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 617-449-2810 Loomis Sayles Limited Term Government and Agency Fund S000006702 5HBZDB7NR78KJHZJWI31 2022-09-30 2022-09-30 N 772290363.22 2212933.91 770077429.31 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 2816674.48000000 0.365765100078 Long ABS-MBS USGSE US N 2 2030-04-25 Floating 2.89300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A6VQ4 1163650.80000000 PA USD 1152245.16000000 0.149627182429 Long ABS-MBS USGSE US N 2 2042-06-25 Floating 3.53400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31283GRK5 37.62000000 PA USD 38.33000000 0.000004977421 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 88267.35000000 PA USD 90114.95000000 0.011702063528 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 2.45000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWGC8 821447.99000000 PA USD 803879.68000000 0.104389461293 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 2.85300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380L7U1 8183178.87000000 PA USD 8138817.86000000 1.056883054901 Long ABS-MBS USGA US N 2 2070-04-20 Floating 3.00700000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CDQ1 21410000.00000000 PA USD 19017265.29000000 2.469526383475 Long DBT UST US N 2 2026-12-31 Fixed 1.25000000 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 197990.03000000 PA USD 196003.99000000 0.025452504195 Long ABS-O CORP US N 2 2024-12-16 Fixed 1.49000000 N N N N N N GM Financial Revolving Receivables Trust N/A GM Financial Revolving Receivables Trust 2021-1 36263HAA6 655000.00000000 PA USD 566493.13000000 0.073563139034 Long ABS-O CORP US N 2 2034-06-12 Fixed 1.17000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BUL4 325962.96000000 PA USD 324131.70000000 0.042090793427 Long ABS-MBS USGA US N 2 2062-08-20 Floating 2.87700000 N N N N N N CNH Equipment Trust N/A CNH Equipment Trust 2020-A 12597PAC2 207924.34000000 PA USD 204497.12000000 0.026555397186 Long ABS-O CORP US N 2 2025-06-16 Fixed 1.16000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H2NK6 9073573.66000000 PA USD 8920338.24000000 1.158369002970 Long ABS-MBS USGSE US N 2 2028-08-25 Floating 2.46400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BNT5 28890.39000000 PA USD 26447.09000000 0.003434341664 Long ABS-MBS USGA US N 3 2061-12-20 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Bill 912796YD5 9445000.00000000 PA USD 9439857.76000000 1.225832286560 Long STIV UST US N 2 2022-10-11 None 0.00000000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 Chesapeake Funding II LLC 165183CJ1 491293.72000000 PA USD 485791.23000000 0.063083426615 Long ABS-O CORP US N 2 2032-08-15 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 7488190.40000000 0.972394478138 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 1756.46000000 PA USD 1810.23000000 0.000235071167 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 3552733.16000000 PA USD 3487436.41000000 0.452868280157 Long ABS-MBS USGSE US N 2 2028-01-25 Floating 2.46400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CFF3 11365000.00000000 PA USD 10391871.88000000 1.349458052459 Long DBT UST US N 2 2032-08-15 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31414EWD2 308633.04000000 PA USD 306634.93000000 0.039818714109 Long ABS-MBS USGSE US N 2 2038-07-01 Floating 3.91900000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CEN7 17930000.00000000 PA USD 16920737.15000000 2.197277378348 Long DBT UST US N 2 2027-04-30 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J5FU8 844116.92000000 PA USD 860743.70000000 0.111773656419 Long ABS-MBS USGSE US N 2 2040-12-01 Floating 3.34800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FXLS5 1019153.80000000 PA USD 1008439.44000000 0.130952992727 Long ABS-MBS USGSE US N 2 2027-08-25 Floating 2.84300000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FU2A1 3776569.99000000 PA USD 3722244.03000000 0.483359710118 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 2.86400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRZ20 10381546.07000000 PA USD 10410489.82000000 1.351875723630 Long ABS-MBS USGSE US N 2 2027-02-25 Floating 3.18400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403GKF8 3005.80000000 PA USD 3097.82000000 0.000402273834 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 1497.99000000 PA USD 1561.36000000 0.000202753637 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 554194.06000000 PA USD 501212.55000000 0.065085994073 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 94325.13000000 PA USD 92545.45000000 0.012017681141 Long ABS-MBS USGA US N 2 2045-11-16 Variable 5.33200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128MB4Q7 2643.88000000 PA USD 2642.05000000 0.000343088876 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 47033.10000000 PA USD 46431.39000000 0.006029444343 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 3.21100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36297E2D6 2107.86000000 PA USD 2045.98000000 0.000265684971 Long ABS-MBS USGA US N 2 2061-04-20 Variable 4.87800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FREB3 317894.19000000 PA USD 313131.82000000 0.040662381220 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 81619.92000000 PA USD 80571.30000000 0.010462753086 Long ABS-MBS USGSE US N 2 2038-11-01 Floating 3.75100000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWHQ6 869712.26000000 PA USD 856950.10000000 0.111281030631 Long ABS-MBS USGSE US N 2 2030-08-25 Floating 2.61400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FJY29 1574605.36000000 PA USD 1562720.24000000 0.202930274349 Long ABS-MBS USGSE US N 2 2025-10-25 Floating 2.94300000 N N N N N N SMB Private Education Loan Trust N/A SMB Private Education Loan Trust 2021-D 78449MAA4 1051548.44000000 PA USD 924098.98000000 0.120000787560 Long ABS-O CORP US N 2 2053-03-17 Fixed 1.34000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412CBQ2 124960.46000000 PA USD 129050.94000000 0.016758177176 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 3.47900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHMV1 115269.07000000 PA USD 114039.65000000 0.014808855013 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 3.40600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371J7C2 9289.56000000 PA USD 9602.01000000 0.001246888901 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138AH2T2 114556.82000000 PA USD 112931.35000000 0.014664934421 Long ABS-MBS USGSE US N 2 2041-12-01 Floating 2.