# EDGAR Filing Document

**Accession Number:** 0000872649
**File Stem:** 0001410368-25-031126
**Filing Date:** 2025-11
**Character Count:** 111278
**Document Hash:** 7c4b8164ac50c764c310edb7a07d20c3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-031126.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0001410368-25-031126

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20250930

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06241
- **FILM NUMBER:** 251522608

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

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

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2025-09-30

**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:** $695661730.84

**Total Liabilities:** $2992421.97

**Net Assets:** $692669308.87

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -423.02000000 | **1-Year:** -7611.45000000 | **5-Year:** -10112.64000000 | **10-Year:** -628.94000000 | **30-Year:** -9.04000000

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

- **3-Month:** -524.08000000 | **1-Year:** -13957.67000000 | **5-Year:** -35891.52000000 | **10-Year:** -4117.46000000 | **30-Year:** -1933.87000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000018241 | -0.14%               | 0.87%                | 0.22%                |
| Class ID C000182250 | -0.05%               | 0.96%                | 0.31%                |
| Class ID C000018239 | -0.08%               | 0.93%                | 0.19%                |
| Class ID C000018242 | -0.06%               | 0.86%                | 0.31%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4422.71                | $-2397918.84                               |
| Month 2  | $38976.69                | $4324545.99                                |
| Month 3  | $124312.69               | $-374395.40                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7900000 | PA      | $7991652.32   | 1.15%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWJ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1612652 | PA      | $1607730.28   | 0.23%             | 2030-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136A6VQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    822579 | PA      | $802578.70    | 0.12%             | 2042-06-25      | Floating      | 4.92%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31283GRK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3 | PA      | $2.85         | 0.00%             | 2026-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403CY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56617 | PA      | $58345.04     | 0.01%             | 2035-11-01      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWGC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364404 | PA      | $363725.54    | 0.05%             | 2030-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380L7U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2937889 | PA      | $2944813.92   | 0.43%             | 2070-04-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust            | NextGear Floorplan Master Owner Trust                        | CUSIP: 65341KBZ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1265376 | PA      | $1284229.47   | 0.19%             | 2029-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GM Financial Revolving Receivables Trust         | GM Financial Revolving Receivables Trust 2021-1              | CUSIP: 36263HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655000 | PA      | $637632.68    | 0.09%             | 2034-06-12      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70763 | PA      | $70041.06     | 0.01%             | 2062-08-20      | Floating      | 4.99%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H2NK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3413689 | PA      | $3398821.43   | 0.49%             | 2028-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FQ3P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7260503 | PA      | $7169739.02   | 1.04%             | 2026-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31409AW21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       688 | PA      | $720.43       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FF3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1084342 | PA      | $1078989.16   | 0.16%             | 2028-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                      | Hertz Vehicle Financing III LLC                              | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   1555000 | PA      | $1584355.29   | 0.23%             | 2028-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11845000 | PA      | $11761252.18  | 1.70%             | 2029-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31414EWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68226 | PA      | $69916.29     | 0.01%             | 2038-07-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140J5FU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    392862 | PA      | $404933.28    | 0.06%             | 2040-12-01      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FXLS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    490559 | PA      | $489533.48    | 0.07%             | 2027-08-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FU2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2305081 | PA      | $2307821.62   | 0.33%             | 2030-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRZ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6477597 | PA      | $6524922.41   | 0.94%             | 2027-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403GKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1681 | PA      | $1734.75      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31371L3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1054 | PA      | $1077.25      | 0.00%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2020-D             | CUSIP: 63941HAA0<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    244408 | PA      | $231997.20    | 0.03%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38374BQR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38764 | PA      | $38681.44     | 0.01%             | 2045-11-16      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31400WUJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28272 | PA      | $28976.23     | 0.00%             | 2033-04-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36297E2D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       912 | PA      | $911.96       | 0.00%             | 2061-04-20      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5NT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64309 | PA      | $65303.99     | 0.01%             | 2038-11-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWHQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311685 | PA      | $309684.91    | 0.04%             | 2030-08-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                 | SMB Private Education Loan Trust 2021-D                      | CUSIP: 78449MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474699 | PA      | $447165.19    | 0.06%             | 2053-03-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31412CBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88160 | PA      | $91807.39     | 0.01%             | 2036-08-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EHMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58007 | PA      | $59609.50     | 0.01%             | 2033-10-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31371J7C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5142 | PA      | $5277.10      | 0.00%             | 2031-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138AH2T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68994 | PA      | $71129.04     | 0.01%             | 2041-12-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RYM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297716 | PA      | $294982.34    | 0.04%             | 2066-09-20      | Floating      | 5.02%                 | No            |                  3 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9885000 | PA      | $10000839.84  | 1.44%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EJZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11396 | PA      | $11760.33     | 0.00%             | 2041-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36225BND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11624 | PA      | $12116.51     | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HHUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9154437 | PA      | $9138691.05   | 1.32%             | 2029-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4WG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56429 | PA      | $57779.69     | 0.01%             | 2038-11-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BLH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3697 | PA      | $3666.50      | 0.00%             | 2061-02-20      | Floating      | 5.07%                 | No            |                  3 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8870000 | PA      | $8968055.10   | 1.29%             | 2029-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CPB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48225000 | PA      | $48121391.48  | 6.95%             | 2027-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRZ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15311266 | PA      | $15440085.71  | 2.23%             | 2030-03-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97052 | PA      | $95899.13     | 0.01%             | 2060-10-20      | Floating      | 4.82%                 | No            |                  3 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2021-E             | CUSIP: 63942EAA6<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |   2392059 | PA      | $2155376.81   | 0.31%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403G5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236793 | PA      | $244051.44    | 0.04%             | 2037-06-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3620E1AW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101743 | PA      | $103834.98    | 0.01%             | 2063-02-20      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74346 | PA      | $73601.66     | 0.01%             | 2065-04-20      | Floating      | 4.95%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BXQY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2580000 | PA      | $2554287.72   | 0.37%             | 2027-03-25      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418NB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202801 | PA      | $207043.94    | 0.03%             | 2037-07-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        86 | PA      | $83.14        | 0.00%             | 2062-05-20      | Floating      | 4.92%                 | No            |                  3 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22410000 | PA      | $22296199.33  | 3.22%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403BAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60420 | PA      | $61466.75     | 0.01%             | 2033-10-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375LQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    510822 | PA      | $505690.51    | 0.07%             | 2037-10-20      | Floating      | 4.77%                 | No            |                  3 | On Loan: No      |
| FannieMae Whole Loan                             | Fannie Mae REMIC Trust 2002-W10                              | CUSIP: 31392ET59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3975 | PA      | $3768.56      | 0.00%             | 2042-08-25      | Variable      | 4.83%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31414FJD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138053 | PA      | $140232.00    | 0.02%             | 2038-08-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375UWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3515 | PA      | $3178.14      | 0.00%             | 2065-03-20      | Fixed         | 1.75%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232250 | PA      | $232071.44    | 0.03%             | 2027-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13575000 | PA      | $13617952.11  | 1.97%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410F3T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25226 | PA      | $25775.72     | 0.00%             | 2037-04-01      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2021-C             | CUSIP: 63942JAA5<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    980988 | PA      | $894427.40    | 0.13%             | 2069-10-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EGTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192631 | PA      | $194973.19    | 0.03%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31398JLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395571 | PA      | $371289.62    | 0.05%             | 2048-06-15      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EHNE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302459 | PA      | $308283.22    | 0.04%             | 2037-09-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3137B2PW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98978 | PA      | $94321.23     | 0.01%             | 2043-06-15      | Floating      | 6.59%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31395UKP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274426 | PA      | $283020.81    | 0.04%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LFQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2357800 | PA      | $2369819.81   | 0.34%             | 2068-06-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8370000 | PA      | $8420350.74   | 1.22%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38378DLM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1372514 | PA      | $1372255.16   | 0.20%             | 2038-09-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FHGE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2512331 | PA      | $2499985.80   | 0.36%             | 2026-09-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EGLN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74513 | PA      | $76513.18     | 0.01%             | 2034-09-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36177TN45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1588 | PA      | $1561.33      | 0.00%             | 2064-01-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                              | CUSIP: 3136B8HP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230452 | PA      | $229754.51    | 0.03%             | 2027-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FTZZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2498028 | PA      | $2497474.93   | 0.36%             | 2030-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5243081 | PA      | $5228502.43   | 0.75%             | 2068-09-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31411KKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150798 | PA      | $154321.63    | 0.02%             | 2037-03-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5HG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191334 | PA      | $197651.38    | 0.03%             | 2037-06-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                  | CFCRE Commercial Mortgage Trust 2016-C7                      | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1745000 | PA      | $1726135.68   | 0.25%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1168409 | PA      | $1168687.56   | 0.17%             | 2064-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1069595 | PA      | $1067447.02   | 0.15%             | 2030-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F73D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287214 | PA      | $285902.39    | 0.04%             | 2027-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36193DHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124648 | PA      | $124124.40    | 0.02%             | 2066-02-20      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H2NT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3799825 | PA      | $3740817.11   | 0.54%             | 2051-05-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36230RPD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5778 | PA      | $5702.70      | 0.00%             | 2062-02-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                       | Hudsons Bay Simon JV Trust 2015-HBS                          | CUSIP: 44422PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234106 | PA      | $233901.75    | 0.03%             | 2034-08-05      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31402C2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63994 | PA      | $65579.57     | 0.01%             | 2034-04-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36297E2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1356 | PA      | $1337.63      | 0.00%             | 2061-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2272 | PA      | $2205.39      | 0.00%             | 2061-08-20      | Floating      | 5.15%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136BANP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2787506 | PA      | $2613008.12   | 0.38%             | 2050-06-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31398WB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196123 | PA      | $199110.04    | 0.03%             | 2036-12-15      | Floating      | 4.51%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36178FK54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84962 | PA      | $84334.44     | 0.01%             | 2063-07-20      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H5FZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7165000 | PA      | $6696275.73   | 0.97%             | 2030-11-25      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410KSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271898 | PA      | $278303.63    | 0.04%             | 2035-07-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403LGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1352 | PA      | $1378.34      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138ECC50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54698 | PA      | $50382.49     | 0.01%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36176HMD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1250 | PA      | $1231.78      | 0.00%             | 2062-08-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BJK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86253 | PA      | $85249.93     | 0.01%             | 2060-12-20      | Floating      | 4.85%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31402LJ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41488 | PA      | $42740.38     | 0.01%             | 2033-08-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4E94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    317840 | PA      | $325639.95    | 0.05%             | 2035-09-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                   | Wheels Fleet Lease Funding 1 LLC                             | CUSIP: 96328GAS6<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |    441357 | PA      | $444675.31    | 0.06%             | 2038-04-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3265000 | PA      | $3257092.56   | 0.47%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4850000 | PA      | $4876712.88   | 0.70%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3620E0KH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233822 | PA      | $238971.98    | 0.03%             | 2061-02-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97975 | PA      | $100206.31    | 0.01%             | 2037-04-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376ETM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44631 | PA      | $43677.63     | 0.01%             | 2059-11-20      | Floating      | 5.40%                 | No            |                  3 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust    | BHG Securitization Trust 2024-1CON                           | CUSIP: 08862HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    279210 | PA      | $287314.92    | 0.04%             | 2035-04-17      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWHP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116921 | PA      | $116599.72    | 0.02%             | 2030-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FPJ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3627794 | PA      | $3581654.91   | 0.52%             | 2027-07-25      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38374KVF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    614638 | PA      | $607279.80    | 0.09%             | 2035-02-20      | Floating      | 4.45%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31406L4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228838 | PA      | $235963.94    | 0.03%             | 2036-01-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | Commercial Mortgage Pass Through Certificates                | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    809275 | PA      | $786008.48    | 0.11%             | 2030-10-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                   | Enterprise Fleet Financing 2022-3 LLC                        | CUSIP: 29374FAB9<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |     68907 | PA      | $68915.05     | 0.01%             | 2029-07-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36176RA85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28529 | PA      | $28275.22     | 0.00%             | 2061-12-20      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9755000 | PA      | $9860552.12   | 1.42%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUZR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    411275 | PA      | $410923.02    | 0.06%             | 2027-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300L5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138145 | PA      | $141712.46    | 0.02%             | 2038-09-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15030000 | PA      | $15328838.63  | 2.21%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36177TNH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2463 | PA      | $2390.38      | 0.00%             | 2063-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31416BT24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138366 | PA      | $141902.47    | 0.02%             | 2035-07-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31409VJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6932 | PA      | $7101.11      | 0.00%             | 2036-09-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWJ76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1773635 | PA      | $1762171.87   | 0.25%             | 2030-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31419AQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460473 | PA      | $472774.11    | 0.07%             | 2034-04-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36230KSC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3358 | PA      | $3350.69      | 0.00%             | 2061-08-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H6LM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17900768 | PA      | $16866283.08  | 2.43%             | 2031-10-25      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31390TZ77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5321 | PA      | $5331.90      | 0.00%             | 2032-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31403GDV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1553 | PA      | $1580.52      | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136AFEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840298 | PA      | $1748224.31   | 0.25%             | 