Freddie Mac Multifamily Structured Pass Through Certificates

NPORT-P false 0000872649 XXXXXXXX S000006702 C000018241 C000182250 C000018239 C000018242 LOOMIS SAYLES FUNDS II 811-06241 0000872649 5493007QOEDY6IHOTU14 888 BOYLSTON STREET Suite 800 BOSTON 02199-8197 617-449-2822 Loomis Sayles Limited Term Government and Agency Fund S000006702 5HBZDB7NR78KJHZJWI31 2021-09-30 2021-06-30 N 1045409624.92 1532734.34 1043876890.58 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 USD N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWJ68 2855000.00000000 PA USD 2856801.51000000 0.273672263058 Long ABS-MBS USGSE US N 2 2030-04-25 Floating 0.42600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A6VQ4 1756669.70000000 PA USD 1774999.85000000 0.170039193895 Long ABS-MBS USGSE US N 2 2042-06-25 Floating 0.54200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31283GRK5 73.71000000 PA USD 79.96000000 0.000007659907 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403CY21 140076.54000000 PA USD 148032.82000000 0.014181061132 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.27500000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWGC8 1727096.24000000 PA USD 1732077.19000000 0.165927343121 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 0.38600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380L7U1 11173404.93000000 PA USD 11234925.70000000 1.076269223064 Long ABS-MBS USGA US N 2 2070-04-20 Floating 0.74300000 N N N N N N GM Financial Consumer Automobile Receivables Trust 2020-2 N/A GM Financial Consumer Automobile Receivables Trust 2020-2 36258VAD6 500000.00000000 PA USD 507088.00000000 0.048577375797 Long ABS-O CORP US N 2 2024-12-16 Fixed 1.49000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BUL4 535339.53000000 PA USD 538158.04000000 0.051553784249 Long ABS-MBS USGA US N 2 2062-08-20 Floating 0.62700000 N N N N N N CNH Equipment Trust N/A CNH Equipment Trust 2020-A 12597PAC2 430000.00000000 PA USD 434717.53000000 0.041644520912 Long ABS-O CORP US N 2 2025-06-16 Fixed 1.16000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31413JKV5 22960.95000000 PA USD 23386.20000000 0.002240321652 Long ABS-MBS USGSE US N 2 2022-09-01 Fixed 6.00000000 N N N N N N Flagship Credit Auto Trust N/A Flagship Credit Auto Trust 2020-2 33844QAA1 382373.46000000 PA USD 383961.07000000 0.036782217660 Long ABS-O CORP US N 2 2024-07-15 Fixed 1.49000000 N N N N N N Toyota Auto Receivables Owner Trust N/A Toyota Auto Receivables 2019-A Owner Trust 89239AAD5 714592.94000000 PA USD 724005.42000000 0.069357356842 Long ABS-O CORP US N 2 2023-07-17 Fixed 2.91000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BNT5 32202.15000000 PA USD 33800.62000000 0.003237989106 Long ABS-MBS USGA US N 3 2061-12-20 Fixed 3.00000000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 Chesapeake Funding II LLC 165183CJ1 925176.71000000 PA USD 929922.87000000 0.089083576654 Long ABS-O CORP US N 2 2032-08-16 Fixed 0.87000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FQ3P6 8000000.00000000 PA USD 8323464.80000000 0.797360768794 Long ABS-MBS USGSE US N 2 2026-08-25 Fixed 2.54100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31409AW21 2887.43000000 PA USD 3278.60000000 0.000314079182 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FF3L9 5974690.15000000 PA USD 5963410.53000000 0.571275270466 Long ABS-MBS USGSE US N 2 2028-01-25 Floating 0.19000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31414EWD2 385742.87000000 PA USD 391429.66000000 0.037497684212 Long ABS-MBS USGSE US N 2 2038-07-01 Floating 2.63700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J5FU8 1081667.96000000 PA USD 1144249.75000000 0.109615392420 Long ABS-MBS USGSE US N 2 2040-12-01 Floating 2.39600000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FXLS5 2554192.80000000 PA USD 2558090.50000000 0.245056722979 Long ABS-MBS USGSE US N 2 2027-08-25 Floating 0.37600000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FU2A1 4358319.73000000 PA USD 4387549.67000000 0.420312942033 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 0.59000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRZ20 17873131.96000000 PA USD 17843212.34000000 1.709321520671 Long ABS-MBS USGSE US N 2 2027-02-25 Floating 0.91000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403GKF8 3275.46000000 PA USD 3700.27000000 0.000354473792 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371L3D9 1807.18000000 PA USD 2107.95000000 0.000201934731 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 6.50000000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2020-D 63941HAA0 945920.49000000 PA USD 955236.86000000 0.091508574298 Long ABS-O CORP US N 2 2069-05-15 Fixed 1.69000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38374BQR7 108967.33000000 PA USD 118983.88000000 0.011398267465 Long ABS-MBS USGA US N 2 2045-11-16 Variable 5.29600000 N N N N N N Honda Auto Receivables Owner Trust N/A Honda Auto Receivables 2019-2 Owner Trust 43815MAC0 131381.19000000 PA USD 133059.06000000 0.012746623783 Long ABS-O CORP US N 2 2023-06-21 Fixed 2.52000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128MB4Q7 18341.09000000 PA USD 18866.36000000 0.001807335728 Long ABS-MBS USGSE US N 2 2023-10-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31400WUJ7 97014.51000000 PA USD 97241.13000000 0.009315382961 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 2.26600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36297E2D6 2731.29000000 PA USD 2873.37000000 0.000275259470 Long ABS-MBS USGA US N 2 2061-04-20 Variable 4.92600000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FREB3 854192.47000000 PA USD 863580.90000000 0.082728232399 Long ABS-MBS USGSE US N 2 2025-02-25 Fixed 1.76600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5NT7 118482.48000000 PA USD 119424.86000000 0.011440511910 Long ABS-MBS USGSE US N 2 2038-11-01 Floating 2.28500000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWHQ6 4727710.08000000 PA USD 4760411.65000000 0.456031903087 Long ABS-MBS USGSE US N 2 2030-08-25 Floating 0.34000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FJY29 2577992.10000000 PA USD 2586854.46000000 0.247812216492 Long ABS-MBS USGSE US N 2 2025-10-25 Floating 0.47600000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137AME60 5753433.22000000 PA USD 5793575.50000000 0.555005628755 Long ABS-MBS USGSE US N 2 2021-12-25 Fixed 2.87300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412CBQ2 161575.57000000 PA USD 173839.06000000 0.016653214719 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 2.68200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHMV1 219824.95000000 PA USD 221541.65000000 0.021222967190 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 2.46200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371J7C2 10645.78000000 PA USD 12276.67000000 0.001176064927 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177LEG5 32615.24000000 PA USD 33069.51000000 0.003167951153 Long ABS-MBS USGA US N 2 2063-02-20 Variable 3.67700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138AH2T2 120424.99000000 PA USD 121271.72000000 0.011617435072 Long ABS-MBS USGSE US N 2 2041-12-01 Floating 2.17500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RYM2 1395254.84000000 PA USD 1405653.67000000 0.134657035009 Long ABS-MBS USGA US N 2 2066-09-20 Floating 0.65700000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CBT7 25725000.00000000 PA USD 25609438.41000000 2.453300637374 Long DBT UST US N 2 2026-03-31 Fixed 0.