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RYM2 982559.27000000 PA USD 974665.78000000 0.126567244137 Long ABS-MBS USGA US N 2 2066-09-20 Floating 2.90700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EJZZ4 20518.29000000 PA USD 20325.39000000 0.002639395627 Long ABS-MBS USGSE US N 2 2041-07-01 Floating 3.29300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BND6 24144.15000000 PA USD 25131.21000000 0.003263465340 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4WG8 81884.95000000 PA USD 81222.66000000 0.010547336788 Long ABS-MBS USGSE US N 2 2038-11-01 Floating 3.05700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BLH3 27013.29000000 PA USD 26870.85000000 0.003489369896 Long ABS-MBS USGA US N 2 2061-02-20 Floating 2.95700000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRZ79 25949920.00000000 PA USD 25982681.77000000 3.374034971169 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 3.28400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BGP1 544508.97000000 PA USD 538974.47000000 0.069989646428 Long ABS-MBS USGA US N 2 2060-10-20 Floating 2.70700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177X4K1 46888.40000000 PA USD 45674.37000000 0.005931139942 Long ABS-MBS USGA US N 2 2063-04-20 Variable 4.63000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136ARTB4 17605.80000000 PA USD 17540.45000000 0.002277751474 Long ABS-MBS USGSE US N 2 2023-02-25 Fixed 2.26300000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2021-E 63942EAA6 4085970.16000000 PA USD 3430899.25000000 0.445526530114 Long ABS-O CORP US N 2 2069-12-16 Fixed 0.97000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BN5M2 297828.47000000 PA USD 297830.26000000 0.038675365445 Long ABS-MBS USGSE US N 2 2023-01-25 Floating 3.20300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CFN6 45290000.00000000 PA USD 45311229.69000000 5.883983605466 Long DBT UST US N 2 2024-09-30 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403G5H1 366784.40000000 PA USD 381931.52000000 0.049596508800 Long ABS-MBS USGSE US N 2 2037-06-01 Floating 4.02000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A AmeriCredit Automobile Receivables Trust 2020-2 03066EAD6 137900.94000000 PA USD 137043.61000000 0.017796081898 Long ABS-O CORP US N 2 2024-12-18 Fixed 0.66000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620E1AW4 489911.17000000 PA USD 498745.89000000 0.064765680828 Long ABS-MBS USGA US N 2 2063-02-20 Floating 3.96900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31294L6P3 26698.91000000 PA USD 26293.40000000 0.003414383930 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 236268.22000000 PA USD 233848.38000000 0.030366865863 Long ABS-MBS USGA US N 2 2065-04-20 Floating 2.83700000 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 2444085.08000000 0.317381731625 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 278707.70000000 PA USD 282220.55000000 0.036648334213 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 3.03800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BUB6 89.23000000 PA USD 85.45000000 0.000011096286 Long ABS-MBS USGA US N 3 2062-05-20 Floating 2.80700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403BAF0 141016.92000000 PA USD 141645.02000000 0.018393607526 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 2.38400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375LQF0 758316.85000000 PA USD 755767.06000000 0.098141697345 Long ABS-MBS USGA US N 3 2037-10-20 Floating 3.53400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCZ2 25460000.00000000 PA USD 22397838.22000000 2.908517685042 Long DBT UST US N 2 2026-09-30 Fixed 0.87500000 N N N N N N FannieMae Whole Loan N/A Fannie Mae REMIC Trust 2002-W10 31392ET59 5772.89000000 PA USD 5393.60000000 0.000700397102 Long ABS-MBS USGSE US N 3 2042-08-25 Variable 4.15200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31414FJD4 218660.41000000 PA USD 216650.62000000 0.028133615108 Long ABS-MBS USGSE US N 2 2038-08-01 Floating 3.88900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375UWF3 5990.41000000 PA USD 5383.27000000 0.000699055678 Long ABS-MBS USGA US N 3 2065-03-20 Fixed 1.75000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRE98 5593638.00000000 PA USD 5574032.86000000 0.723827585103 Long ABS-MBS USGSE US N 2 2027-01-25 Floating 2.81500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410F3T0 30271.13000000 PA USD 29964.00000000 0.003891037298 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 2.31500000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2021-c 63942JAA5 1768379.64000000 PA USD 1514169.76000000 0.196625651183 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 316329.30000000 PA USD 318556.03000000 0.041366753247 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 29668.34000000 PA USD 29659.14000000 0.003851449071 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 647801.62000000 PA USD 595409.37000000 0.077318117287 Long ABS-MBS USGSE US N 2 2048-06-15 Variable 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHNE8 393309.55000000 PA USD 395949.71000000 0.051416869905 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 3.73800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137B2PW4 98978.08000000 PA USD 86776.22000000 0.011268505827 Long ABS-MBS USGSE US N 3 2043-06-15 Floating 4.91800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31390NP30 1939.68000000 PA USD 2002.39000000 