# EDGAR Filing Document

**Accession Number:** 0000745463
**File Stem:** 0001752724-23-075519
**Filing Date:** 2023-3
**Character Count:** 725262
**Document Hash:** ebcd5ce607a770aa1257039d10432bac
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-075519.hdr.sgml**: 20230331

**ACCESSION NUMBER**: 0001752724-23-075519

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230331

**DATE AS OF CHANGE**: 20230331

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** EATON VANCE MUTUAL FUNDS TRUST
- **CENTRAL INDEX KEY:** 0000745463
- **IRS NUMBER:** 000000000

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04015
- **FILM NUMBER:** 23784753

**BUSINESS ADDRESS:**
- **STREET 1:** TWO INTERNATIONAL PLACE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 617-482-8260

**MAIL ADDRESS:**
- **STREET 1:** TWO INTERNATIONAL PLACE
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** EATON VANCE GOVERNMENT OBLIGATIONS TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Eaton Vance Short Duration Government Income Fund (Series ID: S000005290)

| Class ID   | Class Name                                                       | Ticker Symbol   |
|:---|:---|:---|
| C000014457 | Eaton Vance Short Duration Government Income Fund Class A        | EALDX           |
| C000014459 | Eaton Vance Short Duration Government Income Fund Class C        | ECLDX           |
| C000078260 | Eaton Vance Short Duration Government Income Fund Class I        | EILDX           |
| C000227652 | Eaton Vance Short Duration Government Income Fund Advisers Class |  |

## Nport-Ex

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited)