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAJ0 13840000.00000000 PA USD 13562118.82000000 1.299206730447 Long DBT UST US N 2 2025-08-31 Fixed 0.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828ZW3 18650000.00000000 PA USD 18319253.81000000 1.754924740198 Long DBT UST US N 2 2025-06-30 Fixed 0.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EJZZ4 67648.65000000 PA USD 67972.30000000 0.006511524549 Long ABS-MBS USGSE US N 2 2041-07-01 Floating 2.42100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BND6 31259.93000000 PA USD 36573.41000000 0.003503613340 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 6.50000000 N N N N N N Toyota Auto Receivables Owner Trust N/A Toyota Auto Receivables 2017-C Owner Trust 89237RAE8 546422.65000000 PA USD 546825.96000000 0.052384142702 Long ABS-O CORP US N 2 2022-12-15 Fixed 1.98000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4WG8 156054.09000000 PA USD 158524.03000000 0.015186084818 Long ABS-MBS USGSE US N 2 2038-11-01 Floating 2.18600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BLH3 42130.44000000 PA USD 42388.66000000 0.004060695315 Long ABS-MBS USGA US N 2 2061-02-20 Floating 0.70700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RZF6 29733.31000000 PA USD 29439.44000000 0.002820202292 Long ABS-MBS USGA US N 3 2063-09-20 Floating 0.50700000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRZ79 31425000.00000000 PA USD 31786604.33000000 3.045052976729 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 1.01000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BGP1 766930.85000000 PA USD 768275.59000000 0.073598294677 Long ABS-MBS USGA US N 2 2060-10-20 Floating 0.45700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177X4K1 84685.07000000 PA USD 88880.48000000 0.008514459971 Long ABS-MBS USGA US N 2 2063-04-20 Variable 4.28400000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136AQC65 876192.41000000 PA USD 877376.58000000 0.084049813528 Long ABS-MBS USGSE US N 2 2022-11-25 Floating 1.02800000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136ARTB4 170499.03000000 PA USD 171412.85000000 0.016420791718 Long ABS-MBS USGSE US N 2 2023-02-25 Fixed 2.26300000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BN5M2 445688.80000000 PA USD 446151.02000000 0.042739811947 Long ABS-MBS USGSE US N 2 2023-01-25 Floating 0.73600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403G5H1 634341.65000000 PA USD 677341.91000000 0.064887144845 Long ABS-MBS USGSE US N 2 2037-06-01 Floating 2.64900000 N N N N N N AmeriCredit Automobile Receivables Trust N/A AmeriCredit Automobile Receivables Trust 2020-2 03066EAD6 395000.00000000 PA USD 396422.40000000 0.037975972413 Long ABS-O CORP US N 2 2024-12-18 Fixed 0.66000000 N N N N N N Credit Acceptance Auto Loan Trust N/A Credit Acceptance Auto Loan Trust 2019-3 22535KAA1 1955000.00000000 PA USD 1992484.00000000 0.190873465825 Long ABS-O CORP US N 2 2028-11-15 Fixed 2.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620E1AW4 848310.37000000 PA USD 893961.68000000 0.085638611992 Long ABS-MBS USGA US N 2 2063-02-20 Floating 2.45600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31358QES0 4706.06000000 PA USD 4648.05000000 0.000445268023 Long ABS-MBS USGSE US N 3 2022-09-25 Floating 1.19000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31294L6P3 71707.68000000 PA USD 75389.83000000 0.007222099720 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RAH9 292911.23000000 PA USD 294871.25000000 0.028247703600 Long ABS-MBS USGA US N 2 2065-04-20 Floating 0.58700000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BXQY1 2580000.00000000 PA USD 2856421.46000000 0.273635855509 Long ABS-MBS USGSE US N 2 2027-03-25 Fixed 3.22400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418NB58 456068.30000000 PA USD 480731.34000000 0.046052493769 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 2.44300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BUB6 457.60000000 PA USD 455.39000000 0.000043624876 Long ABS-MBS USGA US N 3 2062-05-20 Floating 0.55700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403BAF0 213581.88000000 PA USD 222064.92000000 0.021273094749 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 2.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410KZL1 20886.28000000 PA USD 21080.07000000 0.002019401922 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375LQF0 996074.16000000 PA USD 1002461.49000000 0.096032539760 Long ABS-MBS USGA US N 2 2037-10-20 Floating 0.61300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828S92 7030000.00000000 PA USD 7173895.31000000 0.687235762639 Long DBT UST US N 2 2023-07-31 Fixed 1.25000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828ZX1 15870000.00000000 PA USD 15873719.61000000 1.520650543492 Long DBT UST US N 2 2022-06-30 Fixed 0.12500000 N N N N N N FannieMae Whole Loan N/A Fannie Mae REMIC Trust 2002-W10 31392ET59 6406.19000000 PA USD 6862.91000000 0.000657444384 Long ABS-MBS USGSE US N 3 2042-08-25 Variable 4.17500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31414FJD4 231793.39000000 PA USD 234021.97000000 0.022418541124 Long ABS-MBS USGSE US N 2 2038-08-01 Floating 2.58200000 N N N N N N GM Financial Automobile Leasing Trust N/A GM Financial Automobile Leasing Trust 2020-2 36259PAD8 475000.00000000 PA USD 477545.05000000 0.045747257584 Long ABS-O CORP US N 2 2023-07-20 Fixed 0.