2043-07-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153521 | PA      | $152996.34    | 0.02%             | 2069-08-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31391WRV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115699 | PA      | $116750.01    | 0.02%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407JTE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51871 | PA      | $52723.09     | 0.01%             | 2035-08-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust             | Toyota Auto Loan Extended Note Trust 2022-1                  | CUSIP: 89231EAA1<br>LEI: 549300VJ12IVOF78MZ11 | Long             | ABS-O            | CORP              | US        |   4365000 | PA      | $4353540.57   | 0.63%             | 2035-04-25      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36207KEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7734 | PA      | $7863.61      | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3620E1CU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243898 | PA      | $248675.98    | 0.04%             | 2063-03-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86954 | PA      | $89734.12     | 0.01%             | 2035-05-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H3KE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6682132 | PA      | $6620742.91   | 0.96%             | 2028-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31407RP57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83002 | PA      | $85125.52     | 0.01%             | 2035-08-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRYZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4924970 | PA      | $4932464.43   | 0.71%             | 2027-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45625000 | PA      | $44721411.02  | 6.46%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bank5                                            | BANK5 2023-5YR4                                              | CUSIP: 06211FAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740100 | PA      | $780686.61    | 0.11%             | 2056-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57164 | PA      | $58690.72     | 0.01%             | 2038-09-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RFW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11828 | PA      | $11399.48     | 0.00%             | 2065-07-20      | Floating      | 4.77%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31401XPH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98985 | PA      | $101815.58    | 0.01%             | 2033-06-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RAZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1312 | PA      | $1269.33      | 0.00%             | 2065-04-20      | Floating      | 4.72%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31405EJP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77069 | PA      | $78250.44     | 0.01%             | 2034-08-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31396AXW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405728 | PA      | $411222.27    | 0.06%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31411NP84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441252 | PA      | $458842.41    | 0.07%             | 2047-02-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    330351 | PA      | $325818.91    | 0.05%             | 2065-05-20      | Floating      | 4.70%                 | No            |                  3 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4390000 | PA      | $4428755.45   | 0.64%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300MBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299301 | PA      | $309186.31    | 0.04%             | 2041-09-01      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2022-SSP                                           | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4650000 | PA      | $4665189.69   | 0.67%             | 2039-05-15      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136AMRW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2487174 | PA      | $2440682.77   | 0.35%             | 2045-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BN32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139242 | PA      | $137513.45    | 0.02%             | 2063-03-20      | Floating      | 4.82%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 31397RFM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163216 | PA      | $169703.27    | 0.02%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306562 | PA      | $303936.45    | 0.04%             | 2030-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36176RBE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3261 | PA      | $3212.58      | 0.00%             | 2062-02-20      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BH39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2325 | PA      | $2254.26      | 0.00%             | 2062-12-20      | Floating      | 4.97%                 | No            |                  3 | On Loan: No      |
| PenFed Auto Receivables Owner Trust              | PenFed Auto Receivables Owner Trust 2022-A                   | CUSIP: 706874AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136420 | PA      | $136376.54    | 0.02%             | 2028-12-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31385WZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       439 | PA      | $459.23       | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Bills                                          | CUSIP: 912797RB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  12880000 | PA      | $12871268.91  | 1.86%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31418MS78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570215 | PA      | $587318.54    | 0.08%             | 2033-11-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13620000 | PA      | $13897188.25  | 2.01%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38382EHC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2309537 | PA      | $2155543.61   | 0.31%             | 2046-05-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136A7YW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2275942 | PA      | $2249617.74   | 0.32%             | 2042-08-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3617A5D44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    778888 | PA      | $775100.41    | 0.11%             | 2065-10-20      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380L2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2234305 | PA      | $2233983.38   | 0.32%             | 2069-06-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LU50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2046008 | PA      | $2043699.18   | 0.30%             | 2070-01-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31297ANS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8611 | PA      | $8624.31      | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust            | NextGear Floorplan Master Owner Trust                        | CUSIP: 65341KCC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2745074 | PA      | $2760561.63   | 0.40%             | 2029-09-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RAC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    419097 | PA      | $407494.17    | 0.06%             | 2065-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31416BPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178960 | PA      | $183765.18    | 0.03%             | 2036-06-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31411JPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154211 | PA      | $158074.17    | 0.02%             | 2037-02-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16073 | PA      | $16391.68     | 0.00%             | 2037-12-01      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18230000 | PA      | $18879443.75  | 2.73%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                   | Carvana Auto Receivables Trust 2021-N2                       | CUSIP: 14686KAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    497221 | PA      | $488932.35    | 0.07%             | 2028-03-10      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31412EJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10882 | PA      | $11072.18     | 0.00%             | 2037-02-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31342AXY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131360 | PA      | $134311.26    | 0.02%             | 2033-07-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380QBX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    872575 | PA      | $871568.13    | 0.13%             | 2070-05-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381155 | PA      | $380266.69    | 0.05%             | 2070-01-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LUJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    288658 | PA      | $297008.10    | 0.04%             | 2036-02-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138AR6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624385 | PA      | $648023.67    | 0.09%             | 2041-10-01      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375UMN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1173778 | PA      | $1173997.85   | 0.17%             | 2064-07-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1903663 | PA      | $1901710.20   | 0.27%             | 2030-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Bank                                             | BANK 2020-BNK25                                              | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1595000 | PA      | $1471528.50   | 0.21%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQ40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    435430 | PA      | $448945.30    | 0.06%             | 2036-02-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EHAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162594 | PA      | $164512.81    | 0.02%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                       | FIXED INC CLEARING CORP.REPO                                 | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   5899650 | PA      | $5899650.46   | 0.85%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FRZ61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15311266 | PA      | $15384121.51  | 2.22%             | 2030-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5NW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48757 | PA      | $49522.08     | 0.01%             | 2038-03-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    498197 | PA      | $493148.12    | 0.07%             | 2065-02-20      | Floating      | 4.91%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31393CLX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318955 | PA      | $325506.24    | 0.05%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128PWV21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2413 | PA      | $2396.47      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HLJA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10350000 | PA      | $10518601.50  | 1.52%             | 2030-02-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S4C54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207520 | PA      | $215126.33    | 0.03%             | 2036-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities         | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182186 | PA      | $165561.63    | 0.02%             | 2044-10-25      | Floating      | 5.35%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142338 | PA      | $142048.56    | 0.02%             | 2060-10-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC         | Avis Budget Rental Car Funding AESOP LLC                     | CUSIP: 05377REZ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3220000 | PA      | $3201204.22   | 0.46%             | 2028-08-21      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36176HLJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7361 | PA      | $7166.41      | 0.00%             | 2062-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FXLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438055 | PA      | $436523.41    | 0.06%             | 2027-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4270000 | PA      | $4360403.93   | 0.63%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                       | Navient Private Education Refi Loan Trust 2019-F             | CUSIP: 63935CAB7<br>LEI: 549300ZUZB9UCBWEBN39 | Long             | ABS-O            | CORP              | US        |    785529 | PA      | $759908.61    | 0.11%             | 2068-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1125209 | PA      | $1129552.56   | 0.16%             | 2066-02-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38382DYY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1163691 | PA      | $1137647.93   | 0.16%             | 2048-04-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41285000 | PA      | $41552707.63  | 6.00%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BU42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193831 | PA      | $191643.30    | 0.03%             | 2063-03-20      | Floating      | 4.87%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FQ3S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264078 | PA      | $263995.21    | 0.04%             | 2026-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31411E2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29078 | PA      | $29862.65     | 0.00%             | 2037-01-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 31283H6S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74327 | PA      | $77436.78     | 0.01%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LUP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    667652 | PA      | $689635.17    | 0.10%             | 2037-03-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RU61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1075580 | PA      | $1077373.28   | 0.16%             | 2067-02-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                            | CUSIP: 36200WT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2745 | PA      | $2886.51      | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31397ME86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383881 | PA      | $375575.77    | 0.05%             | 2038-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                   | Starwood Retail Property Trust 2014-STAR                     | CUSIP: 85571XAA5<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   2830426 | PA      | $1710992.24   | 0.25%             | 2027-11-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FUZS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308456 | PA      | $308028.63    | 0.04%             | 2027-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31419A6G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74333 | PA      | $76225.05     | 0.01%             | 2036-11-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3140HRRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $5180972.26   | 0.75%             | 2026-01-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust        | TCO Commercial Mortgage Trust 2024-DPM                       | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    645000 | PA      | $646614.44    | 0.09%             | 2039-12-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25060000 | PA      | $25346819.47  | 3.66%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MVW 2020-1 LLC                                   | MVW 2020-1 LLC                                               | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140257 | PA      | $137173.14    | 0.02%             | 2037-10-20      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F73C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239216 | PA      | $238825.88    | 0.03%             | 