------

Collateralized Mortgage Obligations — 28.1%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Federal Home Loan Mortgage Corp.: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2135, Class JZ, 6.00%, 3/15/29 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;273 | &nbsp;&nbsp;$279852 |
| &nbsp;&nbsp;&nbsp;Series 3866, Class DF, 5.909%, (1 mo. USD LIBOR + 1.45%), 5/15/41<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1044 | &nbsp;&nbsp;&nbsp;&nbsp; 1004996 |
| &nbsp;&nbsp;&nbsp;Series 4102, Class DF, 5.50%, (1 mo. USD LIBOR + 1.15%), 9/15/42<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;271 | &nbsp;&nbsp;&nbsp;&nbsp; 251629 |
| &nbsp;&nbsp;&nbsp;Series 4159, Class FP, 5.00%, (1 mo. USD LIBOR + 0.90%), 11/15/42<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;611 | &nbsp;&nbsp;&nbsp;&nbsp; 554897 |
| &nbsp;&nbsp;&nbsp;Series 4180, Class KF, 5.00%, (1 mo. USD LIBOR + 1.00%), 1/15/43<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3145 | &nbsp;&nbsp;&nbsp;&nbsp; 2880880 |
| &nbsp;&nbsp;&nbsp;Series 4204, Class AF, 5.00%, (1 mo. USD LIBOR + 1.00%), 5/15/43<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;540 | &nbsp;&nbsp;&nbsp;&nbsp; 485345 |
| &nbsp;&nbsp;&nbsp;Series 4212, Class NS, 0.049%, (5.40% - 1 mo. USD LIBOR x 1.20), 6/15/43<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1693 | &nbsp;&nbsp;&nbsp;&nbsp; 1698131 |
| &nbsp;&nbsp;&nbsp;Series 4223, Class NF, 5.319%, (1 mo. USD LIBOR + 0.95%), 7/15/43<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1931 | &nbsp;&nbsp;&nbsp;&nbsp; 1789170 |
| &nbsp;&nbsp;&nbsp;Series 4249, Class CF, 5.169%, (1 mo. USD LIBOR + 0.80%), 9/15/43<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7082 | &nbsp;&nbsp;&nbsp;&nbsp; 7057387 |
| &nbsp;&nbsp;&nbsp;Series 4299, Class JG, 2.50%, 7/15/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;650 | &nbsp;&nbsp;&nbsp;&nbsp; 621231 |
| &nbsp;&nbsp;&nbsp;Series 4389, Class CA, 3.00%, 9/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1369 | &nbsp;&nbsp;&nbsp;&nbsp; 1299003 |
| &nbsp;&nbsp;&nbsp;Series 4619, Class KF, 5.00%, (1 mo. USD LIBOR + 0.75%), 6/15/39<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;710 | &nbsp;&nbsp;&nbsp;&nbsp; 694492 |
| &nbsp;&nbsp;&nbsp;Series 4678, Class PC, 3.00%, 1/15/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1622 | &nbsp;&nbsp;&nbsp;&nbsp; 1557593 |
| &nbsp;&nbsp;&nbsp;Series 4876, Class FA, 5.159%, (1 mo. USD LIBOR + 0.70%), 5/15/49<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7069 | &nbsp;&nbsp;&nbsp;&nbsp; 7080053 |
| &nbsp;&nbsp;&nbsp;Series 4995, Class ZN, 2.50%, 7/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1023 | &nbsp;&nbsp;&nbsp;&nbsp; 627940 |
| &nbsp;&nbsp;&nbsp;Series 5009, Class ZN, 3.50%, 7/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5028 | &nbsp;&nbsp;&nbsp;&nbsp; 4445438 |
| &nbsp;&nbsp;&nbsp;Series 5021, Class CZ, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3744 | &nbsp;&nbsp;&nbsp;&nbsp; 1936299 |
| &nbsp;&nbsp;&nbsp;Series 5021, Class NZ, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3176 | &nbsp;&nbsp;&nbsp;&nbsp; 1809096 |
| &nbsp;&nbsp;&nbsp;Series 5028, Class AZ, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;995 | &nbsp;&nbsp;&nbsp;&nbsp; 512928 |
| &nbsp;&nbsp;&nbsp;Series 5028, Class TZ, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2672 | &nbsp;&nbsp;&nbsp;&nbsp; 1616263 |
| &nbsp;&nbsp;&nbsp;Series 5028, Class ZA, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1144 | &nbsp;&nbsp;&nbsp;&nbsp; 613865 |
| &nbsp;&nbsp;&nbsp;Series 5028, Class ZT, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2224 | &nbsp;&nbsp;&nbsp;&nbsp; 1227248 |
| &nbsp;&nbsp;&nbsp;Series 5031, Class Z, 2.50%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 | &nbsp;&nbsp;&nbsp;&nbsp; 4421 |
| &nbsp;&nbsp;&nbsp;Series 5035, Class AZ, 2.00%, 11/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1453 | &nbsp;&nbsp;&nbsp;&nbsp; 818868 |
| &nbsp;&nbsp;&nbsp;Series 5035, Class ZK, 2.50%, 11/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16973 | &nbsp;&nbsp;&nbsp;&nbsp; 11065460 |
| &nbsp;&nbsp;&nbsp;Series 5035, Class ZT, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1625 | &nbsp;&nbsp;&nbsp;&nbsp; 897714 |
| &nbsp;&nbsp;&nbsp;Series 5036, Class Z, 2.00%, 11/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14640 | &nbsp;&nbsp;&nbsp;&nbsp; 8120744 |
| &nbsp;&nbsp;&nbsp;Series 5037, Class QZ, 2.00%, 11/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6526 | &nbsp;&nbsp;&nbsp;&nbsp; 3634726 |
| &nbsp;&nbsp;&nbsp;Series 5037, Class ZQ, 2.00%, 11/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;767 | &nbsp;&nbsp;&nbsp;&nbsp; 422156 |
| &nbsp;&nbsp;&nbsp;Series 5038, Class Z, 2.50%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;&nbsp; 1998 |
| &nbsp;&nbsp;&nbsp;Series 5038, Class ZN, 2.00%, 11/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1793 | &nbsp;&nbsp;&nbsp;&nbsp; 923308 |
| &nbsp;&nbsp;&nbsp;Series 5039, Class PZ, 2.00%, 11/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1160 | &nbsp;&nbsp;&nbsp;&nbsp; 615835 |
| &nbsp;&nbsp;&nbsp;Series 5039, Class ZJ, 2.00%, 11/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;352 | &nbsp;&nbsp;&nbsp;&nbsp; 181393 |
| &nbsp;&nbsp;&nbsp;Series 5040, Class TZ, 2.50%, 11/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4264 | &nbsp;&nbsp;&nbsp;&nbsp; 2595920 |
| &nbsp;&nbsp;&nbsp;Series 5048, Class CZ, 2.00%, 12/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1870 | &nbsp;&nbsp;&nbsp;&nbsp; 992622 |
| &nbsp;&nbsp;&nbsp;Series 5050, Class DZ, 2.00%, 11/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3620 | &nbsp;&nbsp;&nbsp;&nbsp; 1955523 |
| &nbsp;&nbsp;&nbsp;Series 5050, Class ZC, 2.00%, 12/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6225 | &nbsp;&nbsp;&nbsp;&nbsp; 3538648 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Federal Home Loan Mortgage Corp.: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 5050, Class ZJ, 2.00%, 12/25/50 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8072 | &nbsp;&nbsp;$4527992 |
| &nbsp;&nbsp;&nbsp;Series 5057, Class AZ, 2.00%, 12/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3039 | &nbsp;&nbsp;&nbsp;&nbsp; 1714491 |
| &nbsp;&nbsp;&nbsp;Series 5058, Class CZ, 2.00%, 1/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8631 | &nbsp;&nbsp;&nbsp;&nbsp; 5086246 |
| &nbsp;&nbsp;&nbsp;Series 5058, Class Z, 2.00%, 1/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;703 | &nbsp;&nbsp;&nbsp;&nbsp; 371645 |
| &nbsp;&nbsp;&nbsp;Series 5058, Class ZA, 2.00%, 1/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1021 | &nbsp;&nbsp;&nbsp;&nbsp; 551637 |
| &nbsp;&nbsp;&nbsp;Series 5058, Class ZH, 3.00%, 5/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2876 | &nbsp;&nbsp;&nbsp;&nbsp; 1955125 |
| &nbsp;&nbsp;&nbsp;Series 5068, Class UZ, 2.50%, 1/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9400 | &nbsp;&nbsp;&nbsp;&nbsp; 6256785 |
| &nbsp;&nbsp;&nbsp;Series 5071, Class CS, 0.27%, (3.30% - 30-day average SOFR), 2/25/51<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6990 | &nbsp;&nbsp;&nbsp;&nbsp; 4484082 |
| &nbsp;&nbsp;&nbsp;Series 5071, Class SP, 0.27%, (3.30% - 30-day average SOFR), 2/25/51<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9615 | &nbsp;&nbsp;&nbsp;&nbsp; 6985364 |
| &nbsp;&nbsp;&nbsp;Series 5072, Class ZU, 2.50%, 2/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2994 | &nbsp;&nbsp;&nbsp;&nbsp; 1848305 |
| &nbsp;&nbsp;&nbsp;Series 5083, Class SK, 0.00%, (3.867% - 30-day average SOFR x 1.33), 3/25/51<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8471 | &nbsp;&nbsp;&nbsp;&nbsp; 5900396 |
| &nbsp;&nbsp;&nbsp;Series 5083, Class ZW, 2.50%, 3/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5020 | &nbsp;&nbsp;&nbsp;&nbsp; 3071339 |
| &nbsp;&nbsp;&nbsp;Series 5090, Class PZ, 2.50%, 3/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;524 | &nbsp;&nbsp;&nbsp;&nbsp; 311015 |
| &nbsp;&nbsp;&nbsp;Series 5093, Class Z, 3.00%, 1/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp; 638 |
| &nbsp;&nbsp;&nbsp;Series 5093, Class ZM, 3.00%, 3/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp; 1396 |
| &nbsp;&nbsp;&nbsp;Series 5101, Class EZ, 2.00%, 3/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2013 | &nbsp;&nbsp;&nbsp;&nbsp; 1163270 |
| &nbsp;&nbsp;&nbsp;Series 5104, Class WZ, 3.00%, 4/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;889 | &nbsp;&nbsp;&nbsp;&nbsp; 621689 |
| &nbsp;&nbsp;&nbsp;Series 5114, Class ZH, 3.00%, 5/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;433 | &nbsp;&nbsp;&nbsp;&nbsp; 314913 |
| &nbsp;&nbsp;&nbsp;Series 5123, Class JZ, 2.00%, 7/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;769 | &nbsp;&nbsp;&nbsp;&nbsp; 449300 |
| &nbsp;&nbsp;&nbsp;Series 5129, Class CZ, 3.00%, 8/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14874 | &nbsp;&nbsp;&nbsp;&nbsp; 10598326 |
| &nbsp;&nbsp;&nbsp;Series 5129, Class HZ, 1.25%, 4/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1622 | &nbsp;&nbsp;&nbsp;&nbsp; 1305773 |
| &nbsp;&nbsp;&nbsp;Series 5129, Class TZ, 2.50%, 8/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3167 | &nbsp;&nbsp;&nbsp;&nbsp; 1854164 |
| &nbsp;&nbsp;&nbsp;Series 5129, Class WZ, 3.00%, 8/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp; 680 |
| &nbsp;&nbsp;&nbsp;Series 5129, Class ZE, 3.00%, 9/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;203 | &nbsp;&nbsp;&nbsp;&nbsp; 134826 |
| &nbsp;&nbsp;&nbsp;Series 5129, Class ZH, 3.00%, 7/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp; 681 |
| &nbsp;&nbsp;&nbsp;Series 5129, Class ZW, 3.00%, 8/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp; 455 |
| &nbsp;&nbsp;&nbsp;Series 5131, Class QZ, 3.00%, 7/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2930 | &nbsp;&nbsp;&nbsp;&nbsp; 2059735 |
| &nbsp;&nbsp;&nbsp;Series 5132, Class LZ, 2.50%, 8/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8340 | &nbsp;&nbsp;&nbsp;&nbsp; 5275913 |
| &nbsp;&nbsp;&nbsp;Series 5135, Class MZ, 2.50%, 8/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12733 | &nbsp;&nbsp;&nbsp;&nbsp; 8357984 |
| &nbsp;&nbsp;&nbsp;Series 5136, Class ZJ, 2.50%, 8/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17061 | &nbsp;&nbsp;&nbsp;&nbsp; 11018455 |
| &nbsp;&nbsp;&nbsp;Series 5139, Class DZ, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10260 | &nbsp;&nbsp;&nbsp;&nbsp; 6618099 |
| &nbsp;&nbsp;&nbsp;Series 5139, Class EZ, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11901 | &nbsp;&nbsp;&nbsp;&nbsp; 7543759 |
| &nbsp;&nbsp;&nbsp;Series 5140, Class WZ, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6714 | &nbsp;&nbsp;&nbsp;&nbsp; 4463969 |
| &nbsp;&nbsp;&nbsp;Series 5141, Class ZJ, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12381 | &nbsp;&nbsp;&nbsp;&nbsp; 7999333 |
| &nbsp;&nbsp;&nbsp;Series 5141, Class ZP, 3.00%, 4/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12208 | &nbsp;&nbsp;&nbsp;&nbsp; 9159022 |
| &nbsp;&nbsp;&nbsp;Series 5144, Class Z, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35402 | &nbsp;&nbsp;&nbsp;&nbsp; 23513562 |
| &nbsp;&nbsp;&nbsp;Series 5148, Class AZ, 2.50%, 10/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38785 | &nbsp;&nbsp;&nbsp;&nbsp; 25878825 |
| &nbsp;&nbsp;&nbsp;Series 5150, Class QZ, 2.50%, 10/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4723 | &nbsp;&nbsp;&nbsp;&nbsp; 3077282 |
| &nbsp;&nbsp;&nbsp;Series 5150, Class ZJ, 2.50%, 10/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13566 | &nbsp;&nbsp;&nbsp;&nbsp; 9002783 |
| &nbsp;&nbsp;&nbsp;Series 5150, Class ZN, 2.50%, 10/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1194 | &nbsp;&nbsp;&nbsp;&nbsp; 733033 |
| &nbsp;&nbsp;&nbsp;Series 5159, Class KZ, 3.00%, 11/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6534 | &nbsp;&nbsp;&nbsp;&nbsp; 4827170 |
| &nbsp;&nbsp;&nbsp;Series 5159, Class MZ, 3.00%, 11/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;990 | &nbsp;&nbsp;&nbsp;&nbsp; 689884 |
| &nbsp;&nbsp;&nbsp;Series 5159, Class ZP, 3.00%, 11/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4468 | &nbsp;&nbsp;&nbsp;&nbsp; 3169997 |