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375UWF3 20076.84000000 PA USD 20151.24000000 0.001930423039 Long ABS-MBS USGA US N 3 2065-03-20 Fixed 1.75000000 N N N N N N United Auto Credit Securitization Trust N/A United Auto Credit Securitization Trust 2020-1 90945BAA2 5834.01000000 PA USD 5834.62000000 0.000558937557 Long ABS-O CORP US N 2 2022-05-10 Fixed 0.85000000 N N N N N N Santander Drive Auto Receivables Trust N/A Santander Drive Auto Receivables Trust 2020-2 80285RAD0 630000.00000000 PA USD 631047.06000000 0.060452249273 Long ABS-O CORP US N 2 2024-04-15 Fixed 0.67000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRE98 7599562.60000000 PA USD 7648065.29000000 0.732659699531 Long ABS-MBS USGSE US N 2 2027-01-25 Floating 0.54000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410F3T0 201499.03000000 PA USD 203272.26000000 0.019472819240 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 1.92800000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CBQ3 11585000.00000000 PA USD 11409414.84000000 1.092984713327 Long DBT UST US N 2 2026-02-28 Fixed 0.50000000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2021-c 63942JAA5 2620000.00000000 PA USD 2626675.76000000 0.251626967097 Long ABS-O CORP US N 2 2069-10-15 Fixed 1.06000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EGTA2 435224.23000000 PA USD 496831.97000000 0.047594881588 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.00000000 N N N N N N Santander Consumer Auto Receivables Trust N/A Santander Consumer Auto Receivables Trust 2020-A 80281MAA1 1354079.55000000 PA USD 1363449.78000000 0.130614040056 Long ABS-O CORP US N 2 2024-10-15 Fixed 1.37000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31398JLT8 792159.42000000 PA USD 849409.02000000 0.081370612537 Long ABS-MBS USGSE US N 2 2048-06-15 Variable 2.75200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHNE8 591110.21000000 PA USD 615456.61000000 0.058958735034 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 2.27400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137B2PW4 209130.99000000 PA USD 216772.68000000 0.020766115425 Long ABS-MBS USGSE US N 3 2043-06-15 Floating 2.17300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31390NP30 2238.06000000 PA USD 2505.77000000 0.000240044589 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31395UKP5 644029.85000000 PA USD 733306.68000000 0.070248387201 Long ABS-MBS USGSE US N 2 2035-05-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5TB0 205260.56000000 PA USD 206245.66000000 0.019757661258 Long ABS-MBS USGSE US N 2 2038-09-01 Floating 2.06500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LFQ1 6377832.02000000 PA USD 6313081.72000000 0.604772629509 Long ABS-MBS USGA US N 2 2068-06-20 Floating 0.71800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378DLM5 2942845.56000000 PA USD 2947021.46000000 0.282315039885 Long ABS-MBS USGA US N 2 2038-09-20 Floating 0.34300000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FHGE7 10261000.00000000 PA USD 11325562.33000000 1.084951916476 Long ABS-MBS USGSE US N 2 2026-09-25 Fixed 3.70000000 N N N N N N Toyota Auto Receivables Owner Trust N/A Toyota Auto Receivables 2020-A Owner Trust 89232HAC9 450000.00000000 PA USD 456293.25000000 0.043711404488 Long ABS-O CORP US N 2 2024-05-15 Fixed 1.66000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EGLN2 231309.35000000 PA USD 245193.04000000 0.023488693179 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 2.36100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177TN45 258683.52000000 PA USD 277478.95000000 0.026581578010 Long ABS-MBS USGA US N 2 2064-01-20 Variable 4.62700000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136B8HP7 4488418.33000000 PA USD 4545062.17000000 0.435402125577 Long ABS-MBS USGSE US N 2 2027-01-25 Floating 0.55200000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FTZZ3 4723134.44000000 PA USD 4765157.58000000 0.456486547695 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 0.55600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LKR3 8993578.58000000 PA USD 9052194.23000000 0.867170670381 Long ABS-MBS USGA US N 2 2068-09-20 Floating 0.52700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411KKA0 905261.13000000 PA USD 959503.79000000 0.091917332269 Long ABS-MBS USGSE US N 2 2037-03-01 Floating 2.15800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5HG2 305062.63000000 PA USD 305302.65000000 0.029246997682 Long ABS-MBS USGSE US N 2 2037-06-01 Floating 1.96100000 N N N N N N Kubota Credit Owner Trust N/A Kubota Credit Owner Trust 2020-1 50117WAC8 805000.00000000 PA USD 820546.97000000 0.078605722322 Long ABS-O CORP US N 2 2024-03-15 Fixed 1.96000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378U8D2 3131852.56000000 PA USD 3155384.67000000 0.302275555525 Long ABS-MBS USGA US N 2 2064-07-20 Floating 0.60700000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUNV2 4851770.47000000 PA USD 4880751.07000000 0.467560026861 Long ABS-MBS USGSE US N 2 2030-06-25 Floating 0.52000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F73D5 1854236.15000000 PA USD 1859898.62000000 0.178172219040 Long ABS-MBS USGSE US N 2 2027-10-25 Floating 0.32000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36193DHJ4 1561364.23000000 PA USD 1695408.13000000 0.162414566822 Long ABS-MBS USGA US N 2 2066-02-20 Variable 4.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36230RPD2 8287.43000000 PA USD 8557.81000000 0.000819810274 Long ABS-MBS USGA US N 2 2062-02-20 Variable 4.60800000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAZ4 7255000.00000000 PA USD 7124353.34000000 0.682489803566 Long DBT UST US N 2 2025-11-30 Fixed 0.37500000 N N N N N N Fixed Income Clearing Corp 549300H47WTHXPU08X20 FIXED INC CLEARING CORP.REPO 000000000 12477826.82000000 PA USD 12477826.82000000 1.195335094837 Long RA CORP US N 2 Repurchase N 0.00000000 2021-07-01 9334300.00000000 USD 12727467.39880000 USD UST N N N Hudsons Bay Simon JV Trust N/A Hudsons Bay Simon JV Trust 2015-HBS 44422PAU6 2600000.00000000 PA USD 2367318.46000000 0.226781384027 Long ABS-MBS CORP US N 2 2034-08-05 Fixed 3.91400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375U6F2 91720.55000000 PA USD 91674.46000000 0.008782114138 Long ABS-MBS USGA US N 2 2064-10-20 Floating 0.30700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402C2Z4 239979.55000000 PA USD 241713.42000000 0.023155356937 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 2.34400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BBBD1 7500000.00000000 PA USD 8023528.50000000 0.768627849931 Long ABS-MBS USGSE US N 2 2024-03-25 Fixed 3.38900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36297E2K0 1154.18000000 PA USD 1317.34000000 0.000126196873 Long ABS-MBS USGA US N 2 2061-06-20 Variable 4.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RKZ8 6605.54000000 PA USD 6624.41000000 0.000634596862 Long ABS-MBS USGA US N 3 2061-08-20 Floating 0.78700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BANP5 8535699.56000000 PA USD 8633732.07000000 0.827083360874 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 0.61000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 9128285K2 67520000.00000000 PA USD 71529000.00000000 6.852244804486 Long DBT UST US N 2 2023-10-31 Fixed 2.