2027-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HHJF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $5318783.60   | 0.77%             | 2031-10-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities         | Freddie Mac Structured Pass-Through Certificates             | CUSIP: 31394XVP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3647 | PA      | $3337.19      | 0.00%             | 2044-03-25      | Variable      | 4.32%                 | No            |                  3 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34485000 | PA      | $34823114.73  | 5.03%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 3138EHMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    613267 | PA      | $630074.35    | 0.09%             | 2034-10-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LRU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5449722 | PA      | $5176602.99   | 0.75%             | 2068-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H5DX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11380000 | PA      | $10760780.06  | 1.55%             | 2028-11-25      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31404FAG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51690 | PA      | $53523.52     | 0.01%             | 2034-03-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                        | CUSIP: 3128M87E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74168 | PA      | $72221.51     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2085000 | PA      | $2118148.25   | 0.31%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS 2020-BID Mortgage Trust                                | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3895000 | PA      | $3893782.81   | 0.56%             | 2037-10-15      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36177TN29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32533 | PA      | $32432.68     | 0.00%             | 2063-11-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FNXD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8421159 | PA      | $8440132.04   | 1.22%             | 2029-08-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H92P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16300000 | PA      | $16283911.90  | 2.35%             | 2032-11-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12755000 | PA      | $12689232.03  | 1.83%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       281 | PA      | $272.89       | 0.00%             | 2065-10-20      | Floating      | 5.17%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375BZY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7857 | PA      | $7620.53      | 0.00%             | 2062-10-20      | Floating      | 4.97%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137HN4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8345000 | PA      | $8439891.00   | 1.22%             | 2030-05-25      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29663 | PA      | $29357.65     | 0.00%             | 2063-05-20      | Floating      | 4.94%                 | No            |                  3 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2021-NRD                                           | CUSIP: 05592CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1825000 | PA      | $1811545.55   | 0.26%             | 2038-12-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181127 | PA      | $176106.45    | 0.03%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36185KDJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182054 | PA      | $187379.36    | 0.03%             | 2065-06-20      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31300LQP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86648 | PA      | $88198.81     | 0.01%             | 2034-12-01      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QLUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49106 | PA      | $50072.06     | 0.01%             | 2036-04-01      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 36186QVP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157006 | PA      | $159786.29    | 0.02%             | 2065-05-20      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31419AMC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312486 | PA      | $322250.71    | 0.05%             | 2037-09-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                     | CUSIP: 38380LKG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27970 | PA      | $27921.20     | 0.00%             | 2068-09-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                           | CUSIP: 3620E1AY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232158 | PA      | $236020.43    | 0.03%             | 2063-02-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| SPGN TFLM Mortgage Trust                         | SPGN 2022-TFLM Mortgage Trust                                | CUSIP: 78473HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3295000 | PA      | $3287897.63   | 0.47%             | 2039-02-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE                    | DROP Mortgage Trust 2021-FILE                                | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2570000 | PA      | $2496915.63   | 0.36%             | 2043-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                           | CUSIP: 3133TK5Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21245 | PA      | $20770.94     | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| MVW Owner Trust                                  | MVW 2024-1 LLC                                               | CUSIP: 62847RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    468885 | PA      | $478544.17    | 0.07%             | 2043-02-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4760000 | PA      | $4790121.85   | 0.69%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31326NF55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    714479 | PA      | $741404.48    | 0.11%             | 2046-01-01      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 3128S5GE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124225 | PA      | $127680.97    | 0.02%             | 2037-04-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137F8ZR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1025813 | PA      | $1016478.62   | 0.15%             | 2030-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31406XSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51878 | PA      | $53867.16     | 0.01%             | 2035-06-01      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit         | Ford Credit Auto Owner Trust/Ford Credit                     | CUSIP: 34532MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3915000 | PA      | $4016504.21   | 0.58%             | 2037-08-15      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                            | CUSIP: 3136A6JW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    920712 | PA      | $904570.89    | 0.13%             | 2042-06-25      | Floating      | 5.02%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410KSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400860 | PA      | $412238.78    | 0.06%             | 2037-04-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Non Gold Pool                                    | CUSIP: 31349ULH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47834 | PA      | $49194.33     | 0.01%             | 2035-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                              | CUSIP: 31410GTH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7731 | PA      | $8168.08      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | U.S. Treasury Notes                                          | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4420000 | PA      | $4561060.15   | 0.66%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-30

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

**Signature:** John Sgroi

**Name of Signer:** John Sgroi

**Title:** Assistant Treasurer