04-25      | Variable      | 0.17%                 | No            |                  3 | On Loan: No      |
| Galaxy CLO Ltd                                    | Galaxy XXVI CLO Ltd                                                | CUSIP: 36321LAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1565000 | PA      | $1508501.94   | 0.13%             | 2031-11-22      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS6 Trust                                         | CUSIP: 74922EAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       585 | PA      | $465.31       | 0.00%             | 2021-06-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| TICP CLO Ltd                                      | TICP CLO VII Ltd                                                   | CUSIP: 87248TAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5900000 | PA      | $5708604.00   | 0.47%             | 2033-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132XEDE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2323000 | PA      | $1903606.00   | 0.16%             | 2037-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2018-B                            | CUSIP: 78449LAB4<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-O            | CORP              | US        |   1497240 | PA      | $1425836.68   | 0.12%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379RZU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24486592 | PA      | $963522.89    | 0.08%             | 2059-01-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RDY7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3860000 | PA      | $3498049.34   | 0.29%             | 2027-02-20      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Alinea CLO LTD                                    | Alinea CLO 2018-1 Ltd                                              | CUSIP: 016269AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5255000 | PA      | $5069819.06   | 0.42%             | 2031-07-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381TRX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2341071 | PA      | $165417.02    | 0.01%             | 2049-04-20      | Floating      | 1.70%                 | No            |                  3 | On Loan: No      |
| Bank                                              | BANK 2020-BNK25                                                    | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1504248.48   | 0.12%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL1 Trust                                               | CUSIP: 12660KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1723986 | PA      | $1626443.71   | 0.13%             | 2060-09-27      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS18 Trust                                        | CUSIP: 74922RAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10341 | PA      | $5831.92      | 0.00%             | 2021-12-25      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132WVVT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1674672 | PA      | $1511723.43   | 0.13%             | 2037-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31359KZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12808 | PA      | $126.55       | 0.00%             | 2024-01-25      | Floating      | 2.86%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380NMN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17672531 | PA      | $902854.27    | 0.07%             | 2061-12-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BEVJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35792332 | PA      | $304186.86    | 0.03%             | 2024-09-25      | Variable      | 0.69%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3133T4DB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5503 | PA      | $5420.75      | 0.00%             | 2024-02-15      | Floating      | 8.39%                 | No            |                  3 | On Loan: No      |
| TIF Funding II LLC                                | TIF Funding II LLC                                                 | CUSIP: 872480AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1734867 | PA      | $1488700.37   | 0.12%             | 2045-08-20      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BJ75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1 | PA      | $0.00         | 0.00%             | 2050-09-16      | Variable      | 1.33%                 | No            |                  3 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                     | Commonbond Student Loan Trust 2020-A-GS                            | CUSIP: 20267WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    761908 | PA      | $653440.10    | 0.05%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                         | Chesapeake Funding II LLC                                          | CUSIP: 165183CQ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   2225000 | PA      | $2070836.43   | 0.17%             | 2033-04-15      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2021-3                           | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1435000 | PA      | $1370656.90   | 0.11%             | 2030-05-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381HUT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  50011719 | PA      | $3386163.49   | 0.28%             | 2065-04-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                               | DT Auto Owner Trust 2021-2                                         | CUSIP: 23345EAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $541488.03    | 0.04%             | 2027-02-16      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR9 Trust                               | CUSIP: 74333QAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5450000 | PA      | $4311553.86   | 0.36%             | 2040-11-17      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BTAE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  90050658 | PA      | $254015.80    | 0.02%             | 2026-10-25      | Variable      | 0.07%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140XAY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3975240 | PA      | $3245077.20   | 0.27%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr | GM Financial Consumer Automobile Receivables Trust 2020-3          | CUSIP: 362590AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1725000 | PA      | $1629012.38   | 0.14%             | 2027-09-16      