---

------

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Federal Home Loan Mortgage Corp.: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 5159, Class ZT, 3.00%, 11/25/51 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8213 | &nbsp;&nbsp;$6000332 |
| &nbsp;&nbsp;&nbsp;Series 5160, Class ZW, 3.00%, 8/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2645 | &nbsp;&nbsp;&nbsp;&nbsp; 2013218 |
| &nbsp;&nbsp;&nbsp;Series 5163, Class Z, 3.00%, 11/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5610 | &nbsp;&nbsp;&nbsp;&nbsp; 3880483 |
| &nbsp;&nbsp;&nbsp;Series 5166, Class ZN, 3.00%, 9/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10071 | &nbsp;&nbsp;&nbsp;&nbsp; 7058295 |
| &nbsp;&nbsp;&nbsp;Series 5168, Class MZ, 3.00%, 10/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6400 | &nbsp;&nbsp;&nbsp;&nbsp; 4588215 |
| &nbsp;&nbsp;&nbsp;Series 5169, Class JZ, 3.00%, 1/25/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;375 | &nbsp;&nbsp;&nbsp;&nbsp; 268668 |
| Interest Only:<sup>(3)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 354, Class C11, 3.50%, 7/15/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9142 | &nbsp;&nbsp;&nbsp;&nbsp; 1560545 |
| &nbsp;&nbsp;&nbsp;Series 354, Class C15, 3.50%, 11/15/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8166 | &nbsp;&nbsp;&nbsp;&nbsp; 1648009 |
| &nbsp;&nbsp;&nbsp;Series 362, Class C7, 3.50%, 9/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14407 | &nbsp;&nbsp;&nbsp;&nbsp; 2511797 |
| &nbsp;&nbsp;&nbsp;Series 362, Class C11, 4.00%, 12/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4317 | &nbsp;&nbsp;&nbsp;&nbsp; 834438 |
| &nbsp;&nbsp;&nbsp;Series 362, Class C12, 4.00%, 12/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8727 | &nbsp;&nbsp;&nbsp;&nbsp; 1696118 |
| &nbsp;&nbsp;&nbsp;Series 380, Class C1, 3.00%, 1/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32628 | &nbsp;&nbsp;&nbsp;&nbsp; 5523511 |
| &nbsp;&nbsp;&nbsp;Series 380, Class C5, 3.50%, 1/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10326 | &nbsp;&nbsp;&nbsp;&nbsp; 1856547 |
| &nbsp;&nbsp;&nbsp;Series 3030, Class SL, 1.641%, (6.10% - 1 mo. USD LIBOR), 9/15/35<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;992 | &nbsp;&nbsp;&nbsp;&nbsp; 77525 |
| &nbsp;&nbsp;&nbsp;Series 3114, Class TS, 2.191%, (6.65% - 1 mo. USD LIBOR), 9/15/30<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1817 | &nbsp;&nbsp;&nbsp;&nbsp; 90140 |
| &nbsp;&nbsp;&nbsp;Series 3339, Class JI, 2.131%, (6.59% - 1 mo. USD LIBOR), 7/15/37<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;917 | &nbsp;&nbsp;&nbsp;&nbsp; 101262 |
| &nbsp;&nbsp;&nbsp;Series 4088, Class EI, 3.50%, 9/15/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67 | &nbsp;&nbsp;&nbsp;&nbsp; 662 |
| &nbsp;&nbsp;&nbsp;Series 4094, Class CS, 1.541%, (6.00% - 1 mo. USD LIBOR), 8/15/42<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;628 | &nbsp;&nbsp;&nbsp;&nbsp; 67855 |
| &nbsp;&nbsp;&nbsp;Series 4109, Class SA, 1.741%, (6.20% - 1 mo. USD LIBOR), 9/15/32<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1072 | &nbsp;&nbsp;&nbsp;&nbsp; 77792 |
| &nbsp;&nbsp;&nbsp;Series 4497, Class CS, 1.741%, (6.20% - 1 mo. USD LIBOR), 9/15/44<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;192 | &nbsp;&nbsp;&nbsp;&nbsp; 3824 |
| &nbsp;&nbsp;&nbsp;Series 4507, Class EI, 4.00%, 8/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2884 | &nbsp;&nbsp;&nbsp;&nbsp; 341960 |
| &nbsp;&nbsp;&nbsp;Series 4507, Class MI, 3.50%, 8/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;303 | &nbsp;&nbsp;&nbsp;&nbsp; 13598 |
| &nbsp;&nbsp;&nbsp;Series 4549, Class DS, 1.441%, (5.90% - 1 mo. USD LIBOR), 8/15/45<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;927 | &nbsp;&nbsp;&nbsp;&nbsp; 62553 |
| &nbsp;&nbsp;&nbsp;Series 4601, Class IN, 3.50%, 7/15/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14213 | &nbsp;&nbsp;&nbsp;&nbsp; 2449474 |
| &nbsp;&nbsp;&nbsp;Series 4625, Class BI, 3.50%, 6/15/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2795 | &nbsp;&nbsp;&nbsp;&nbsp; 458542 |
| &nbsp;&nbsp;&nbsp;Series 4637, Class IP, 3.50%, 4/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;160 | &nbsp;&nbsp;&nbsp;&nbsp; 5967 |
| &nbsp;&nbsp;&nbsp;Series 4672, Class LI, 3.50%, 1/15/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37 | &nbsp;&nbsp;&nbsp;&nbsp; 156 |
| &nbsp;&nbsp;&nbsp;Series 4749, Class IL, 4.00%, 12/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;992 | &nbsp;&nbsp;&nbsp;&nbsp; 183749 |
| &nbsp;&nbsp;&nbsp;Series 4768, Class IO, 4.00%, 3/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1145 | &nbsp;&nbsp;&nbsp;&nbsp; 210543 |
| &nbsp;&nbsp;&nbsp;Series 4768, Class KI, 4.00%, 11/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2010 | &nbsp;&nbsp;&nbsp;&nbsp; 371492 |
| &nbsp;&nbsp;&nbsp;Series 4772, Class PI, 4.00%, 1/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1244 | &nbsp;&nbsp;&nbsp;&nbsp; 228751 |
| &nbsp;&nbsp;&nbsp;Series 4791, Class JI, 4.00%, 5/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1803 | &nbsp;&nbsp;&nbsp;&nbsp; 347807 |
| &nbsp;&nbsp;&nbsp;Series 4791, Class SA, 1.741%, (6.20% - 1 mo. USD LIBOR), 5/15/48<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4974 | &nbsp;&nbsp;&nbsp;&nbsp; 578518 |
| &nbsp;&nbsp;&nbsp;Series 4796, Class AS, 1.741%, (6.20% - 1 mo. USD LIBOR), 5/15/48<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3150 | &nbsp;&nbsp;&nbsp;&nbsp; 358107 |