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31398WB86 820793.71000000 PA USD 873517.48000000 0.083680124340 Long ABS-MBS USGSE US N 2 2036-12-15 Floating 3.82300000 N N N N N N Morgan Stanley BAML Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 61761QAE3 1040000.00000000 PA USD 1071603.21000000 0.102656090930 Long ABS-MBS CORP US N 2 2048-12-15 Fixed 3.13400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36178FK54 271090.15000000 PA USD 292450.92000000 0.028015843883 Long ABS-MBS USGA US N 2 2063-07-20 Variable 4.52800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128PQQW4 53553.67000000 PA USD 56892.90000000 0.005450154181 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410KSK1 644293.08000000 PA USD 670022.24000000 0.064185944343 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 2.09800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403LGT2 2267.12000000 PA USD 2584.74000000 0.000247609658 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BVS8 1664814.28000000 PA USD 1662099.80000000 0.159223737492 Long ABS-MBS USGA US N 2 2062-07-20 Floating 0.90800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ECC50 86432.80000000 PA USD 92538.08000000 0.008864846116 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176HMD3 5027.93000000 PA USD 5485.05000000 0.000525449892 Long ABS-MBS USGA US N 2 2062-08-20 Variable 4.59700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BJK9 432497.67000000 PA USD 433593.49000000 0.041536841548 Long ABS-MBS USGA US N 2 2060-12-20 Floating 0.48700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402LJ86 59476.10000000 PA USD 59851.78000000 0.005733605230 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 2.81500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAM3 13070000.00000000 PA USD 12794815.20000000 1.225701547324 Long DBT UST US N 2 2025-09-30 Fixed 0.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4E94 525521.79000000 PA USD 548748.15000000 0.052568282232 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 2.37300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828J27 11470000.00000000 PA USD 12043500.00000000 1.153728002667 Long DBT UST US N 2 2025-02-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31413YL74 59044.83000000 PA USD 60553.88000000 0.005800864119 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620E0KH8 1809033.07000000 PA USD 1903719.13000000 0.182370080914 Long ABS-MBS USGA US N 2 2061-02-20 Floating 1.86300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5GM0 177067.47000000 PA USD 184945.93000000 0.017717216624 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 2.10600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376ETM7 403736.66000000 PA USD 404877.85000000 0.038785976934 Long ABS-MBS USGA US N 3 2059-11-20 Floating 1.24300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378H4T0 32267.69000000 PA USD 31625.23000000 0.003029593842 Long ABS-MBS USGA US N 3 2032-07-20 Variable 6.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWHP8 1773488.82000000 PA USD 1770867.60000000 0.169643337828 Long ABS-MBS USGSE US N 2 2030-08-25 Floating 0.38600000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FPJ55 7720000.00000000 PA USD 8265559.28000000 0.791813608921 Long ABS-MBS USGSE US N 2 2027-07-25 Fixed 2.60600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38374KVF7 1357850.95000000 PA USD 1356933.86000000 0.129989836181 Long ABS-MBS USGA US N 2 2035-02-20 Floating 0.29300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406L4W5 403256.38000000 PA USD 419209.26000000 0.040158879249 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 2.31000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RUJ3 20934.57000000 PA USD 20730.45000000 0.001985909467 Long ABS-MBS USGA US N 3 2066-04-20 Floating 0.70700000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Bill 912796H85 6430000.00000000 PA USD 6429967.66000000 0.615969921168 Long STIV UST US N 2 2021-07-06 None 0.00000000 N N N N N N COMM Mortgage Trust N/A Commercial Mortgage Pass Through Certificates 12624NAC4 1310000.00000000 PA USD 1306918.62000000 0.125198539386 Long ABS-MBS CORP US N 2 2030-10-05 Fixed 3.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176RA85 23935.54000000 PA USD 25857.43000000 0.002477057422 Long ABS-MBS USGA US N 2 2061-12-20 Variable 4.14000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FGZ99 13170140.50000000 PA USD 14364065.10000000 1.376030567361 Long ABS-MBS USGSE US N 2 2025-12-25 Fixed 3.79900000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUZR8 3168117.86000000 PA USD 3189002.41000000 0.305496025324 Long ABS-MBS USGSE US N 2 2027-06-25 Floating 0.44600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300L5J0 367351.97000000 PA USD 390513.20000000 0.037409890335 Long ABS-MBS USGSE US N 2 2038-09-01 Floating 2.52100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177TNH6 136945.24000000 PA USD 141964.63000000 0.013599748330 Long ABS-MBS USGA US N 2 2063-06-20 Variable 4.03600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416BT24 413304.31000000 PA USD 429407.25000000 0.041135813415 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 1.79600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36297E2R5 19984.73000000 PA USD 20297.65000000 0.001944448639 Long ABS-MBS USGA US N 2 2061-08-20 Variable 4.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 312915G96 11375.85000000 PA USD 11179.78000000 0.001070986444 Long ABS-MBS USGSE US N 3 2023-05-15 Floating 1.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31409VJ46 70943.98000000 PA USD 72321.00000000 0.006928115820 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 2.46500000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWJ76 3140000.00000000 PA USD 3168043.34000000 0.303488214806 Long ABS-MBS USGSE US N 2 2030-04-25 Floating 0.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AQT7 1278132.80000000 PA USD 1355799.98000000 0.129881214177 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 2.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36230KSC6 13761.83000000 PA USD 15126.52000000 0.001449071258 Long ABS-MBS USGA US N 2 2061-08-20 Variable 4.32700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31394URQ7 166299.92000000 PA USD 172407.64000000 0.016516089354 Long ABS-MBS USGSE US N 3 2025-11-25 Fixed 5.50000000 N N N N N N Sierra Receivables Funding Co LLC N/A Sierra Timeshare 2020-2 Receivables Funding LLC 826525AA5 1292943.43000000 PA USD 1298089.34000000 0.124352723172 Long ABS-O CORP US N 2 2037-07-20 Fixed 1.33000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828ZL7 47425000.00000000 PA USD 46915551.64000000 4.494356764036 Long DBT UST US N 2 2025-04-30 Fixed 0.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406AGS5 185135.63000000 PA USD 185709.90000000 0.017790402457 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 2.36200000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136AJDU7 6343656.20000000 PA USD 6741352.06000000 0.645799530656 Long ABS-MBS USGSE US N 2 2023-12-25 Variable 3.51300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31390TZ77 20064.29000000 PA USD 20814.15000000 0.001993927654 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403GDV1 2570.30000000 PA USD 2923.08000000 0.000280021526 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AFEL4 3068695.80000000 PA USD 2997663.16000000 0.287166349504 Long ABS-MBS USGSE US N 2 2043-07-25 Floating 1.09200000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 9128283D0 3340000.00000000 PA USD 3529310.16000000 0.338096397367 Long DBT UST US N 2 2024-10-31 Fixed 2.