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2020-B                   | CUSIP: 63941GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850953 | PA      | $772487.65    | 0.06%             | 2069-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2020-2                       | CUSIP: 96042PAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115413 | PA      | $114159.42    | 0.01%             | 2025-07-15      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381EVR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28627445 | PA      | $1929237.90   | 0.16%             | 2064-06-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137F8RE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8546043 | PA      | $1508038.16   | 0.13%             | 2042-04-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2018-C48                     | CUSIP: 95001RAX7<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4741994.00   | 0.39%             | 2052-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H6ZT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32677107 | PA      | $768630.92    | 0.06%             | 2032-02-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132XEDD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2815000 | PA      | $2306780.41   | 0.19%             | 2037-06-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133AKX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5725546 | PA      | $4671950.15   | 0.39%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147435 | PA      | $32546.04     | 0.00%             | 2036-10-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| CoreVest American Finance Ltd                     | CoreVest American Finance 2018-1 Trust                             | CUSIP: 21872BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4698 | PA      | $4685.86      | 0.00%             | 2051-06-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AASET 2022-1 LLC                                  | AASET 2022-1 LLC                                                   | CUSIP: 00255EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   4591721 | PA      | $4284741.70   | 0.36%             | 2047-05-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust      | CUSIP: 92926UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740636 | PA      | $656891.26    | 0.05%             | 2036-11-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31396YE99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260200 | PA      | $303089.60    | 0.03%             | 2036-08-25      | Floating      | 11.06%                | No            |                  3 | On Loan: No      |
| CarMax Auto Owner Trust                           | CarMax Auto Owner Trust 2020-3                                     | CUSIP: 14315FAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $469611.00    | 0.04%             | 2026-04-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BPVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14393366 | PA      | $780699.06    | 0.06%             | 2031-01-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2019-L3                             | CUSIP: 61691UBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5780000 | PA      | $5022390.55   | 0.42%             | 2052-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                           | Carmax Auto Owner Trust 2022-3                                     | CUSIP: 14318MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3030000 | PA      | $2910442.87   | 0.24%             | 2029-01-16      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379KQF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11542932 | PA      | $218744.09    | 0.02%             | 2049-12-16      | Variable      | 0.57%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379FAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1854071 | PA      | $231582.02    | 0.02%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| Post CLO LTD                                      | Post CLO 2022-1 LTD                                                | CUSIP: 73742YAA3<br>LEI: 5493007CUC7FI0ONIF25 | Long             | ABS-CBDO         | CORP              | KY        |   3800000 | PA      | $3703780.20   | 0.31%             | 2035-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RFV1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1960000 | PA      | $1993328.82   | 0.17%             | 2027-04-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379KMF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6417109 | PA      | $99319.90     | 0.01%             | 2055-11-16      | Variable      | 0.43%                 | No            |                  3 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2021-SB90 Mortgage Trust                                     | CUSIP: 30322KAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15992129 | PA      | $424944.46    | 0.04%             | 2041-06-25      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2013-ALTM                           | CUSIP: 61690LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3285000 | PA      | $2988158.86   | 0.25%             | 2035-02-05      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust             | Mission Lane Credit Card Master Trust                              | CUSIP: 60510MAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1655000 | PA      | $1602769.86   | 0.13%             | 2026-09-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38383CV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  57662077 | PA      | $3542423.56   | 0.29%             | 2063-05-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                    | Palmer Square Loan Funding 2020-1 Ltd                              | CUSIP: 69701EAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    690000 | PA      | $671272.02    | 0.06%             | 2028-02-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                   | Allegro CLO VIII Ltd                                               | CUSIP: 01750LAC7<br>LEI: 635400EGZEWLZ9KRXG08 | Long             | ABS-CBDO         | CORP              | KY        |    595000 | PA      | $573732.92    | 0.05%             | 2031-07-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175750 | PA      | $174534.36    | 0.01%             | 2060-02-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315951 | PA      | $65332.59     | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BSRG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24690372 | PA      | $222242.48    | 0.02%             | 2026-09-25      | Variable      | 0.30%                 | No            |                  3 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2013-C15                           | CUSIP: 92938CAF4<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |   1875000 | PA      | $1841401.50   | 0.15%             | 2046-08-15      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382KYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4075853 | PA      | $938579.11    | 0.08%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2020-D                   | CUSIP: 63941HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1565000 | PA      | $1253874.87   | 0.10%             | 2069-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                   | JPMorgan Chase Bank NA - CACLN                                     | CUSIP: 46591HBR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1936777 | PA      | $1872218.80   | 0.16%             | 2028-09-25      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31397ME86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    654946 | PA      | $615100.78    | 0.05%             | 2038-08-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137B8GL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3262592 | PA      | $151659.51    | 0.01%             | 2039-06-15      | Variable      | 0.48%                 | No            |                  3 | On Loan: No      |
| Starwood Retail Property Trust                    | Starwood Retail Property Trust 2014-STAR                           | CUSIP: 85571XAA5<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   1861317 | PA      | $1288962.29   | 0.11%             | 2027-11-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC18                             | CUSIP: 36252RBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1295000 | PA      | $1185554.50   | 0.10%             | 2047-01-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                   | CLI Funding VI LLC                                                 | CUSIP: 12563LAS6<br>LEI: 549300NQLBWJD5AREU05 | Long             | ABS-O            | CORP              | US        |   2287150 | PA      | $1985084.73   | 0.16%             | 2045-10-18      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                    | Starwood Retail Property Trust 2014-STAR                           | CUSIP: 85571XAL1<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $4112265.63   | 0.34%             | 2027-11-15      | Floating      | 6.22%                 | No            |                  3 | On Loan: No      |
| Hilton Grand Vacations Trust                      | Hilton Grand Vacations Trust 2020-A                                | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2150398 | PA      | $2007992.55   | 0.17%             | 2039-02-25      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                 | Santander Retail Auto Lease Trust 2021-B                           | CUSIP: 80286DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3980000 | PA      | $3756913.04   | 0.31%             | 2025-06-20      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H2NZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  96123760 | PA      | $7975032.68   | 0.66%             | 2036-08-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | Comm 2014-UBS2 Mortgage Trust                                      | CUSIP: 12591UAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    507453 | PA      | $496262.52    | 0.04%             | 2047-03-10      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8286619 | PA      | $222685.17    | 0.02%             | 2026-08-25      | Variable      | 0.92%                 | No            |                  3 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2021-SFR2 Trust                                     | CUSIP: 33767TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5430000 | PA      | $4543458.02   | 0.38%             | 2038-09-17      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380MDL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7627147 | PA      | $371676.75    | 0.03%             | 2060-01-16      | Variable      | 0.61%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KQTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1420454 | PA      | $1116136.99   | 0.09%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2014-C24                           | CUSIP: 92939KBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535000 | PA      | $485707.40    | 0.04%             | 2047-11-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Merlin Aviation Holdings DAC                      | Merlin Aviation Holdings DAC                                       | CUSIP: 59010RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478016 | PA      | $365696.47    | 0.03%             | 2032-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential Trust                                         | CUSIP: 74333HAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1715000 | PA      | $1457878.97   | 0.12%             | 2038-07-17      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                  | SpringCastle America Funding LLC                                   | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2640652 | PA      | $2399415.13   | 0.20%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KQ5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4291741 | PA      | $3650198.94   | 0.30%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                             | HPEFS Equipment Trust 2021-2                                       | CUSIP: 40441JAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1455000 | PA      | $1381502.13   | 0.11%             | 2028-09-20      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133JLMB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7333140 | PA      | $6119869.96   | 0.51%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                      | Ford Credit Auto Owner Trust 2020-B                                | CUSIP: 34533GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $1554601.95   | 0.13%             | 2026-12-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KMUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10352884 | PA      | $8465012.64   | 0.70%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Trust 2015-2                                    | CUSIP: 599808BJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4006000 | PA      | $3702442.55   | 0.31%             | 2057-09-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2018-EXP1 Trust                                                | CUSIP: 67097VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195489 | PA      | $178468.20    | 0.01%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137AQB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1388728 | PA      | $1257002.05   | 0.10%             | 2040-08-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RGX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  38044131 | PA      | $2918087.60   | 0.24%             | 2062-09-16      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BLN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54880 | PA      | $54470.79     | 0.00%             | 2061-03-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BMTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16130163 | PA      | $233033.60    | 0.02%             | 2025-11-25      | Variable      | 0.64%                 | No            |                  3 | On Loan: No      |
| Social Professional Loan Program LLC              | SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC                          | CUSIP: 83401BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    524711 | PA      | $505393.26    | 0.04%             | 2041-01-25      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133AXTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9410666 | PA      | $7671034.69   | 0.64%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19797735 | PA      | $498299.09    | 0.04%             | 2055-06-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376GL32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    950167 | PA      | $8074.31      | 0.00%             | 2053-04-16      | Variable      | 0.53%                 | No            |                  3 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes           | Santander Bank Auto Credit-Linked Notes Series 2022-B              | CUSIP: 80290CAX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1226620 | PA      | $1218089.15   | 0.10%             | 2032-08-16      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137AWM51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4983868 | PA      | $486008.36    | 0.04%             | 2042-11-15      | Floating      | 1.83%                 | No            |                  3 | On Loan: No      |
| COMM Mortgage Trust                               | Comm 2014-UBS2 Mortgage Trust                                      | CUSIP: 12591UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1270498.97   | 0.11%             | 2047-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Welk Resorts LLC                                  | Welk Resorts 2019-A LLC                                            | CUSIP: 94946DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    965173 | PA      | $902005.85    | 0.07%             | 2038-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35927 | PA      | $33290.59     | 0.00%             | 2061-06-20      | Variable      | 5.17%                 | No            |                  3 | On Loan: No      |
| AGL CLO 3 Ltd.                                    | AGL CLO 3 LTD                                                      | CUSIP: 00119MAA7<br>LEI: 549300LS0REDUXQSHW18 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2944485.00   | 0.24%             | 2033-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC22                             | CUSIP: 36253BBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2373000 | PA      | $2204745.28   | 0.18%             | 2047-06-10      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136A36Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    990295 | PA      | $64128.25     | 0.01%             | 2042-03-25      | Floating      | 1.56%                 | No            |                  3 | On Loan: No      |
| Willis Engine Securitization Trust                | Willis Engine Structured Trust VI                                  | CUSIP: 97064GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900571 | PA      | $1391006.89   | 0.12%             | 2046-05-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC              | SoFi Professional Loan Program 2020-ATrust                         | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4328087 | PA      | $3916560.05   | 0.32%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                             | Palmer Square CLO 2015-1 Ltd                                       | CUSIP: 69689ABL3<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |    575000 | PA      | $549937.48    | 0.05%             | 2034-05-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | CSAIL 2019-C18 Commercial Mortgage Trust                           | CUSIP: 12597DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2405000 | PA      | $2066254.07   | 0.17%             | 2052-12-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137BLDL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1236749 | PA      | $155094.11    | 0.01%             | 2044-03-15      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| Vibrant CLO Ltd                                   | Vibrant Clo X Ltd                                                  | CUSIP: 92558KAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2931021.00   | 0.24%             | 2031-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140JVVH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2249899 | PA      | $1991893.30   | 0.17%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FET44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    686197 | PA      | $126581.39    | 0.01%             | 2036-05-25      | Variable      | 5.50%                 | No            |                  3 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                     | CUSIP: 36192RAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   3690000 | PA      | $3225751.14   | 0.27%             | 2034-11-05      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140FEMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3923733 | PA      | $3342067.25   | 0.28%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137FF5G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1166239 | PA      | $299883.49    | 0.02%             | 2043-09-25      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS 2020-BID Mortgage Trust                                      | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4045000 | PA      | $3903819.79   | 0.32%             | 2037-10-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FAB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68880 | PA      | $13836.68     | 0.00%             | 2033-02-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B13 Mortgage Trust                                  | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5185000 | PA      | $4548657.39   | 0.38%             | 2057-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378U8M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444447 | PA      | $431854.15    | 0.04%             | 2064-11-20      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137FYQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15982751 | PA      | $1136098.70   | 0.09%             | 2048-12-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| WAVE 2017-1 LLC                                   | WAVE 2017-1 Trust                                                  | CUSIP: 94353WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3567294 | PA      | $2693342.50   | 0.22%             | 2042-11-15      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                         | College Ave Student Loans 2021-A LLC                               | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    552850 | PA      | $469999.82    | 0.04%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380JDW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24233712 | PA      | $868877.93    | 0.07%             | 2059-12-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES                 | GreatAmerica Leasing Receivables Funding LLC Series 2021-1         | CUSIP: 39154TBL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    812000 | PA      | $736170.08    | 0.06%             | 2026-12-15      | Fixed         | 0.72%                 | No            |                  2 | On Loan: No      |
| Harbour Aircraft Investments Limited              | Harbour Aircraft Investments Limited 2017 Term Loan A              | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |   2235676 | PA      | $1739224.21   | 0.14%             | 2037-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance II LLC                   | Horizon Aircraft Finance II Ltd                                    | CUSIP: 44040HAA0<br>LEI: 549300KSCDSEIWTVMM32 | Long             | ABS-O            | CORP              | KY        |    595087 | PA      | $467097.31    | 0.04%             | 2039-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2686 | PA      | $2577.99      | 0.00%             | 2065-10-20      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| LCM Ltd Partnership                               | LCM 30 Ltd                                                         | CUSIP: 50200YAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3005000 | PA      | $2870577.34   | 0.24%             | 2031-04-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Hayfin Kingsland VIII Ltd                         | Hayfin US XII Ltd                                                  | CUSIP: 42086PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3497500 | PA      | $3356375.88   | 0.28%             | 2031-04-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379US56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8942592 | PA      | $359132.27    | 0.03%             | 2056-10-16      | Fixed         | 0.86%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140L7N99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8219668 | PA      | $6707132.84   | 0.56%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31397RC38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    919190 | PA      | $64314.57     | 0.01%             | 2038-02-15      | Floating      | 1.93%                 | No            |                  3 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2021-2                                  | CUSIP: 33844WAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    885000 | PA      | $842543.72    | 0.07%             | 2027-06-15      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380JLX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10980122 | PA      | $494846.65    | 0.04%             | 2059-12-16      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31396RGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2784697 | PA      | $261541.01    | 0.02%             | 2036-05-15      | Floating      | 2.88%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  42101834 | PA      | $2871892.39   | 0.24%             | 2063-03-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31394DR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1149658 | PA      | $1211424.02   | 0.10%             | 2035-06-25      | Floating      | 8.33%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR2 Trust                               | CUSIP: 74333DAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2670000 | PA      | $2293206.93   | 0.19%             | 2038-04-19      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BAY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2376954 | PA      | $5939.77      | 0.00%             | 2045-04-16      | Variable      | 0.22%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380N6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35176818 | PA      | $1754834.25   | 0.15%             | 2061-10-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375B4X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6272498 | PA      | $133013.34    | 0.01%             | 2063-07-20      | Variable      | 1.45%                 | No            |                  3 | On Loan: No      |
| Bank                                              | BANK 2022-BNK39                                                    | CUSIP: 06539VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5300000 | PA      | $4472168.62   | 0.37%             | 2055-02-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382YHA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5306804 | PA      | $31769.34     | 0.00%             | 2070-03-20      | Variable      | 0.85%                 | No            |                  3 | On Loan: No      |