| &nbsp;&nbsp;&nbsp;Series 4808, Class IB, 4.00%, 5/15/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4836 | &nbsp;&nbsp;&nbsp;&nbsp; 930387 |
| &nbsp;&nbsp;&nbsp;Series 4966, Class SY, 1.544%, (6.05% - 1 mo. USD LIBOR), 4/25/50<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4574 | &nbsp;&nbsp;&nbsp;&nbsp; 567261 |
| &nbsp;&nbsp;&nbsp;Series 5008, Class IE, 2.00%, 9/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67546 | &nbsp;&nbsp;&nbsp;&nbsp; 8266842 |
| &nbsp;&nbsp;&nbsp;Series 5010, Class I, 2.00%, 9/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31606 | &nbsp;&nbsp;&nbsp;&nbsp; 3899463 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Interest Only: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 5010, Class IB, 2.00%, 9/25/50 | $&nbsp;&nbsp; 46900 | &nbsp;&nbsp;$5739951 |
| &nbsp;&nbsp;&nbsp;Series 5010, Class IN, 2.00%, 9/25/50 | &nbsp;&nbsp; 84084 | &nbsp;&nbsp;&nbsp;&nbsp; 10361718 |
| &nbsp;&nbsp;&nbsp;Series 5010, Class NI, 2.00%, 9/25/50 | &nbsp;&nbsp; 17425 | &nbsp;&nbsp;&nbsp;&nbsp; 2128597 |
| &nbsp;&nbsp;&nbsp;Series 5016, Class UI, 2.00%, 9/25/50 | &nbsp;&nbsp; 15008 | &nbsp;&nbsp;&nbsp;&nbsp; 1836784 |
| &nbsp;&nbsp;&nbsp;Series 5017, Class DI, 2.00%, 9/25/50 | &nbsp;&nbsp; 31088 | &nbsp;&nbsp;&nbsp;&nbsp; 3804786 |
| &nbsp;&nbsp;&nbsp;Series 5019, Class CI, 2.00%, 10/25/50 | &nbsp;&nbsp; 25424 | &nbsp;&nbsp;&nbsp;&nbsp; 3151445 |
| &nbsp;&nbsp;&nbsp;Series 5020, Class CI, 2.00%, 9/25/50 | &nbsp;&nbsp; 6270 | &nbsp;&nbsp;&nbsp;&nbsp; 745628 |
| &nbsp;&nbsp;&nbsp;Series 5022, Class AI, 2.00%, 10/25/50 | &nbsp;&nbsp; 33864 | &nbsp;&nbsp;&nbsp;&nbsp; 4187523 |
| &nbsp;&nbsp;&nbsp;Series 5024, Class CI, 2.00%, 10/25/50 | &nbsp;&nbsp; 101672 | &nbsp;&nbsp;&nbsp;&nbsp; 12646714 |
| &nbsp;&nbsp;&nbsp;Series 5025, Class GI, 2.00%, 10/25/50 | &nbsp;&nbsp; 10991 | &nbsp;&nbsp;&nbsp;&nbsp; 1361064 |
| &nbsp;&nbsp;&nbsp;Series 5028, Class TI, 2.00%, 10/25/50 | &nbsp;&nbsp; 14092 | &nbsp;&nbsp;&nbsp;&nbsp; 1378801 |
| &nbsp;&nbsp;&nbsp;Series 5038, Class DI, 2.00%, 11/25/50 | &nbsp;&nbsp; 80406 | &nbsp;&nbsp;&nbsp;&nbsp; 9963560 |
| &nbsp;&nbsp;&nbsp;Series 5051, Class S, 0.079%, (3.60% - 30-day average SOFR), 12/25/50<sup>(2)</sup> | &nbsp;&nbsp; 31229 | &nbsp;&nbsp;&nbsp;&nbsp; 1305148 |
| &nbsp;&nbsp;&nbsp;Series 5070, Class CI, 2.00%, 2/25/51 | &nbsp;&nbsp; 77774 | &nbsp;&nbsp;&nbsp;&nbsp; 10151116 |
| &nbsp;&nbsp;&nbsp;Series 5156, Class IP, 3.00%, 12/25/49 | &nbsp;&nbsp; 24894 | &nbsp;&nbsp;&nbsp;&nbsp; 3719233 |
| &nbsp;&nbsp;&nbsp;Series 5191, Class IB, 2.50%, 2/25/51 | &nbsp;&nbsp; 52185 | &nbsp;&nbsp;&nbsp;&nbsp; 7812056 |
| Principal Only:<sup>(4)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 213, Class PO, 0.00%, 6/1/31 | &nbsp;&nbsp; 1053 | &nbsp;&nbsp;&nbsp;&nbsp; 917663 |
| &nbsp;&nbsp;&nbsp;Series 239, Class PO, 0.00%, 8/15/36 | &nbsp;&nbsp; 530 | &nbsp;&nbsp;&nbsp;&nbsp; 414853 |
| &nbsp;&nbsp;&nbsp;Series 246, Class PO, 0.00%, 5/15/37 | &nbsp;&nbsp; 1288 | &nbsp;&nbsp;&nbsp;&nbsp; 1071641 |
| &nbsp;&nbsp;&nbsp;Series 3072, Class WO, 0.00%, 11/15/35 | &nbsp;&nbsp; 474 | &nbsp;&nbsp;&nbsp;&nbsp; 388852 |
| &nbsp;&nbsp;&nbsp;Series 3342, Class KO, 0.00%, 7/15/37 | &nbsp;&nbsp; 178 | &nbsp;&nbsp;&nbsp;&nbsp; 148495 |
| &nbsp;&nbsp;&nbsp;Series 3476, Class PO, 0.00%, 7/15/38 | &nbsp;&nbsp; 230 | &nbsp;&nbsp;&nbsp;&nbsp; 183756 |
| &nbsp;&nbsp;&nbsp;Series 3862, Class PO, 0.00%, 5/15/41 | &nbsp;&nbsp; 489 | &nbsp;&nbsp;&nbsp;&nbsp; 383245 |
| &nbsp;&nbsp;&nbsp;Series 4239, Class OU, 0.00%, 7/15/43 | &nbsp;&nbsp; 2826 | &nbsp;&nbsp;&nbsp;&nbsp; 1583481 |
| Federal National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;Series G93-17, Class FA, 5.506%, (1 mo. USD LIBOR + 1.00%), 4/25/23<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;Series G97-4, Class FA, 5.259%, (1 mo. USD LIBOR + 0.80%), 6/17/27<sup>(1)</sup> | &nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 64530 |
| &nbsp;&nbsp;&nbsp;Series 1993-203, Class PL, 6.50%, 10/25/23 | &nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10222 |
| &nbsp;&nbsp;&nbsp;Series 1994-14, Class F, 7.153%, (12 mo. USD LIBOR + 1.60%), 10/25/23<sup>(1)</sup> | &nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 9737 |
| &nbsp;&nbsp;&nbsp;Series 2001-4, Class GA, 9.00%, 4/17/25<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;Series 2009-48, Class WA, 5.803%, 7/25/39<sup>(6)</sup> | &nbsp;&nbsp; 264 | &nbsp;&nbsp;&nbsp;&nbsp; 269113 |
| &nbsp;&nbsp;&nbsp;Series 2009-62, Class WA, 5.58%, 8/25/39<sup>(6)</sup> | &nbsp;&nbsp; 387 | &nbsp;&nbsp;&nbsp;&nbsp; 394959 |
| &nbsp;&nbsp;&nbsp;Series 2010-112, Class DZ, 4.00%, 10/25/40 | &nbsp;&nbsp; 335 | &nbsp;&nbsp;&nbsp;&nbsp; 328174 |
| &nbsp;&nbsp;&nbsp;Series 2011-49, Class NT, 6.00%, (66.00% - 1 mo. USD LIBOR x 10.00, Cap 6.00%), 6/25/41<sup>(2)</sup> | &nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp; 135400 |
| &nbsp;&nbsp;&nbsp;Series 2012-51, Class FD, 5.086%, (1 mo. USD LIBOR + 0.58%), 5/25/42<sup>(1)</sup> | &nbsp;&nbsp; 17788 | &nbsp;&nbsp;&nbsp;&nbsp; 17697748 |
| &nbsp;&nbsp;&nbsp;Series 2012-103, Class ZP, 3.00%, 9/25/42 | &nbsp;&nbsp; 790 | &nbsp;&nbsp;&nbsp;&nbsp; 640569 |
| &nbsp;&nbsp;&nbsp;Series 2012-115, Class MX, 0.00%, (3.46% - 1 mo. USD LIBOR x 1.154), 10/25/42<sup>(2)</sup> | &nbsp;&nbsp; 628 | &nbsp;&nbsp;&nbsp;&nbsp; 243932 |
| &nbsp;&nbsp;&nbsp;Series 2012-128, Class SH, 0.00%, (4.00% - 1 mo. USD LIBOR), 11/25/42<sup>(2)</sup> | &nbsp;&nbsp; 3753 | &nbsp;&nbsp;&nbsp;&nbsp; 2433538 |