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LXV0 3291287.08000000 PA USD 3288537.87000000 0.315031197613 Long ABS-MBS USGA US N 2 2069-08-20 Floating 0.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31391WRV5 214108.94000000 PA USD 243796.88000000 0.023354945607 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407JTE2 115945.74000000 PA USD 115967.03000000 0.011109263079 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 2.27100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128NHV91 51237.43000000 PA USD 51589.27000000 0.004942083732 Long ABS-MBS USGSE US N 2 2037-03-01 Floating 2.55500000 N N N N N N World Omni Auto Receivables Trust N/A World Omni Auto Receivables Trust 2019-B 98162VAD1 514312.30000000 PA USD 520352.54000000 0.049848075447 Long ABS-O CORP US N 2 2024-07-15 Fixed 2.59000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207KEF3 34134.90000000 PA USD 37588.25000000 0.003600831701 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620E1CU6 1585216.84000000 PA USD 1652831.25000000 0.158335840645 Long ABS-MBS USGA US N 2 2063-03-20 Floating 2.28000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410QY39 160182.05000000 PA USD 170058.93000000 0.016291090600 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 2.60500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407RP57 340530.32000000 PA USD 342100.11000000 0.032772074282 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 2.49900000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRYZ8 13589087.20000000 PA USD 13726403.57000000 1.314944673444 Long ABS-MBS USGSE US N 2 2027-02-25 Floating 0.78600000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAT8 13605000.00000000 PA USD 13301544.69000000 1.274244579033 Long DBT UST US N 2 2025-10-31 Fixed 0.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LQV0 114773.78000000 PA USD 115411.51000000 0.011056046076 Long ABS-MBS USGSE US N 2 2038-09-01 Floating 2.36700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RFW1 125407.81000000 PA USD 124823.28000000 0.011957662931 Long ABS-MBS USGA US N 3 2065-07-20 Floating 0.40700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176HMK7 54374.90000000 PA USD 57050.90000000 0.005465290065 Long ABS-MBS USGA US N 2 2062-12-20 Variable 4.00400000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 Avis Budget Rental Car Funding AESOP LLC 05377RDG6 840000.00000000 PA USD 853456.80000000 0.081758376653 Long ABS-O CORP US N 2 2023-03-20 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31401XPH4 382102.56000000 PA USD 381560.33000000 0.036552234601 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 2.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CBH3 24685000.00000000 PA USD 24190335.80000000 2.317355237796 Long DBT UST US N 2 2026-01-31 Fixed 0.37500000 N N N N N N Hyundai Auto Receivables Trust N/A Hyundai Auto Receivables Trust 2020-A 44891LAC7 585000.00000000 PA USD 593408.79000000 0.056846625819 Long ABS-O CORP US N 2 2024-11-15 Fixed 1.41000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RAZ9 5212.12000000 PA USD 5157.86000000 0.000494106158 Long ABS-MBS USGA US N 3 2065-04-20 Floating 0.35700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31405EJP1 479064.65000000 PA USD 484938.46000000 0.046455522138 Long ABS-MBS USGSE US N 2 2034-08-01 Floating 2.45300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31396AXW9 905766.56000000 PA USD 1032680.85000000 0.098927455844 Long ABS-MBS USGSE US N 2 2035-09-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411NP84 986204.83000000 PA USD 1058783.82000000 0.101428035197 Long ABS-MBS USGSE US N 2 2047-02-01 Floating 2.19500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RBW5 3002743.43000000 PA USD 2999778.22000000 0.287368965351 Long ABS-MBS USGA US N 2 2065-05-20 Floating 0.33700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375UUR9 21519.63000000 PA USD 21419.12000000 0.002051881806 Long ABS-MBS USGA US N 3 2061-04-20 Floating 0.40700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300MBP7 1072298.13000000 PA USD 1133705.28000000 0.108605266600 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 2.14700000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CBC4 56000000.00000000 PA USD 54939062.64000000 5.262982937525 Long DBT UST US N 2 2025-12-31 Fixed 0.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AMRW1 5215313.07000000 PA USD 5250749.56000000 0.503004674917 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 0.49200000 N N N N N N CarMax Auto Owner Trust N/A CarMax Auto Owner Trust 2020-2 14315VAD4 1710000.00000000 PA USD 1733144.85000000 0.166029621465 Long ABS-O CORP US N 2 2024-11-15 Fixed 1.70000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137B5KW2 7835000.00000000 PA USD 8292120.54000000 0.794358090961 Long ABS-MBS USGSE US N 2 2023-08-25 Variable 3.45800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BN32 1853536.49000000 PA USD 1856089.55000000 0.177807322563 Long ABS-MBS USGA US N 2 2063-03-20 Floating 0.45700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31397RFM3 445606.86000000 PA USD 496467.28000000 0.047559945476 Long ABS-MBS USGSE US N 3 2038-02-15 Fixed 5.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FYUR5 3674617.07000000 PA USD 3674587.67000000 0.352013508792 Long ABS-MBS USGSE US N 2 2024-08-25 Floating 0.21900000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWGD6 1452953.98000000 PA USD 1461798.11000000 0.140035489164 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 0.33000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828Y79 9955000.00000000 PA USD 10822951.56000000 1.036803444703 Long DBT UST US N 2 2025-07-31 Fixed 2.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176RBE1 3491.44000000 PA USD 3582.60000000 0.000343201390 Long ABS-MBS USGA US N 2 2062-02-20 Variable 4.