0.000260024501 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 432698.75000000 PA USD 433092.94000000 0.056240180989 Long ABS-MBS USGSE US N 3 2035-05-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5TB0 65665.71000000 PA USD 64247.64000000 0.008343010398 Long ABS-MBS USGSE US N 2 2038-09-01 Floating 2.59500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LFQ1 4743525.16000000 PA USD 4610997.71000000 0.598770660520 Long ABS-MBS USGA US N 2 2068-06-20 Floating 2.85500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378DLM5 2317624.95000000 PA USD 2309214.52000000 0.299867835636 Long ABS-MBS USGA US N 2 2038-09-20 Floating 3.26400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FHGE7 9008895.73000000 PA USD 8731029.85000000 1.133785969785 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 147775.93000000 PA USD 146815.24000000 0.019064997156 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 143952.69000000 PA USD 147499.44000000 0.019153845364 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 2.98800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177TN45 168727.38000000 PA USD 167995.12000000 0.021815354353 Long ABS-MBS USGA US N 2 2064-01-20 Variable 4.60900000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136B8HP7 2754032.91000000 PA USD 2739780.79000000 0.355779910658 Long ABS-MBS USGSE US N 2 2027-01-25 Floating 3.02400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FTZZ3 4092689.12000000 PA USD 4084747.26000000 0.530433318070 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 3.02300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LKR3 6857879.08000000 PA USD 6714245.60000000 0.871892272705 Long ABS-MBS USGA US N 2 2068-09-20 Floating 2.77700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411KKA0 453761.91000000 PA USD 456145.97000000 0.059233779960 Long ABS-MBS USGSE US N 2 2037-03-01 Floating 2.48900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5HG2 222711.48000000 PA USD 218034.30000000 0.028313295741 Long ABS-MBS USGSE US N 2 2037-06-01 Floating 2.64300000 N N N N N N CFCRE Commercial Mortgage Trust N/A CFCRE Commercial Mortgage Trust 2016-C7 12532BAD9 1745000.00000000 PA USD 1643510.45000000 0.213421454446 Long ABS-MBS CORP US N 2 2054-12-10 Fixed 3.83900000 N N N N N N Kubota Credit Owner Trust N/A Kubota Credit Owner Trust 2020-1 50117WAC8 348076.97000000 PA USD 345692.64000000 0.044890633959 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 2595823.80000000 PA USD 2568784.40000000 0.333574820171 Long ABS-MBS USGA US N 2 2064-07-20 Floating 2.85700000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUNV2 3281663.40000000 PA USD 3247123.24000000 0.421661915595 Long ABS-MBS USGSE US N 2 2030-06-25 Floating 2.79400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F73D5 811531.20000000 PA USD 804938.56000000 0.104526964349 Long ABS-MBS USGSE US N 2 2027-10-25 Floating 2.59400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36193DHJ4 1112000.91000000 PA USD 1105430.88000000 0.143548017111 Long ABS-MBS USGA US N 2 2066-02-20 Variable 4.59400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H2NT7 3918436.69000000 PA USD 3508411.47000000 0.455592040029 Long ABS-MBS USGSE US N 2 2051-05-25 Variable 1.24200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36230RPD2 6859.85000000 PA USD 6366.36000000 0.000826716867 Long ABS-MBS USGA US N 2 2062-02-20 Variable 4.61900000 N N N N N N Hudsons Bay Simon JV Trust N/A Hudsons Bay Simon JV Trust 2015-HBS 44422PAU6 2600000.00000000 PA USD 2305825.08000000 0.299427692883 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 33911.97000000 PA USD 33547.29000000 0.004356352844 Long ABS-MBS USGA US N 3 2064-10-20 Floating 2.55700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402C2Z4 107459.85000000 PA USD 105310.91000000 0.013675366397 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 2.73900000 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 7389388.50000000 0.959564352719 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 1223.89000000 PA USD 1207.91000000 0.000156855655 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 2979.13000000 PA USD 2857.39000000 0.000371052298 Long ABS-MBS USGA US N 3 2061-08-20 Floating 3.03700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BANP5 5502049.67000000 PA USD 5392366.31000000 0.700236898883 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 2.87300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31398WB86 560972.58000000 PA USD 551051.89000000 0.071557984824 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 705399.08000000 PA USD 703459.51000000 0.091349192071 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 166370.41000000 PA USD 163562.28000000 0.021239718731 Long ABS-MBS USGA US N 2 2063-07-20 Variable 4.43400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H5FZ5 7165000.00000000 PA USD 6272301.90000000 0.814502757939 Long ABS-MBS USGSE US N 2 2030-11-25 Fixed 2.33300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128PQQW4 24824.84000000 PA USD 24040.41000000 0.003121817246 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 472670.93000000 PA USD 478315.62000000 0.062112665791 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 2.78500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403LGT2 1744.07000000 PA USD 1797.46000000 0.000233412892 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 1196919.72000000 PA USD 1193173.96000000 0.154942076547 Long ABS-MBS USGA US N 2 2062-07-20 Floating 3.66400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ECC50 80849.90000000 PA USD 72451.87000000 0.009408387681 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 3050.46000000 PA USD 3006.95000000 0.000390473721 Long ABS-MBS USGA US N 2 2062-08-20 Variable 4.62200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BJK9 352251.48000000 PA USD 348793.29000000 0.045293275289 Long ABS-MBS USGA US N 2 2060-12-20 Floating 2.73700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402LJ86 53358.46000000 PA USD 52843.42000000 0.006862091783 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 4.26600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4E94 439282.15000000 PA USD 445126.11000000 0.057802773209 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 3.74600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31413YL74 2050.09000000 PA USD 2046.83000000 0.000265795350 Long ABS-MBS USGSE US N 2 2022-12-01 Fixed 6.