---

------

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Federal National Mortgage Association: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2012-128, Class WS, 0.00%, (4.00% - 1 mo. USD LIBOR), 11/25/42<sup>(2)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;547 | &nbsp;&nbsp;$350372 |
| &nbsp;&nbsp;&nbsp;Series 2012-134, Class ZT, 2.00%, 12/25/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1010 | &nbsp;&nbsp;&nbsp;&nbsp; 834772 |
| &nbsp;&nbsp;&nbsp;Series 2013-52, Class GA, 1.00%, 6/25/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;591 | &nbsp;&nbsp;&nbsp;&nbsp; 536987 |
| &nbsp;&nbsp;&nbsp;Series 2013-58, Class SC, 0.00%, (6.00% - 1 mo. USD LIBOR x 1.50), 6/25/43<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2651 | &nbsp;&nbsp;&nbsp;&nbsp; 2230571 |
| &nbsp;&nbsp;&nbsp;Series 2013-67, Class NF, 5.00%, (1 mo. USD LIBOR + 1.00%), 7/25/43<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;631 | &nbsp;&nbsp;&nbsp;&nbsp; 610227 |
| &nbsp;&nbsp;&nbsp;Series 2014-1, Class HF, 5.00%, (1 mo. USD LIBOR + 1.50%), 6/25/43<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;730 | &nbsp;&nbsp;&nbsp;&nbsp; 666751 |
| &nbsp;&nbsp;&nbsp;Series 2014-5, Class LB, 2.50%, 7/25/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 | &nbsp;&nbsp;&nbsp;&nbsp; 22455 |
| &nbsp;&nbsp;&nbsp;Series 2015-74, Class SL, 0.00%, (2.349% - 1 mo. USD LIBOR x 0.587), 10/25/45<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1883 | &nbsp;&nbsp;&nbsp;&nbsp; 1108190 |
| &nbsp;&nbsp;&nbsp;Series 2016-26, Class KS, 0.00%, (5.25% - 1 mo. USD LIBOR x 1.75), 11/25/42<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1603 | &nbsp;&nbsp;&nbsp;&nbsp; 1299189 |
| &nbsp;&nbsp;&nbsp;Series 2017-15, Class LE, 3.00%, 6/25/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;136 | &nbsp;&nbsp;&nbsp;&nbsp; 132140 |
| &nbsp;&nbsp;&nbsp;Series 2017-56, Class KF, 5.369%, (1 mo. USD LIBOR + 1.00%), 7/25/47<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;561 | &nbsp;&nbsp;&nbsp;&nbsp; 563017 |
| &nbsp;&nbsp;&nbsp;Series 2017-56, Class KS, 0.631%, (5.00% - 1 mo. USD LIBOR), 7/25/47<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;314 | &nbsp;&nbsp;&nbsp;&nbsp; 196476 |
| &nbsp;&nbsp;&nbsp;Series 2019-1, Class FA, 5.106%, (1 mo. USD LIBOR + 0.60%), 2/25/49<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6787 | &nbsp;&nbsp;&nbsp;&nbsp; 6675072 |
| &nbsp;&nbsp;&nbsp;Series 2019-8, Class FD, 5.206%, (1 mo. USD LIBOR + 0.70%), 3/25/49<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22889 | &nbsp;&nbsp;&nbsp;&nbsp; 22926836 |
| &nbsp;&nbsp;&nbsp;Series 2019-9, Class LF, 5.056%, (1 mo. USD LIBOR + 0.55%), 3/25/49<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8710 | &nbsp;&nbsp;&nbsp;&nbsp; 8662559 |
| &nbsp;&nbsp;&nbsp;Series 2019-16, Class AF, 5.056%, (1 mo. USD LIBOR + 0.55%), 4/25/49<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7510 | &nbsp;&nbsp;&nbsp;&nbsp; 7461107 |
| &nbsp;&nbsp;&nbsp;Series 2020-45, Class MA, 0.00%, (3.20% - 1 mo. USD LIBOR x 0.80), 6/25/43<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1126 | &nbsp;&nbsp;&nbsp;&nbsp; 954789 |
| &nbsp;&nbsp;&nbsp;Series 2020-63, Class ZN, 3.00%, 9/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;302 | &nbsp;&nbsp;&nbsp;&nbsp; 203274 |
| &nbsp;&nbsp;&nbsp;Series 2020-81, Class CZ, 2.00%, 11/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4938 | &nbsp;&nbsp;&nbsp;&nbsp; 2812008 |
| &nbsp;&nbsp;&nbsp;Series 2020-86, Class ZK, 2.00%, 12/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4227 | &nbsp;&nbsp;&nbsp;&nbsp; 2324449 |
| &nbsp;&nbsp;&nbsp;Series 2020-86, Class ZP, 2.50%, 12/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1366 | &nbsp;&nbsp;&nbsp;&nbsp; 791452 |
| &nbsp;&nbsp;&nbsp;Series 2020-95, Class BZ, 2.50%, 1/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;313 | &nbsp;&nbsp;&nbsp;&nbsp; 176950 |
| &nbsp;&nbsp;&nbsp;Series 2020-95, Class ZT, 2.00%, 1/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3434 | &nbsp;&nbsp;&nbsp;&nbsp; 1919198 |
| &nbsp;&nbsp;&nbsp;Series 2020-96, Class DZ, 2.50%, 1/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8162 | &nbsp;&nbsp;&nbsp;&nbsp; 5189618 |
| &nbsp;&nbsp;&nbsp;Series 2020-96, Class EZ, 2.50%, 1/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;644 | &nbsp;&nbsp;&nbsp;&nbsp; 372825 |
| &nbsp;&nbsp;&nbsp;Series 2020-96, Class KZ, 2.50%, 1/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;307 | &nbsp;&nbsp;&nbsp;&nbsp; 176991 |
| &nbsp;&nbsp;&nbsp;Series 2021-3, Class ZH, 2.50%, 2/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1672 | &nbsp;&nbsp;&nbsp;&nbsp; 1000929 |
| &nbsp;&nbsp;&nbsp;Series 2021-8, Class NZ, 2.50%, 3/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1041 | &nbsp;&nbsp;&nbsp;&nbsp; 622696 |
| &nbsp;&nbsp;&nbsp;Series 2021-11, Class KZ, 3.00%, 6/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;538 | &nbsp;&nbsp;&nbsp;&nbsp; 379245 |
| &nbsp;&nbsp;&nbsp;Series 2021-14, Class GZ, 2.50%, 3/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;673 | &nbsp;&nbsp;&nbsp;&nbsp; 389418 |
| &nbsp;&nbsp;&nbsp;Series 2021-22, Class MZ, 3.00%, 4/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2215 | &nbsp;&nbsp;&nbsp;&nbsp; 1571704 |
| &nbsp;&nbsp;&nbsp;Series 2021-42, Class ZA, 3.00%, 2/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4692 | &nbsp;&nbsp;&nbsp;&nbsp; 3346687 |
| &nbsp;&nbsp;&nbsp;Series 2021-42, Class ZD, 3.00%, 11/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5808 | &nbsp;&nbsp;&nbsp;&nbsp; 4154231 |
| &nbsp;&nbsp;&nbsp;Series 2021-45, Class DZ, 3.00%, 7/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;370 | &nbsp;&nbsp;&nbsp;&nbsp; 246928 |
| &nbsp;&nbsp;&nbsp;Series 2021-51, Class EZ, 2.50%, 8/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1206 | &nbsp;&nbsp;&nbsp;&nbsp; 736246 |
| &nbsp;&nbsp;&nbsp;Series 2021-52, Class JZ, 2.50%, 8/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14778 | &nbsp;&nbsp;&nbsp;&nbsp; 9685870 |