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BH39 42672.48000000 PA USD 42483.39000000 0.004069770140 Long ABS-MBS USGA US N 3 2062-12-20 Floating 0.60700000 N N N N N N Ford Credit Auto Owner Trust N/A Ford Credit Auto Owner Trust 2020-A 34528GAK2 595000.00000000 PA USD 599525.99000000 0.057432633618 Long ABS-O CORP US N 2 2024-08-15 Fixed 1.04000000 N N N N N N Honda Auto Receivables Owner Trust N/A Honda Auto Receivables 2020-1 Owner Trust 43813RAC1 410000.00000000 PA USD 415725.16000000 0.039825113837 Long ABS-O CORP US N 2 2024-04-22 Fixed 1.61000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385WZT9 1338.63000000 PA USD 1517.82000000 0.000145402203 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418MS78 1215234.85000000 PA USD 1285975.51000000 0.123192257784 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 2.42900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31386DT42 11639.75000000 PA USD 13056.39000000 0.001250759559 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36198NVQ5 878301.31000000 PA USD 933268.13000000 0.089404041647 Long ABS-MBS USGA US N 2 2064-05-20 Variable 4.70000000 N N N N N N Donlen Fleet Lease Funding 549300ZWUQETU54FDP26 Donlen Fleet Lease Funding 2 LLC 257812AD9 2250000.00000000 PA USD 2252677.05000000 0.215799111018 Long ABS-O CORP US N 2 2034-12-11 Fixed 0.56000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382EHC4 5262381.52000000 PA USD 5246878.54000000 0.502633843832 Long ABS-MBS USGA US N 2 2046-05-20 Floating 0.53600000 N N N N N N GM Financial Securitized Term Auto Receivables Tr N/A GM Financial Consumer Automobile Receivables Trust 2019-3 36257PAD0 1076182.04000000 PA USD 1088600.86000000 0.104284410338 Long ABS-O CORP US N 2 2024-04-16 Fixed 2.18000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A7YW6 4416839.19000000 PA USD 4478163.91000000 0.428993490555 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 0.60200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617A5D44 2798866.65000000 PA USD 3104597.21000000 0.297410282574 Long ABS-MBS USGA US N 2 2065-10-20 Variable 4.43400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380L2S1 5402884.16000000 PA USD 5449896.82000000 0.522082332617 Long ABS-MBS USGA US N 2 2069-06-20 Floating 0.60700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LU50 4950191.76000000 PA USD 5014050.22000000 0.480329650483 Long ABS-MBS USGA US N 2 2070-01-20 Floating 0.70700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31297ANS9 11914.69000000 PA USD 12826.28000000 0.001228715772 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RAC0 4608895.86000000 PA USD 4732804.64000000 0.453387241609 Long ABS-MBS USGA US N 2 2065-04-20 Fixed 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416BPT9 341159.19000000 PA USD 353161.77000000 0.033831745216 Long ABS-MBS USGSE US N 2 2036-06-01 Floating 2.31600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411JPT7 379888.31000000 PA USD 384595.52000000 0.036842995900 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 2.13500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCF6 1755000.00000000 PA USD 1744991.02000000 0.167164445898 Long DBT UST US N 2 2026-05-31 Fixed 0.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LQS7 53717.36000000 PA USD 54106.84000000 0.005183258724 Long ABS-MBS USGSE US N 2 2037-12-01 Floating 2.24600000 N N N N N N COMM Mortgage Trust N/A COMM 2016-DC2 Mortgage Trust 12594CBD1 3953147.90000000 PA USD 4193893.03000000 0.401761267812 Long ABS-MBS CORP US N 2 2049-02-10 Fixed 3.55000000 N N N N N N Carvana Auto Receivables Trust N/A Carvana Auto Receivables Trust 2021-N2 14686KAB3 1865000.00000000 PA USD 1861108.86000000 0.178288156083 Long ABS-O CORP US N 2 2028-03-10 Fixed 0.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412EJ23 22316.39000000 PA USD 22820.76000000 0.002186154345 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 1.71000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31342AXY0 513863.15000000 PA USD 516830.18000000 0.049510644853 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 2.59500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380QBX9 12195265.53000000 PA USD 12083593.48000000 1.157568827228 Long ABS-MBS USGA US N 2 2070-05-20 Floating 0.49300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LX40 5503969.23000000 PA USD 5501547.48000000 0.527030297312 Long ABS-MBS USGA US N 2 2070-01-20 Floating 0.61000000 N N N N N N Ally Auto Receivables Trust N/A Ally Auto Receivables Trust 2018-2 02004VAC7 80456.89000000 PA USD 80626.66000000 0.007723770947 Long ABS-O CORP US N 2 2022-11-15 Fixed 2.92000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LUJ2 536890.13000000 PA USD 567641.96000000 0.054378247580 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 2.41000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138AR6M1 1196425.65000000 PA USD 1262548.54000000 0.120948030499 Long ABS-MBS USGSE US N 2 2041-10-01 Floating 2.30000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375UMN7 4077981.32000000 PA USD 4105275.66000000 0.393272012920 Long ABS-MBS USGA US N 2 2064-07-20 Floating 0.61000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUN59 8635171.28000000 PA USD 8677649.41000000 0.831290498746 Long ABS-MBS USGSE US N 2 2030-06-25 Floating 0.52600000 N N N N N N Bank N/A BANK 2020-BNK25 06539WBB1 1595000.00000000 PA USD 1678612.29000000 0.160805580154 Long ABS-MBS CORP US N 2 2063-01-15 Fixed 2.64900000 N N N N N N Credit Acceptance Auto Loan Trust N/A Credit Acceptance Auto Loan Trust 2020-3 22536BAA0 9695000.00000000 PA USD 9793212.29000000 0.938157782624 Long ABS-O CORP US N 2 2029-10-15 Fixed 1.24000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LQ40 1021090.47000000 PA USD 1085074.25000000 0.103946572607 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 2.39500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828V80 6915000.00000000 PA USD 7250215.41000000 0.694546979191 Long DBT UST US N 2 2024-01-31 Fixed 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHAW2 380041.82000000 PA USD 432711.14000000 0.041452315297 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31359HYC2 12137.29000000 PA USD 11845.27000000 0.001134738215 Long ABS-MBS USGSE US N 3 2024-04-25 Floating 1.14000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BFEP2 216609.63000000 PA USD 216644.33000000 0.020753819914 Long ABS-MBS USGSE US N 2 2021-11-25 Floating 0.41600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176HLX0 10960.89000000 PA USD 10892.86000000 0.001043500445 Long ABS-MBS USGA US N 2 2062-11-20 Variable 4.70000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRZ61 31425000.00000000 PA USD 31478642.48000000 3.015551236363 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 0.88600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5NW0 179806.58000000 PA USD 181962.02000000 0.017431367783 Long ABS-MBS USGSE US N 2 2038-03-01 Floating 2.05200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378U8R1 2402643.41000000 PA USD 2416045.35000000 0.231449261096 Long ABS-MBS USGA US N 2 2065-02-20 Floating 0.57700000 N N N N N N Toyota Auto Receivables Owner Trust N/A Toyota Auto Receivables 2020-B Owner Trust 89239RAC0 670000.00000000 PA USD 680269.76000000 0.065167623322 Long ABS-O CORP US N 2 2024-08-15 Fixed 1.36000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31393CLX9 768229.68000000 PA USD 878792.50000000 0.084185454044 Long ABS-MBS USGSE US N 3 2033-06-25 Fixed 5.