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CCW9 41725000.00000000 PA USD 36592499.13000000 4.751794785465 Long DBT UST US N 2 2026-08-31 Fixed 0.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620E0KH8 1442302.01000000 PA USD 1456209.26000000 0.189099070375 Long ABS-MBS USGA US N 2 2061-02-20 Floating 3.37400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5GM0 152368.35000000 PA USD 153766.49000000 0.019967666126 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 2.11400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376ETM7 240918.78000000 PA USD 240461.59000000 0.031225637948 Long ABS-MBS USGA US N 3 2059-11-20 Floating 4.16400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378H4T0 26481.15000000 PA USD 25647.90000000 0.003330561190 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 326252.02000000 PA USD 322081.08000000 0.041824505918 Long ABS-MBS USGSE US N 2 2030-08-25 Floating 2.85300000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FPJ55 7147036.73000000 PA USD 6730430.24000000 0.873993962663 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 1011300.55000000 PA USD 1005531.59000000 0.130575387841 Long ABS-MBS USGA US N 2 2035-02-20 Floating 3.21400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406L4W5 308508.52000000 PA USD 310443.01000000 0.040313220227 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 2.31000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CFM8 20040000.00000000 PA USD 20105756.25000000 2.610874632180 Long DBT UST US N 2 2027-09-30 Fixed 4.12500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CAL5 7425000.00000000 PA USD 6194364.24000000 0.804382001631 Long DBT UST US N 2 2027-09-30 Fixed 0.37500000 N N N N N N COMM Mortgage Trust N/A Commercial Mortgage Pass Through Certificates 12624NAC4 1310000.00000000 PA USD 1231396.46000000 0.159905538473 Long ABS-MBS CORP US N 2 2030-10-05 Fixed 3.40000000 N N N N N N Enterprise Fleet Financing LLC RKWYUSIDZTWNAX1D9U96 Enterprise Fleet Financing 2022-3 LLC 29374FAB9 675000.00000000 PA USD 665541.77000000 0.086425305387 Long ABS-O CORP US N 2 2029-07-20 Fixed 4.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176RA85 25204.57000000 PA USD 24445.53000000 0.003174424943 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 8078171.45000000 PA USD 7894463.33000000 1.025151891164 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 1410130.93000000 PA USD 1399814.69000000 0.181775836652 Long ABS-MBS USGSE US N 2 2027-06-25 Floating 2.91300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300L5J0 293238.43000000 PA USD 300580.44000000 0.039032495767 Long ABS-MBS USGSE US N 2 2038-09-01 Floating 3.91700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177TNH6 13736.51000000 PA USD 12483.65000000 0.001621090233 Long ABS-MBS USGA US N 2 2063-06-20 Variable 4.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416BT24 264728.06000000 PA USD 269746.79000000 0.035028528266 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 2.99400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36297E2R5 19972.26000000 PA USD 19864.26000000 0.002579514636 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 2271.58000000 PA USD 2198.57000000 0.000285499862 Long ABS-MBS USGSE US N 3 2023-05-15 Floating 2.83000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31409VJ46 52446.40000000 PA USD 52353.24000000 0.006798438443 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 3.93400000 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 3063405.98000000 0.397804930180 Long ABS-MBS USGSE US N 2 2030-04-25 Floating 2.65400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AQT7 962403.99000000 PA USD 974296.25000000 0.126519258053 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 2.73400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36230KSC6 14029.43000000 PA USD 13737.48000000 0.001783908926 Long ABS-MBS USGA US N 2 2061-08-20 Variable 4.31700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31394URQ7 48969.24000000 PA USD 47377.42000000 0.006152293028 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 689236.49000000 PA USD 648313.76000000 0.084188126456 Long ABS-O CORP US N 2 2037-07-20 Fixed 1.33000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H6LM5 19138778.59000000 PA USD 16752243.71000000 2.175397313619 Long ABS-MBS USGSE US N 2 2031-10-25 Fixed 2.20900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406AGS5 100142.10000000 PA USD 98568.19000000 0.012799776522 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.06800000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136AJDU7 3244815.60000000 PA USD 3203355.29000000 0.415978337771 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 16151.26000000 PA USD 16266.44000000 0.002112312266 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 1950.45000000 PA USD 2010.16000000 0.000261033491 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 1840298.10000000 PA USD 1733120.43000000 0.225057944050 Long ABS-MBS USGSE US N 2 2043-07-25 Floating 4.08400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LXV0 2163024.53000000 PA USD 2162020.89000000 0.280753701863 Long ABS-MBS USGA US N 2 2069-08-20 Floating 3.46000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31391WRV5 152805.62000000 PA USD 153797.16000000 0.019971648842 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 87811.68000000 PA USD 86744.94000000 0.011264443898 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 3.80400000 N N N N N N World Omni Auto Receivables