| &nbsp;&nbsp;&nbsp;Series 2021-54, Class HZ, 2.50%, 6/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7454 | &nbsp;&nbsp;&nbsp;&nbsp; 4771879 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Federal National Mortgage Association: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-54, Class ZJ, 2.50%, 8/25/51 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22247 | &nbsp;&nbsp;$14643609 |
| &nbsp;&nbsp;&nbsp;Series 2021-55, Class ZN, 2.50%, 8/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;348 | &nbsp;&nbsp;&nbsp;&nbsp; 208748 |
| &nbsp;&nbsp;&nbsp;Series 2021-56, Class HZ, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30847 | &nbsp;&nbsp;&nbsp;&nbsp; 20759464 |
| &nbsp;&nbsp;&nbsp;Series 2021-56, Class LZ, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14044 | &nbsp;&nbsp;&nbsp;&nbsp; 9587458 |
| &nbsp;&nbsp;&nbsp;Series 2021-56, Class YZ, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33429 | &nbsp;&nbsp;&nbsp;&nbsp; 21309183 |
| &nbsp;&nbsp;&nbsp;Series 2021-57, Class ZW, 2.50%, 7/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18676 | &nbsp;&nbsp;&nbsp;&nbsp; 11999361 |
| &nbsp;&nbsp;&nbsp;Series 2021-59, Class EZ, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1435 | &nbsp;&nbsp;&nbsp;&nbsp; 885597 |
| &nbsp;&nbsp;&nbsp;Series 2021-61, Class Z, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12759 | &nbsp;&nbsp;&nbsp;&nbsp; 8528876 |
| &nbsp;&nbsp;&nbsp;Series 2021-63, Class QZ, 2.50%, 6/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9545 | &nbsp;&nbsp;&nbsp;&nbsp; 6053763 |
| &nbsp;&nbsp;&nbsp;Series 2021-64, Class ZJ, 2.50%, 10/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17299 | &nbsp;&nbsp;&nbsp;&nbsp; 11193053 |
| &nbsp;&nbsp;&nbsp;Series 2021-66, Class JZ, 2.50%, 10/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12844 | &nbsp;&nbsp;&nbsp;&nbsp; 8377169 |
| &nbsp;&nbsp;&nbsp;Series 2021-69, Class JZ, 2.50%, 10/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13465 | &nbsp;&nbsp;&nbsp;&nbsp; 8958339 |
| &nbsp;&nbsp;&nbsp;Series 2021-77, Class WZ, 3.00%, 8/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1820 | &nbsp;&nbsp;&nbsp;&nbsp; 1235755 |
| &nbsp;&nbsp;&nbsp;Series 2021-77, Class Z, 3.00%, 5/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15339 | &nbsp;&nbsp;&nbsp;&nbsp; 10667256 |
| &nbsp;&nbsp;&nbsp;Series 2021-79, Class Z, 3.00%, 11/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16782 | &nbsp;&nbsp;&nbsp;&nbsp; 12125158 |
| &nbsp;&nbsp;&nbsp;Series 2021-95, Class ZC, 3.00%, 8/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4403 | &nbsp;&nbsp;&nbsp;&nbsp; 3173133 |
| &nbsp;&nbsp;&nbsp;Series 2022-2, Class ZN, 3.00%, 2/25/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11433 | &nbsp;&nbsp;&nbsp;&nbsp; 8321328 |
| Interest Only:<sup>(3)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 296, Class 2, 8.00%, 4/25/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;Series 424, Class C8, 3.50%, 2/25/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4008 | &nbsp;&nbsp;&nbsp;&nbsp; 709412 |
| &nbsp;&nbsp;&nbsp;Series 2004-60, Class SW, 2.544%, (7.05% - 1 mo. USD LIBOR), 4/25/34<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;844 | &nbsp;&nbsp;&nbsp;&nbsp; 31819 |
| &nbsp;&nbsp;&nbsp;Series 2005-68, Class XI, 6.00%, 8/25/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1258 | &nbsp;&nbsp;&nbsp;&nbsp; 248879 |
| &nbsp;&nbsp;&nbsp;Series 2006-65, Class PS, 2.714%, (7.22% - 1 mo. USD LIBOR), 7/25/36<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;766 | &nbsp;&nbsp;&nbsp;&nbsp; 104067 |
| &nbsp;&nbsp;&nbsp;Series 2007-99, Class SD, 1.894%, (6.40% - 1 mo. USD LIBOR), 10/25/37<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1185 | &nbsp;&nbsp;&nbsp;&nbsp; 128183 |
| &nbsp;&nbsp;&nbsp;Series 2007-102, Class ST, 1.934%, (6.44% - 1 mo. USD LIBOR), 11/25/37<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;597 | &nbsp;&nbsp;&nbsp;&nbsp; 54722 |
| &nbsp;&nbsp;&nbsp;Series 2011-59, Class IW, 6.00%, 7/25/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;850 | &nbsp;&nbsp;&nbsp;&nbsp; 162875 |
| &nbsp;&nbsp;&nbsp;Series 2011-101, Class IC, 3.50%, 10/25/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1049 | &nbsp;&nbsp;&nbsp;&nbsp; 38285 |
| &nbsp;&nbsp;&nbsp;Series 2012-147, Class SA, 1.594%, (6.10% - 1 mo. USD LIBOR), 1/25/43<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;797 | &nbsp;&nbsp;&nbsp;&nbsp; 85085 |
| &nbsp;&nbsp;&nbsp;Series 2014-41, Class SA, 1.544%, (6.05% - 1 mo. USD LIBOR), 7/25/44<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;775 | &nbsp;&nbsp;&nbsp;&nbsp; 118568 |
| &nbsp;&nbsp;&nbsp;Series 2014-55, Class IL, 3.50%, 9/25/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;648 | &nbsp;&nbsp;&nbsp;&nbsp; 137208 |
| &nbsp;&nbsp;&nbsp;Series 2014-55, Class IN, 3.50%, 7/25/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;672 | &nbsp;&nbsp;&nbsp;&nbsp; 134564 |
| &nbsp;&nbsp;&nbsp;Series 2014-89, Class IO, 3.50%, 1/25/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1036 | &nbsp;&nbsp;&nbsp;&nbsp; 230251 |
| &nbsp;&nbsp;&nbsp;Series 2015-22, Class GI, 3.50%, 4/25/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;308 | &nbsp;&nbsp;&nbsp;&nbsp; 58396 |
| &nbsp;&nbsp;&nbsp;Series 2015-31, Class SG, 1.594%, (6.10% - 1 mo. USD LIBOR), 5/25/45<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;838 | &nbsp;&nbsp;&nbsp;&nbsp; 169284 |
| &nbsp;&nbsp;&nbsp;Series 2015-36, Class IL, 3.00%, 6/25/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;858 | &nbsp;&nbsp;&nbsp;&nbsp; 126316 |
| &nbsp;&nbsp;&nbsp;Series 2016-61, Class DI, 3.00%, 4/25/46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;717 | &nbsp;&nbsp;&nbsp;&nbsp; 70970 |
| &nbsp;&nbsp;&nbsp;Series 2018-21, Class IO, 3.00%, 4/25/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4352 | &nbsp;&nbsp;&nbsp;&nbsp; 776960 |
| &nbsp;&nbsp;&nbsp;Series 2018-42, Class IA, 3.50%, 6/25/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1105 | &nbsp;&nbsp;&nbsp;&nbsp; 182433 |
| &nbsp;&nbsp;&nbsp;Series 2019-1, Class SA, 0.894%, (5.40% - 1 mo. USD LIBOR), 2/25/49<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4744 | &nbsp;&nbsp;&nbsp;&nbsp; 228941 |