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FYU46 20600000.00000000 PA USD 20600000.00000000 1.973412783240 Long ABS-MBS USGSE US N 2 2028-03-25 Floating 0.26800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128PWV21 28491.20000000 PA USD 29988.55000000 0.002872805238 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4C54 394849.35000000 PA USD 421635.57000000 0.040391311830 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 2.37400000 N N N N N N FHLMC Structured Pass Through Securities S6XOOCT0IEG5ABCC6L87 Freddie Mac Structured Pass-Through Certificates 31395HHV5 359197.08000000 PA USD 367039.88000000 0.035161222871 Long ABS-MBS USGSE US N 3 2044-10-25 Floating 1.31600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BGF3 928097.98000000 PA USD 929194.62000000 0.089013812680 Long ABS-MBS USGA US N 2 2060-10-20 Floating 0.43700000 N N N N N N Westlake Automobile Receivables Trust N/A Westlake Automobile Receivables Trust 2020-2 96042PAB8 1609733.46000000 PA USD 1614585.20000000 0.154671993850 Long ABS-O CORP US N 2 2024-02-15 Fixed 0.93000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176HLJ1 8185.33000000 PA USD 8340.22000000 0.000798965862 Long ABS-MBS USGA US N 2 2062-06-20 Variable 4.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406CC22 117140.40000000 PA USD 131152.44000000 0.012563975808 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 6.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FXLT3 2280820.73000000 PA USD 2291371.81000000 0.219505942767 Long ABS-MBS USGSE US N 2 2027-08-25 Floating 0.33000000 N N N N N N GM Financial Securitized Term Auto Receivables Tr N/A GM Financial Consumer Automobile Receivables Trust 2020-1 36258NAC6 1170000.00000000 PA USD 1185133.95000000 0.113531965377 Long ABS-O CORP US N 2 2024-09-16 Fixed 1.84000000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2019-F 63935CAB7 3064950.27000000 PA USD 3123046.40000000 0.299177654777 Long ABS-O CORP US N 2 2068-08-15 Fixed 2.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RSJ6 4504327.78000000 PA USD 4591526.16000000 0.439853224210 Long ABS-MBS USGA US N 2 2066-02-20 Floating 1.02700000 N N N N N N Social Professional Loan Program LLC N/A SoFi Professional Loan Program 2016-D LLC 83404LAA9 36755.75000000 PA USD 36899.00000000 0.003534803800 Long ABS-O CORP US N 2 2039-01-25 Floating 1.04200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382DYY9 2857615.22000000 PA USD 2871108.59000000 0.275042834639 Long ABS-MBS USGA US N 2 2048-04-20 Floating 0.48600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BU42 1507390.39000000 PA USD 1511302.82000000 0.144777878851 Long ABS-MBS USGA US N 2 2063-03-20 Floating 0.50700000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FQ3S0 11870508.23000000 PA USD 11953668.26000000 1.145122415092 Long ABS-MBS USGSE US N 2 2026-10-25 Floating 0.58600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411E2N6 44674.86000000 PA USD 45363.99000000 0.004345722221 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 2.12900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BKL5 596021.55000000 PA USD 598377.44000000 0.057322606276 Long ABS-MBS USGA US N 2 2061-02-20 Floating 0.55700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31283H6S9 156614.04000000 PA USD 179393.38000000 0.017185300452 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LUP8 1774649.56000000 PA USD 1887171.55000000 0.180784876744 Long ABS-MBS USGSE US N 2 2037-03-01 Floating 2.46600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412NSX5 58368.31000000 PA USD 60723.85000000 0.005817146691 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176RA77 22223.05000000 PA USD 22373.68000000 0.002143325539 Long ABS-MBS USGA US N 2 2061-12-20 Variable 4.63000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3133T0YC2 9634.74000000 PA USD 9424.00000000 0.000902788449 Long ABS-MBS USGSE US N 3 2023-08-15 Floating 0.99000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RU61 3218521.87000000 PA USD 3257672.29000000 0.312074375761 Long ABS-MBS USGA US N 2 2067-02-20 Floating 0.85700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200WT68 7817.30000000 PA USD 9158.02000000 0.000877308433 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31397ME86 798819.80000000 PA USD 836753.99000000 0.080158301955 Long ABS-MBS USGSE US N 2 2038-08-25 Variable 3.47100000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 Starwood Retail Property Trust 2014-STAR 85571XAA5 3279463.97000000 PA USD 2382858.52000000 0.228270071069 Long ABS-MBS CORP US N 2 2027-11-15 Floating 1.54300000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUZS6 2376088.41000000 PA USD 2384057.10000000 0.228384891122 Long ABS-MBS USGSE US N 2 2027-06-25 Floating 0.41000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176JSV3 47989.40000000 PA USD 48263.04000000 0.004623441752 Long ABS-MBS USGA US N 2 2063-03-20 Variable 3.64000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419A6G7 180873.50000000 PA USD 190770.25000000 0.018275167476 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 2.22400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137AH6C7 1030201.88000000 PA USD 1030044.67000000 0.098674918402 Long ABS-MBS USGSE US N 2 2021-07-25 Fixed 3.23000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36198NVW2 1811693.05000000 PA USD 1937032.86000000 0.185561427547 Long ABS-MBS USGA US N 2 2064-03-20 Variable 4.61300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140HRRB1 5200000.00000000 PA USD 5737293.33000000 0.549613980515 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.58000000 N N N N N N MVW 2020-1 LLC N/A MVW 2020-1 LLC 55400EAA7 763900.91000000 PA USD 776965.14000000 0.074430725213 Long ABS-O CORP US N 2 2037-10-20 Fixed 1.74000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F73C7 1544363.81000000 PA USD 1547128.68000000 0.148209879341 Long ABS-MBS USGSE US N 2 2027-10-25 Floating 0.36600000 N N N N N N Nissan Auto Receivables Owner Trust N/A Nissan Auto Receivables 2020-A Owner Trust 65479MAC0 1805000.00000000 PA USD 1827981.26000000 0.175114640097 Long ABS-O CORP US N 2 2024-12-16 Fixed 1.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375B7T3 5850744.03000000 PA USD 5828394.77000000 0.558341201208 Long ABS-MBS USGA US N 2 2063-04-20 Floating 0.70000000 N N N N N N Diamond Resorts Owner Trust N/A Diamond Resorts Owner Trust 2018-1 252724AA7 389815.20000000 PA USD 406091.82000000 0.038902271298 Long ABS-O CORP US N 2 2031-01-21 Fixed 3.70000000 N N N N N N FHLMC Structured Pass Through Securities S6XOOCT0IEG5ABCC6L87 Freddie Mac Structured Pass-Through Certificates 31394XVP8 6323.18000000 PA USD 7279.84000000 0.000697384918 Long ABS-MBS USGSE US N 3 2044-03-25 Variable 3.70100000 N N N N N N Flagship Credit Auto Trust N/A Flagship Credit Auto Trust 2020-3 33844TAA5 623493.76000000 PA USD 625374.22000000 0.059908809711 Long ABS-O CORP US N 2 2025-04-15 Fixed 0.