Trust N/A World Omni Auto Receivables Trust 2019-B 98162VAD1 33561.35000000 PA USD 33544.69000000 0.004356015216 Long ABS-O CORP US N 2 2024-07-15 Fixed 2.59000000 N N N N N N Toyota Auto Loan Extended Note Trust 549300VJ12IVOF78MZ11 Toyota Auto Loan Extended Note Trust 2022-1 89231EAA1 4365000.00000000 PA USD 4184047.18000000 0.543328114907 Long ABS-O CORP US N 2 2035-04-25 Fixed 3.82000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207KEF3 22570.60000000 PA USD 22980.07000000 0.002984124599 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 716333.54000000 PA USD 728433.42000000 0.094592230894 Long ABS-MBS USGA US N 2 2063-03-20 Floating 3.79000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410QY39 139870.18000000 PA USD 143990.64000000 0.018698202871 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 2.60800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H3KE1 17334307.88000000 PA USD 17037267.18000000 2.212409626817 Long ABS-MBS USGSE US N 2 2028-09-25 Floating 2.48400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407RP57 135384.39000000 PA USD 133342.22000000 0.017315430231 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 4.22300000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRYZ8 7893173.69000000 PA USD 7862003.55000000 1.020936759183 Long ABS-MBS USGSE US N 2 2027-02-25 Floating 3.25300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 9128283W8 71120000.00000000 PA USD 66599990.45000000 8.648479739196 Long DBT UST US N 2 2028-02-15 Fixed 2.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LQV0 87347.47000000 PA USD 86040.35000000 0.011172947904 Long ABS-MBS USGSE US N 2 2038-09-01 Floating 2.66000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RFW1 54724.22000000 PA USD 53855.87000000 0.006993565575 Long ABS-MBS USGA US N 3 2065-07-20 Floating 2.65700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176HMK7 55863.43000000 PA USD 55411.17000000 0.007195532279 Long ABS-MBS USGA US N 2 2062-12-20 Variable 4.00700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31401XPH4 195490.08000000 PA USD 193679.99000000 0.025150716360 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 3.91400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CEC1 8920000.00000000 PA USD 8123471.83000000 1.054890264382 Long DBT UST US N 2 2027-02-28 Fixed 1.87500000 N N N N N N Hyundai Auto Receivables Trust N/A Hyundai Auto Receivables Trust 2020-A 44891LAC7 307038.13000000 PA USD 303392.36000000 0.039397643464 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 2784.96000000 PA USD 2667.65000000 0.000346413217 Long ABS-MBS USGA US N 3 2065-04-20 Floating 2.60700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31405EJP1 295549.11000000 PA USD 292509.84000000 0.037984471283 Long ABS-MBS USGSE US N 2 2034-08-01 Floating 3.92800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31396AXW9 628665.61000000 PA USD 626994.82000000 0.081419711334 Long ABS-MBS USGSE US N 3 2035-09-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411NP84 470619.95000000 PA USD 476303.90000000 0.061851429722 Long ABS-MBS USGSE US N 2 2047-02-01 Floating 2.44500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RBW5 2148483.66000000 PA USD 2125234.49000000 0.275976727678 Long ABS-MBS USGA US N 2 2065-05-20 Floating 2.58700000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CFH9 4105000.00000000 PA USD 3937592.97000000 0.511324292873 Long DBT UST US N 2 2027-08-31 Fixed 3.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375UUR9 3427.95000000 PA USD 3296.63000000 0.000428090718 Long ABS-MBS USGA US N 3 2061-04-20 Floating 2.65700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300MBP7 654567.62000000 PA USD 666822.95000000 0.086591675670 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 3.27500000 N N N N N N BPR Trust N/A BPR Trust 2022-SSP 05602HAA1 4650000.00000000 PA USD 4631121.00000000 0.601383812034 Long ABS-MBS CORP US N 2 2039-05-15 Floating 5.84500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AMRW1 3317946.66000000 PA USD 3269584.60000000 0.424578682033 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 3.48400000 N N N N N N CarMax Auto Owner Trust N/A CarMax Auto Owner Trust 2020-2 14315VAD4 526545.05000000 PA USD 523523.73000000 0.067983258575 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 7770210.35000000 PA USD 7703151.88000000 1.000308746472 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 1041779.10000000 PA USD 1033590.72000000 0.134219064299 Long ABS-MBS USGA US N 2 2063-03-20 Floating 2.70700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31397RFM3 211140.20000000 PA USD 203287.51000000 0.026398320774 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 1595592.83000000 PA USD 1592173.47000000 0.206754984550 Long ABS-MBS USGSE US N 2 2024-08-25 Floating 2.48500000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWGD6 691059.42000000 PA USD 670975.16000000 0.087130869502 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 2.60400000 N N N N N N Fixed Income Clearing Corp 549300H47WTHXPU08X20 FIXED INC CLEARING CORP.REPO 000000000 2293098.73000000 PA USD 2293098.73000000 0.297775086338 Long RA CORP US N 2 Repurchase N 1.10000000 2022-10-03 2385000.00000000 USD 2338976.66000000 USD UST N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176RBE1 3422.14000000 PA USD 3169.42000000 0.000411571600 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 27460.07000000 PA USD 26372.65000000 0.003424675103 Long ABS-MBS USGA US N 3 2062-12-20 Floating 2.85700000 N N N N N N Ford Credit Auto Owner Trust N/A Ford Credit Auto Owner Trust 2020-A 34528GAK2 198657.81000000 PA USD 196501.58000000 0.025517119775 Long ABS-O CORP US N 2 2024-08-15 Fixed 1.04000000 N N N N N N PenFed Auto Receivables Owner Trust N/A PenFed Auto Receivables Owner Trust 2022-A 706874AD6 620000.00000000 PA USD 609678.24000000 0.079171030963 Long ABS-O CORP US N 2 2028-12-15 Fixed 4.18000000 N N N N N N Honda Auto Receivables Owner Trust N/A Honda