---

------

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Interest Only: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-23, Class SP, 1.544%, (6.05% - 1 mo. USD LIBOR), 2/25/50<sup>(2)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12876 | &nbsp;&nbsp;$1609148 |
| &nbsp;&nbsp;&nbsp;Series 2020-45, Class HI, 2.50%, 7/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7028 | &nbsp;&nbsp;&nbsp;&nbsp; 1004312 |
| &nbsp;&nbsp;&nbsp;Series 2020-62, Class DI, 2.00%, 9/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38160 | &nbsp;&nbsp;&nbsp;&nbsp; 4653467 |
| &nbsp;&nbsp;&nbsp;Series 2020-72, Class DI, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24529 | &nbsp;&nbsp;&nbsp;&nbsp; 2967800 |
| &nbsp;&nbsp;&nbsp;Series 2020-72, Class IA, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25593 | &nbsp;&nbsp;&nbsp;&nbsp; 3146512 |
| &nbsp;&nbsp;&nbsp;Series 2020-73, Class NI, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40914 | &nbsp;&nbsp;&nbsp;&nbsp; 5080226 |
| &nbsp;&nbsp;&nbsp;Series 2020-89, Class PI, 2.50%, 12/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13857 | &nbsp;&nbsp;&nbsp;&nbsp; 2048101 |
| &nbsp;&nbsp;&nbsp;Series 2020-94, Class DI, 2.00%, 1/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15627 | &nbsp;&nbsp;&nbsp;&nbsp; 2034234 |
| &nbsp;&nbsp;&nbsp;Series 2021-3, Class KI, 2.50%, 2/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29719 | &nbsp;&nbsp;&nbsp;&nbsp; 4159612 |
| &nbsp;&nbsp;&nbsp;Series 2021-3, Class LI, 2.50%, 2/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27934 | &nbsp;&nbsp;&nbsp;&nbsp; 3857692 |
| &nbsp;&nbsp;&nbsp;Series 2021-10, Class EI, 2.00%, 3/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12346 | &nbsp;&nbsp;&nbsp;&nbsp; 1646792 |
| &nbsp;&nbsp;&nbsp;Series 2021-34, Class QI, 3.00%, 6/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42137 | &nbsp;&nbsp;&nbsp;&nbsp; 6671814 |
| &nbsp;&nbsp;&nbsp;Series 2021-73, Class AI, 2.50%, 6/25/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8342 | &nbsp;&nbsp;&nbsp;&nbsp; 875047 |
| &nbsp;&nbsp;&nbsp;Series 2021-94, Class CI, 3.00%, 1/25/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11851 | &nbsp;&nbsp;&nbsp;&nbsp; 1922719 |
| &nbsp;&nbsp;&nbsp;Series 2022-6, Class IO, 2.50%, 7/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32398 | &nbsp;&nbsp;&nbsp;&nbsp; 4942254 |
| Principal Only:<sup>(4)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 379, Class 1, 0.00%, 5/25/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1129 | &nbsp;&nbsp;&nbsp;&nbsp; 903219 |
| &nbsp;&nbsp;&nbsp;Series 380, Class 1, 0.00%, 7/25/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;273 | &nbsp;&nbsp;&nbsp;&nbsp; 227285 |
| &nbsp;&nbsp;&nbsp;Series 2007-17, Class PO, 0.00%, 3/25/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;192 | &nbsp;&nbsp;&nbsp;&nbsp; 152991 |
| &nbsp;&nbsp;&nbsp;Series 2009-82, Class PO, 0.00%, 10/25/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;548 | &nbsp;&nbsp;&nbsp;&nbsp; 436944 |
| &nbsp;&nbsp;&nbsp;Series 2012-5, Class PO, 0.00%, 12/25/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 | &nbsp;&nbsp;&nbsp;&nbsp; 287399 |
| &nbsp;&nbsp;&nbsp;Series 2012-61, Class PO, 0.00%, 8/25/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1642 | &nbsp;&nbsp;&nbsp;&nbsp; 1326549 |
| &nbsp;&nbsp;&nbsp;Series 2014-9, Class DO, 0.00%, 2/25/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7385 | &nbsp;&nbsp;&nbsp;&nbsp; 5524363 |
| &nbsp;&nbsp;&nbsp;Series 2014-17, Class PO, 0.00%, 4/25/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1149 | &nbsp;&nbsp;&nbsp;&nbsp; 848749 |
| Government National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2012-77, Class MT, 4.849%, (1 mo. USD LIBOR + 0.39%), 5/16/41<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;405 | &nbsp;&nbsp;&nbsp;&nbsp; 388259 |
| &nbsp;&nbsp;&nbsp;Series 2014-H20, Class MF, 4.267%, (1 mo. USD LIBOR + 0.65%), 10/20/64<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5728 | &nbsp;&nbsp;&nbsp;&nbsp; 5704139 |
| &nbsp;&nbsp;&nbsp;Series 2015-144, Class KB, 3.00%, 8/20/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;503 | &nbsp;&nbsp;&nbsp;&nbsp; 415251 |
| &nbsp;&nbsp;&nbsp;Series 2015-H03, Class FD, 3.228%, (1 mo. USD LIBOR + 0.64%), 1/20/65<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18291 | &nbsp;&nbsp;&nbsp;&nbsp; 18174379 |
| &nbsp;&nbsp;&nbsp;Series 2015-H05, Class FB, 2.625%, (1 mo. USD LIBOR + 0.64%), 2/20/65<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18800 | &nbsp;&nbsp;&nbsp;&nbsp; 18667496 |
| &nbsp;&nbsp;&nbsp;Series 2016-168, Class JF, 5.369%, (1 mo. USD LIBOR + 1.00%), 11/20/46<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;128 | &nbsp;&nbsp;&nbsp;&nbsp; 120823 |
| &nbsp;&nbsp;&nbsp;Series 2017-121, Class DF, 4.986%, (1 mo. USD LIBOR + 0.50%), 8/20/47<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3441 | &nbsp;&nbsp;&nbsp;&nbsp; 3374067 |
| &nbsp;&nbsp;&nbsp;Series 2017-137, Class AF, 4.986%, (1 mo. USD LIBOR + 0.50%), 9/20/47<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1542 | &nbsp;&nbsp;&nbsp;&nbsp; 1511568 |
| &nbsp;&nbsp;&nbsp;Series 2018-H18, Class FG, 3.683%, (1 mo. USD LIBOR + 0.60%), 10/20/68<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32102 | &nbsp;&nbsp;&nbsp;&nbsp; 31689461 |
| &nbsp;&nbsp;&nbsp;Series 2018-H20, Class FA, 3.652%, (1 mo. USD LIBOR + 0.60%), 12/20/68<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50984 | &nbsp;&nbsp;&nbsp;&nbsp; 50200729 |
| &nbsp;&nbsp;&nbsp;Series 2019-H02, Class FE, 4.176%, (1 mo. USD LIBOR + 0.55%), 1/20/69<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19749 | &nbsp;&nbsp;&nbsp;&nbsp; 19640609 |
| &nbsp;&nbsp;&nbsp;Series 2020-76, Class ZL, 2.75%, 5/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;305 | &nbsp;&nbsp;&nbsp;&nbsp; 287382 |
| &nbsp;&nbsp;&nbsp;Series 2021-1, Class ZD, 3.00%, 1/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1551 | &nbsp;&nbsp;&nbsp;&nbsp; 1356362 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Government National Mortgage Association: <br> (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-8, Class ZG, 2.50%, 1/20/51 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3180 | &nbsp;&nbsp;$2454112 |
| &nbsp;&nbsp;&nbsp;Series 2021-24, Class EZ, 2.50%, 1/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3452 | &nbsp;&nbsp;&nbsp;&nbsp; 2513860 |
| &nbsp;&nbsp;&nbsp;Series 2021-24, Class KZ, 2.50%, 2/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3530 | &nbsp;&nbsp;&nbsp;&nbsp; 2782753 |
| &nbsp;&nbsp;&nbsp;Series 2021-25, Class JZ, 2.50%, 2/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1965 | &nbsp;&nbsp;&nbsp;&nbsp; 1369997 |