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHMU3 2292441.54000000 PA USD 2429270.80000000 0.232716216052 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 2.44700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LRU9 8759687.88000000 PA USD 9420672.90000000 0.902469724640 Long ABS-MBS USGA US N 2 2068-09-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404ADY7 74625.60000000 PA USD 77215.93000000 0.007397034142 Long ABS-MBS USGSE US N 2 2023-11-01 Fixed 5.50000000 N N N N N N COMM Mortgage Trust N/A Comm 2014-UBS2 Mortgage Trust 12591UAF0 1488000.00000000 PA USD 1600144.91000000 0.153288661185 Long ABS-MBS CORP US N 2 2047-03-10 Fixed 3.96100000 N N N N N N Welk Resorts LLC N/A Welk Resorts 2019-A LLC 94946DAA9 1447521.50000000 PA USD 1504994.04000000 0.144173518312 Long ABS-O CORP US N 2 2038-06-15 Fixed 2.80000000 N N N N N N Toyota Auto Loan Extended Note Trust 2020-1 549300XP7ILZSI1BWP36 Toyota Auto Loan Extended Note Trust 2020-1 89237JAA4 765000.00000000 PA USD 780186.02000000 0.074739275008 Long ABS-O CORP US N 2 2033-05-25 Fixed 1.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404FAG8 133402.50000000 PA USD 140924.51000000 0.013500108228 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 2.17500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128M87E8 148576.11000000 PA USD 162402.63000000 0.015557642042 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BWWC4 1212081.59000000 PA USD 1228481.54000000 0.117684523058 Long ABS-MBS USGSE US N 2 2023-05-25 Fixed 2.66600000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A BBCMS 2020-BID Mortgage Trust 05493BAA6 3895000.00000000 PA USD 3931415.91000000 0.376616816166 Long ABS-MBS CORP US N 2 2037-10-15 Floating 2.21300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177TN29 1748540.97000000 PA USD 1877538.36000000 0.179862048575 Long ABS-MBS USGA US N 2 2063-11-20 Variable 4.67000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FNXD7 8515000.00000000 PA USD 8527809.97000000 0.816936369312 Long ABS-MBS USGSE US N 2 2029-08-25 Floating 0.73600000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FKJH0 2253401.28000000 PA USD 2259447.16000000 0.216447665466 Long ABS-MBS USGSE US N 2 2045-10-25 Floating 0.47600000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCK5 50645000.00000000 PA USD 50524322.59000000 4.840065245809 Long DBT UST US N 2 2023-06-30 Fixed 0.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RMB9 5661.93000000 PA USD 5643.01000000 0.000540581945 Long ABS-MBS USGA US N 3 2065-10-20 Floating 0.80700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BZY1 122946.52000000 PA USD 122474.28000000 0.011732636396 Long ABS-MBS USGA US N 3 2062-10-20 Floating 0.60700000 N N N N N N GM Financial Securitized Term Auto Receivables Tr N/A GM Financial Consumer Automobile Receivables Trust 2019-4 36258MAD6 849280.74000000 PA USD 857952.75000000 0.082189073993 Long ABS-O CORP US N 2 2024-07-16 Fixed 1.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCJ8 19150000.00000000 PA USD 19141023.44000000 1.833647589359 Long DBT UST US N 2 2026-06-30 Fixed 0.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375B3P5 246414.79000000 PA USD 247361.91000000 0.023696463848 Long ABS-MBS USGA US N 2 2063-05-20 Floating 0.57700000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137B5JM6 7900000.00000000 PA USD 8359020.02000000 0.800766842855 Long ABS-MBS USGSE US N 2 2023-07-25 Variable 3.53100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BNA6 47238.26000000 PA USD 47518.84000000 0.004552149820 Long ABS-MBS USGA US N 2 2061-09-20 Floating 0.65700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31396V4Q8 433492.47000000 PA USD 425806.30000000 0.040790854155 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 0.15200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36185KDJ2 697112.36000000 PA USD 758720.99000000 0.072682995173 Long ABS-MBS USGA US N 2 2065-06-20 Floating 2.35400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LQP3 179631.48000000 PA USD 181926.04000000 0.017427921016 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 2.63100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128QLUU3 399797.77000000 PA USD 400390.62000000 0.038356114941 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 2.29000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36186QVP4 683428.33000000 PA USD 739515.11000000 0.070843134537 Long ABS-MBS USGA US N 2 2065-05-20 Floating 2.36100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AMC8 930544.78000000 PA USD 984871.86000000 0.094347510600 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 2.29800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LKG7 147877.58000000 PA USD 147584.28000000 0.014138092463 Long ABS-MBS USGA US N 2 2068-09-20 Floating 0.45700000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828ZF0 4600000.00000000 PA USD 4577179.68000000 0.438478878237 Long DBT UST US N 2 2025-03-31 Fixed 0.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620E1AY0 1501991.13000000 PA USD 1569954.73000000 0.150396540451 Long ABS-MBS USGA US N 2 2063-02-20 Floating 1.99700000 N N N N N N DROP Mortgage Trust 2021-FILE N/A DROP Mortgage Trust 2021-FILE 26210YAA4 2570000.00000000 PA USD 2579796.84000000 0.247136119525 Long ABS-MBS CORP US N 2 2026-04-15 Floating 1.22000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3133TK5Q9 79405.30000000 PA USD 87638.57000000 0.008395489045 Long ABS-MBS USGSE US N 3 2029-03-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31326NF55 2394878.87000000 PA USD 2486342.50000000 0.238183498690 Long ABS-MBS USGSE US N 2 2046-01-01 Floating 2.35500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5GE8 476075.91000000 PA USD 479855.53000000 0.045968594029 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 2.27400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F8ZR7 5185000.00000000 PA USD 5185000.00000000 0.496706081606 Long ABS-MBS USGSE US N 2 2030-12-25 Floating 0.26000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406XSY9 155065.53000000 PA USD 157076.20000000 0.015047387428 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 2.72300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A6JW5 2753083.99000000 PA USD 2793438.42000000 0.267602285787 Long ABS-MBS USGSE US N 2 2042-06-25 Floating 0.64200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410KSG0 1085014.58000000 PA USD 1141529.07000000 0.109354760154 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 2.09600000 N N N N N N Colony American Finance Ltd N/A CoreVest American Finance 2017-1 Trust 21871VAA1 173737.48000000 PA USD 174118.92000000 0.016680024394 Long ABS-O CORP US N 2 2049-10-15 Fixed 2.96800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349ULH9 128860.99000000 PA USD 137394.43000000 0.013161938082 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 2.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410GTH6 16622.62000000 PA USD 19474.15000000 0.001865560026 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36230KR94 25853.25000000 PA USD 28295.80000000 0.002710645312 Long ABS-MBS USGA US N 2 2061-08-20 Variable 4.70000000 N N N N N N 2021-07-30 LOOMIS SAYLES FUNDS II John Sgroi John Sgroi Assistant Treasurer XXXX