Auto Receivables 2020-1 Owner Trust 43813RAC1 149123.65000000 PA USD 147867.97000000 0.019201701591 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 940.23000000 PA USD 970.73000000 0.000126056155 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 888326.00000000 PA USD 911259.78000000 0.118333526645 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 3.72400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31386DT42 4693.80000000 PA USD 4819.47000000 0.000625842261 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 517770.14000000 PA USD 516330.74000000 0.067049197956 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 1449888.67000000 PA USD 1400348.44000000 0.181845147864 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 3641415.37000000 PA USD 3474715.02000000 0.451216317703 Long ABS-MBS USGA US N 2 2046-05-20 Floating 2.02100000 N N N N N N GM Financial Securitized Term Auto Receivables Tr N/A GM Financial Consumer Automobile Receivables Trust 2019-3 36257PAD0 103537.80000000 PA USD 103433.94000000 0.013431628569 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 3180328.51000000 PA USD 3156315.12000000 0.409869839040 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 3.59400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617A5D44 2274727.71000000 PA USD 2249082.20000000 0.292059228643 Long ABS-MBS USGA US N 2 2065-10-20 Variable 4.45700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380L2S1 4227922.24000000 PA USD 4168860.70000000 0.541356043084 Long ABS-MBS USGA US N 2 2069-06-20 Floating 2.85700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LU50 3697548.42000000 PA USD 3652906.44000000 0.474355733717 Long ABS-MBS USGA US N 2 2070-01-20 Floating 2.95700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31297ANS9 11014.53000000 PA USD 10533.43000000 0.001367840375 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 3627332.47000000 PA USD 3506939.49000000 0.455400893016 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 251729.65000000 PA USD 252988.53000000 0.032852349695 Long ABS-MBS USGSE US N 2 2036-06-01 Floating 2.96800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411JPT7 181006.67000000 PA USD 179771.94000000 0.023344657713 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 2.18800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LQS7 42858.89000000 PA USD 42314.61000000 0.005494851347 Long ABS-MBS USGSE US N 2 2037-12-01 Floating 2.22000000 N N N N N N COMM Mortgage Trust N/A COMM 2016-DC2 Mortgage Trust 12594CBD1 2847198.08000000 PA USD 2770884.91000000 0.359819000601 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 1726029.15000000 0.224137091194 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 20745.34000000 PA USD 20955.89000000 0.002721270511 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 3.73700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31342AXY0 313262.21000000 PA USD 309750.53000000 0.040223296802 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 4.14400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380QBX9 8587997.60000000 PA USD 8533223.35000000 1.108099396919 Long ABS-MBS USGA US N 2 2070-05-20 Floating 2.75700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LX40 3573404.13000000 PA USD 3559868.43000000 0.462274090176 Long ABS-MBS USGA US N 2 2070-01-20 Floating 0.71000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LUJ2 479508.83000000 PA USD 489903.29000000 0.063617406685 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 2.43300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138AR6M1 818930.29000000 PA USD 832058.49000000 0.108048679045 Long ABS-MBS USGSE US N 2 2041-10-01 Floating 2.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375UMN7 3166018.48000000 PA USD 3135719.68000000 0.407195375510 Long ABS-MBS USGA US N 2 2064-07-20 Floating 2.29800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUN59 5840697.87000000 PA USD 5786764.87000000 0.751452340991 Long ABS-MBS USGSE US N 2 2030-06-25 Floating 2.99300000 N N N N N N Bank N/A BANK 2020-BNK25 06539WBB1 1595000.00000000 PA USD 1340147.71000000 0.174027657348 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 9415885.80000000 1.222719358030 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 789993.72000000 PA USD 802797.01000000 0.104248868937 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 2.58500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHAW2 276048.47000000 PA USD 277571.56000000 0.036044629985 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 4601.94000000 PA USD 4435.55000000 0.000575987534 Long ABS-MBS USGSE US N 3 2024-04-25 Floating 2.55000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176HLX0 11395.42000000 PA USD 10192.85000000 0.001323613653 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 25949920.00000000 PA USD 25965630.08000000 3.371820688637 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 3.35300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5NW0 79931.70000000 PA USD 79278.33000000 0.010294851787 Long ABS-MBS USGSE US N 2 2038-03-01 Floating 2.80100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378U8R1 1821559.32000000 PA USD 1803891.47000000 0.234248064070 Long ABS-MBS USGA US N 2 2065-02-20 Floating 2.82700000 N N N N N N Toyota Auto Receivables Owner Trust N/A Toyota Auto Receivables 2020-B Owner Trust 89239RAC0 284115.28000000 PA USD 281326.40000000 0.036532222513 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 611844.45000000 PA USD 618964.30000000 0.080376891523 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 15093884.18000000 PA USD 14890377.87000000 1.933620867623 Long ABS-MBS USGSE US N 2 2028-03-25 Floating 2.53400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128PWV21 16624.02000000 PA USD 16196.32000000 0.002103206688 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 281270.54000000 PA USD 285185.46000000 0.037033348744 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 2.57300000 