| Prestige Auto Receivables Trust                   | Prestige Auto Receivables Trust 2020-1                             | CUSIP: 74114BAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1764410 | PA      | $1751238.27   | 0.15%             | 2026-11-16      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382KYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9563379 | PA      | $2141107.60   | 0.18%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2019-G                   | CUSIP: 63941JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1030758 | PA      | $947752.08    | 0.08%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31396KPJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35579 | PA      | $2556.97      | 0.00%             | 2036-08-25      | Floating      | 2.91%                 | No            |                  3 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2021-2                       | CUSIP: 96042RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2290000 | PA      | $2134689.91   | 0.18%             | 2026-07-15      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375UTH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16469999 | PA      | $16251057.93  | 1.35%             | 2064-10-20      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137A63Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32701 | PA      | $32497.39     | 0.00%             | 2040-11-15      | Floating      | 4.72%                 | No            |                  3 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2020-SFR3 Trust                               | CUSIP: 74333AAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1120000 | PA      | $989411.47    | 0.08%             | 2027-10-17      | Fixed         | 1.50%                 | 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        |   5365000 | PA      | $5109210.75   | 0.42%             | 2043-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  51601624 | PA      | $1514043.24   | 0.13%             | 2032-06-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380CG31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5498846 | PA      | $806466.71    | 0.07%             | 2047-02-20      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31397MA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173520 | PA      | $166954.93    | 0.01%             | 2038-11-25      | Variable      | 4.10%                 | No            |                  3 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2019-D                                    | CUSIP: 00968FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1766545 | PA      | $1640930.71   | 0.14%             | 2065-09-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140L6RP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5444516 | PA      | $4445443.69   | 0.37%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379VRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    520973 | PA      | $516361.59    | 0.04%             | 2037-07-20      | Variable      | 5.64%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144452 | PA      | $29156.68     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-B                       | CUSIP: 78443CAN4<br>LEI: 549300BLEHJGFV7XSO25 | Long             | ABS-O            | CORP              | US        |    164000 | PA      | $159755.68    | 0.01%             | 2033-03-15      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2020-SFR2 Trust                              | CUSIP: 89613JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1305000 | PA      | $1087380.55   | 0.09%             | 2039-11-17      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust             | OneMain Direct Auto Receivables Trust 2022-1                       | CUSIP: 68269DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3485000 | PA      | $3474687.89   | 0.29%             | 2029-03-14      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RFZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11669 | PA      | $11136.39     | 0.00%             | 2063-04-20      | Floating      | 4.04%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BVA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    274550 | PA      | $272925.69    | 0.02%             | 2061-01-20      | Variable      | 5.31%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140L04X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24277088 | PA      | $19841414.15  | 1.64%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                    | Hyundai Auto Receivables Trust 2021-C                              | CUSIP: 44935FAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4230000 | PA      | $3763484.72   | 0.31%             | 2028-06-15      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC20                             | CUSIP: 36252WAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1416000 | PA      | $1383682.77   | 0.11%             | 2047-04-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2020-2                                  | CUSIP: 33844QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590680 | PA      | $583555.39    | 0.05%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2015-DC1 Mortgage Trust                                       | CUSIP: 12629NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3110000 | PA      | $2960481.15   | 0.25%             | 2048-02-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218530 | PA      | $49861.46     | 0.00%             | 2037-06-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381D2H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  52023176 | PA      | $3337375.16   | 0.28%             | 2064-03-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137H5AG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18983363 | PA      | $3398701.50   | 0.28%             | 2052-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | Countrywide Asset-Backed Certificates                              | CUSIP: 126673TD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13355 | PA      | $13179.91     | 0.00%             | 2035-02-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4922 | PA      | $4820.52      | 0.00%             | 2062-10-20      | Floating      | 4.44%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DMB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  42008852 | PA      | $2824213.14   | 0.23%             | 2063-04-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2013-GC16                             | CUSIP: 36248GAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3461000 | PA      | $3370465.43   | 0.28%             | 2046-11-10      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** John Sgroi

**Name of Signer:** John Sgroi

**Title:** Assistant Treasurer