N N N N N N FHLMC Structured Pass Through Securities S6XOOCT0IEG5ABCC6L87 Freddie Mac Structured Pass-Through Certificates 31395HHV5 275715.47000000 PA USD 286044.85000000 0.037144946613 Long ABS-MBS USGSE US N 3 2044-10-25 Floating 2.30400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BGF3 686969.33000000 PA USD 680412.07000000 0.088356319001 Long ABS-MBS USGA US N 2 2060-10-20 Floating 2.68700000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 Avis Budget Rental Car Funding AESOP LLC 05377REZ3 3220000.00000000 PA USD 3046892.80000000 0.395660576979 Long ABS-O CORP US N 2 2028-08-21 Fixed 3.83000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176HLJ1 7942.83000000 PA USD 7289.84000000 0.000946637276 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 110020.33000000 PA USD 113388.50000000 0.014724298581 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 910075.03000000 PA USD 900180.69000000 0.116894828459 Long ABS-MBS USGSE US N 2 2027-08-25 Floating 2.60400000 N N N N N N GM Financial Securitized Term Auto Receivables Tr N/A GM Financial Consumer Automobile Receivables Trust 2020-1 36258NAC6 289054.57000000 PA USD 287384.70000000 0.037318935611 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 1776113.82000000 PA USD 1644787.96000000 0.213587348154 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 3455886.42000000 PA USD 3427076.08000000 0.445030064453 Long ABS-MBS USGA US N 2 2066-02-20 Floating 3.27700000 N N N N N N Social Professional Loan Program LLC N/A SoFi Professional Loan Program 2016-D LLC 83404LAA9 18064.12000000 PA USD 18009.23000000 0.002338625872 Long ABS-O CORP US N 2 2039-01-25 Floating 4.03400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382DYY9 1900284.77000000 PA USD 1853069.53000000 0.240634182936 Long ABS-MBS USGA US N 2 2048-04-20 Floating 2.16600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BU42 1056319.45000000 PA USD 1047144.05000000 0.135979060045 Long ABS-MBS USGA US N 2 2063-03-20 Floating 2.75700000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FQ3S0 7507706.85000000 PA USD 7481405.10000000 0.971513358949 Long ABS-MBS USGSE US N 2 2026-10-25 Floating 3.05300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411E2N6 41706.73000000 PA USD 41329.12000000 0.005366878501 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 2.08900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BKL5 443765.54000000 PA USD 440083.31000000 0.057147929967 Long ABS-MBS USGA US N 2 2061-02-20 Floating 2.80700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31283H6S9 119226.02000000 PA USD 123845.07000000 0.016082158142 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 1332055.35000000 PA USD 1359655.26000000 0.176560850669 Long ABS-MBS USGSE US N 2 2037-03-01 Floating 3.19000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412NSX5 19097.03000000 PA USD 19045.16000000 0.002473148708 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3133T0YC2 2516.11000000 PA USD 2430.77000000 0.000315652674 Long ABS-MBS USGSE US N 3 2023-08-15 Floating 2.22000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RU61 2318859.28000000 PA USD 2300065.39000000 0.298679756405 Long ABS-MBS USGA US N 2 2067-02-20 Floating 3.10700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200WT68 5463.68000000 PA USD 5818.45000000 0.000755566879 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 593413.66000000 PA USD 558197.11000000 0.072485842170 Long ABS-MBS USGSE US N 2 2038-08-25 Variable 3.44100000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 Starwood Retail Property Trust 2014-STAR 85571XAA5 3279463.97000000 PA USD 2246432.82000000 0.291715187914 Long ABS-MBS CORP US N 2 2027-11-15 Floating 4.28800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUZS6 1057598.20000000 PA USD 1050697.48000000 0.136440498060 Long ABS-MBS USGSE US N 2 2027-06-25 Floating 2.68400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419A6G7 131303.67000000 PA USD 133621.98000000 0.017351759045 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 3.02400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36198NVW2 1740393.09000000 PA USD 1734635.35000000 0.225254667125 Long ABS-MBS USGA US N 2 2064-03-20 Variable 4.60400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140HRRB1 5200000.00000000 PA USD 5042862.08000000 0.654851303007 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 419633.85000000 PA USD 380474.25000000 0.049407271985 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 675911.43000000 PA USD 669838.57000000 0.086983275253 Long ABS-MBS USGSE US N 2 2027-10-25 Floating 2.83300000 N N N N N N Nissan Auto Receivables Owner Trust N/A Nissan Auto Receivables 2020-A Owner Trust 65479MAC0 823598.55000000 PA USD 814191.41000000 0.105728512356 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 4026948.04000000 PA USD 4016656.77000000 0.521591286424 Long ABS-MBS USGA US N 2 2063-04-20 Floating 3.66000000 N N N N N N Diamond Resorts Owner Trust N/A Diamond Resorts Owner Trust 2018-1 252724AA7 201238.78000000 PA USD 195958.27000000 0.025446567129 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 5288.68000000 PA USD 4336.40000000 0.000563112205 Long ABS-MBS USGSE US N 3 2044-03-25 Variable 3.56800000 N N N N N N Flagship Credit Auto Trust N/A Flagship Credit Auto Trust 2020-3 33844TAA5 65123.98000000 PA USD 64953.55000000 0.008434677803 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 1442930.75000000 PA USD 1473476.38000000 0.191341328016 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 3.35400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LRU9 6140983.24000000 PA USD 5760899.98000000 0.748093602115 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 23658.59000000 PA USD 23661.89000000 0.003072663747 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 1459363.59000000 0.189508682433 Long ABS-MBS CORP US N 2 2047-03-10 Fixed 3.96100000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H5DX2 11380000.00000000 PA USD 9830715.42000000 1.276587917764 Long ABS-MBS USGSE US N 2 2028-11-25 Variable 2.05000000 N N N N N N Welk Resorts LLC N/A Welk Resorts 2019-A LLC 94946DAA9 839634.94000000 PA USD 795193.06000000 0.103261442256 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 695706.30000000 0.090342382924 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 97673.62000000 PA USD 98838.80000000 0.012834917144 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 2.54400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128M87E8 102892.40000000 PA USD 98183.82000000 0.012749863359 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A BBCMS 2020-BID Mortgage Trust 05493BAA6 3895000.00000000 PA USD 3836271.58000000 0.498166993861 Long ABS-MBS CORP US N 2 2037-10-15 Floating 4.95800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177TN29 1575317.10000000 PA USD 1570642.50000000 0.203959035834 Long ABS-MBS USGA US N 2 2063-11-20 Variable 4.67700000 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 8484453.29000000 1.101766259738 Long ABS-MBS USGSE US N 2 2029-08-25 Floating 3.20300000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H92P3 16300000.00000000 PA USD 15647511.00000000 2.031939958819 Long ABS-MBS USGSE US N 2 2032-11-25 Fixed 4.11800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FKJH0 1372519.63000000 PA USD 1365185.02000000 0.177278929110 Long ABS-MBS USGSE US N 2 2045-10-25 Floating 2.94300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RMB9 2792.36000000 PA USD 2685.61000000 0.000348745450 Long ABS-MBS USGA US N 3 2065-10-20 Floating 3.05700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BZY1 16382.23000000 PA USD 15691.30000000 0.002037626270 Long ABS-MBS USGA US N 3 2062-10-20 Floating 2.85700000 N N N N N N GM Financial Securitized Term Auto Receivables Tr N/A GM Financial Consumer Automobile Receivables Trust 2019-4 36258MAD6 146256.80000000 PA USD 145773.28000000 0.018929691281 Long ABS-O CORP US N 2 2024-07-16 Fixed 1.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375B3P5 145024.58000000 PA USD 143862.25000000 0.018681530522 Long ABS-MBS USGA US N 2 2063-05-20 Floating 2.82700000 N N N N N N BPR Trust N/A BPR Trust 2021-NRD 05592CAA4 1825000.00000000 PA USD 1746671.00000000 0.226817581391 Long ABS-MBS CORP US N 2 2023-12-15 Floating 4.44700000 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 7838086.91000000 1.017831014346 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 35184.68000000 PA USD 34954.23000000 0.004539053953 Long ABS-MBS USGA US N 2 2061-09-20 Floating 2.90700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31396V4Q8 308383.21000000 PA USD 300080.23000000 0.038967539961 Long ABS-MBS USGSE US N 3 2037-07-25 Floating 2.42500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36185KDJ2 543822.35000000 PA USD 558308.42000000 0.072500296561 Long ABS-MBS USGA US N 2 2065-06-20 Floating 3.88100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LQP3 157814.93000000 PA USD 156590.03000000 0.020334322762 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 3.24500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128QLUU3 244258.58000000 PA USD 240528.05000000 0.031234268249 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 2.89100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36186QVP4 535881.54000000 PA USD 547064.16000000 0.071040149883 Long ABS-MBS USGA US N 2 2065-05-20 Floating 3.84200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AMC8 510661.59000000 PA USD 520352.14000000 0.067571405185 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 2.92600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LKG7 108857.80000000 PA USD 107643.62000000 0.013978285287 Long ABS-MBS USGA US N 2 2068-09-20 Floating 2.70700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620E1AY0 992284.09000000 PA USD 1004794.81000000 0.130479711747 Long ABS-MBS USGA US N 2 2063-02-20 Floating 3.52300000 N N N N N N SPGN TFLM Mortgage Trust N/A SPGN 2022-TFLM Mortgage Trust 78473HAA4 3295000.00000000 PA USD 3141734.39000000 0.407976428138 Long ABS-MBS CORP US N 2 2039-02-15 Floating 4.39500000 N N N N N N DROP Mortgage Trust 2021-FILE N/A DROP Mortgage Trust 2021-FILE 26210YAA4 2570000.00000000 PA USD 2476593.09000000 0.321603126612 Long ABS-MBS CORP US N 2 2043-10-15 Floating 3.97000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3133TK5Q9 52926.69000000 PA USD 51618.56000000 0.006703035050 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 1437164.15000000 PA USD 1446458.92000000 0.187832919774 Long ABS-MBS USGSE US N 2 2046-01-01 Floating 2.84400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5GE8 150438.73000000 PA USD 149174.23000000 0.019371328690 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 2.45300000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F8ZR7 3538587.52000000 PA USD 3471132.49000000 0.450751100848 Long ABS-MBS USGSE US N 2 2030-12-25 Floating 2.53400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406XSY9 62095.91000000 PA USD 61736.35000000 0.008016901632 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 4.22300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A6JW5 1385249.25000000 PA USD 1381692.62000000 0.179422557707 Long ABS-MBS USGSE US N 2 2042-06-25 Floating 3.63400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410KSG0 666819.89000000 PA USD 674796.86000000 0.087627144273 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 2.90200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349ULH9 85995.93000000 PA USD 87114.84000000 0.011312478029 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 2.49700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410GTH6 15380.77000000 PA USD 16509.29000000 0.002143848056 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 20124.07000000 PA USD 19986.19000000 0.002595348109 Long ABS-MBS USGA US N 2 2061-08-20 Variable 4.70000000 N N N N N N 2022-10-27 LOOMIS SAYLES FUNDS II John Sgroi John Sgroi Assistant Treasurer