| &nbsp;&nbsp;&nbsp;Series 2021-49, Class VZ, 2.50%, 3/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 | &nbsp;&nbsp;&nbsp;&nbsp; 11282 |
| &nbsp;&nbsp;&nbsp;Series 2021-77, Class ZG, 3.00%, 7/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;347 | &nbsp;&nbsp;&nbsp;&nbsp; 233576 |
| &nbsp;&nbsp;&nbsp;Series 2021-86, Class ZJ, 1.50%, 5/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;281 | &nbsp;&nbsp;&nbsp;&nbsp; 147580 |
| &nbsp;&nbsp;&nbsp;Series 2021-97, Class MZ, 3.00%, 8/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5660 | &nbsp;&nbsp;&nbsp;&nbsp; 4048856 |
| &nbsp;&nbsp;&nbsp;Series 2021-97, Class ZC, 3.00%, 8/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7255 | &nbsp;&nbsp;&nbsp;&nbsp; 5229473 |
| &nbsp;&nbsp;&nbsp;Series 2021-105, Class MZ, 3.00%, 6/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4629 | &nbsp;&nbsp;&nbsp;&nbsp; 3288572 |
| &nbsp;&nbsp;&nbsp;Series 2021-105, Class ZH, 1.50%, 6/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1470 | &nbsp;&nbsp;&nbsp;&nbsp; 1072576 |
| &nbsp;&nbsp;&nbsp;Series 2021-107, Class GZ, 3.00%, 6/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2357 | &nbsp;&nbsp;&nbsp;&nbsp; 1694494 |
| &nbsp;&nbsp;&nbsp;Series 2021-114, Class JZ, 3.00%, 6/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2021 | &nbsp;&nbsp;&nbsp;&nbsp; 1401143 |
| &nbsp;&nbsp;&nbsp;Series 2021-118, Class EZ, 2.50%, 7/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6952 | &nbsp;&nbsp;&nbsp;&nbsp; 5358679 |
| &nbsp;&nbsp;&nbsp;Series 2021-118, Class JZ, 2.50%, 7/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19690 | &nbsp;&nbsp;&nbsp;&nbsp; 15042908 |
| &nbsp;&nbsp;&nbsp;Series 2021-121, Class ZE, 2.50%, 7/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;124 | &nbsp;&nbsp;&nbsp;&nbsp; 75262 |
| &nbsp;&nbsp;&nbsp;Series 2021-122, Class ZL, 2.50%, 7/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11267 | &nbsp;&nbsp;&nbsp;&nbsp; 8700394 |
| &nbsp;&nbsp;&nbsp;Series 2021-131, Class ZN, 3.00%, 7/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2546 | &nbsp;&nbsp;&nbsp;&nbsp; 1850992 |
| &nbsp;&nbsp;&nbsp;Series 2021-136, Class WZ, 3.00%, 8/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5963 | &nbsp;&nbsp;&nbsp;&nbsp; 4260203 |
| &nbsp;&nbsp;&nbsp;Series 2021-136, Class Z, 2.50%, 8/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10595 | &nbsp;&nbsp;&nbsp;&nbsp; 8103976 |
| &nbsp;&nbsp;&nbsp;Series 2021-137, Class GZ, 2.50%, 8/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1221 | &nbsp;&nbsp;&nbsp;&nbsp; 1014690 |
| &nbsp;&nbsp;&nbsp;Series 2021-138, Class Z, 2.50%, 8/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11284 | &nbsp;&nbsp;&nbsp;&nbsp; 8788104 |
| &nbsp;&nbsp;&nbsp;Series 2021-139, Class UZ, 3.00%, 8/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8565 | &nbsp;&nbsp;&nbsp;&nbsp; 6084122 |
| &nbsp;&nbsp;&nbsp;Series 2021-154, Class ZC, 2.50%, 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6090 | &nbsp;&nbsp;&nbsp;&nbsp; 4710265 |
| &nbsp;&nbsp;&nbsp;Series 2021-154, Class ZL, 3.00%, 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8068 | &nbsp;&nbsp;&nbsp;&nbsp; 5448649 |
| &nbsp;&nbsp;&nbsp;Series 2021-156, Class ZQ, 2.50%, 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4834 | &nbsp;&nbsp;&nbsp;&nbsp; 3756118 |
| &nbsp;&nbsp;&nbsp;Series 2021-159, Class ZJ, 2.50%, 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8085 | &nbsp;&nbsp;&nbsp;&nbsp; 6320128 |
| &nbsp;&nbsp;&nbsp;Series 2021-159, Class ZP, 2.00%, 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7515 | &nbsp;&nbsp;&nbsp;&nbsp; 5642780 |
| &nbsp;&nbsp;&nbsp;Series 2021-160, Class NZ, 3.00%, 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2517 | &nbsp;&nbsp;&nbsp;&nbsp; 1722349 |
| &nbsp;&nbsp;&nbsp;Series 2021-172, Class ZA, 3.00%, 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1565 | &nbsp;&nbsp;&nbsp;&nbsp; 1113982 |
| &nbsp;&nbsp;&nbsp;Series 2021-177, Class JZ, 3.00%, 10/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4764 | &nbsp;&nbsp;&nbsp;&nbsp; 3553268 |
| &nbsp;&nbsp;&nbsp;Series 2021-182, Class KZ, 3.00%, 10/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1301 | &nbsp;&nbsp;&nbsp;&nbsp; 889618 |
| &nbsp;&nbsp;&nbsp;Series 2021-194, Class HZ, 3.00%, 11/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9111 | &nbsp;&nbsp;&nbsp;&nbsp; 7124853 |
| &nbsp;&nbsp;&nbsp;Series 2021-199, Class ZM, 3.00%, 11/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3733 | &nbsp;&nbsp;&nbsp;&nbsp; 2604085 |
| &nbsp;&nbsp;&nbsp;Series 2021-213, Class NZ, 3.00%, 12/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7478 | &nbsp;&nbsp;&nbsp;&nbsp; 5721823 |
| &nbsp;&nbsp;&nbsp;Series 2021-214, Class LZ, 3.00%, 12/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10181 | &nbsp;&nbsp;&nbsp;&nbsp; 7889892 |
| &nbsp;&nbsp;&nbsp;Series 2021-228, Class JZ, 3.00%, 12/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7525 | &nbsp;&nbsp;&nbsp;&nbsp; 5476751 |
| &nbsp;&nbsp;&nbsp;Series 2022-31, Class ZD, 3.00%, 2/20/52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;776 | &nbsp;&nbsp;&nbsp;&nbsp; 528254 |
| &nbsp;&nbsp;&nbsp;Series 2022-189, Class US, 6.931%, (22.73% - 30-day average SOFR x 3.667), 11/20/52<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12947 | &nbsp;&nbsp;&nbsp;&nbsp; 13788291 |
| &nbsp;&nbsp;&nbsp;Series 2022-195, Class AS, 7.179%, (23.13% - 30-day average SOFR x 3.667), 11/20/52<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3743 | &nbsp;&nbsp;&nbsp;&nbsp; 4246199 |
| &nbsp;&nbsp;&nbsp;Series 2022-208, Class YF, 5.31%, (30-day average SOFR + 1.00%), 12/20/52<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49910 | &nbsp;&nbsp;&nbsp;&nbsp; 50150396 |
| &nbsp;&nbsp;&nbsp;Series 2022-211, Class HF, 5.31%, (30-day average SOFR + 1.00%), 12/20/52<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;199640 | &nbsp;&nbsp;&nbsp;&nbsp; 199870055 |

---

------

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Interest Only:<sup>(3)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 2014-98, Class IM, 0.00%, 1/20/43<sup>(6)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5463 | &nbsp;&nbsp;$118494 |
| &nbsp;&nbsp;&nbsp;Series 2015-151, Class KI, 0.00%, 11/20/42<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6689 | &nbsp;&nbsp;&nbsp;&nbsp; 152464 |
| &nbsp;&nbsp;&nbsp;Series 2017-104, Class SD, 1.714%, (6.20% - 1 mo. USD LIBOR), 7/20/47<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2458 | &nbsp;&nbsp;&nbsp;&nbsp; 275737 |
| &nbsp;&nbsp;&nbsp;Series 2017-121, Class DS, 0.014%, (4.50% - 1 mo. USD LIBOR), 8/20/47<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2799 | &nbsp;&nbsp;&nbsp;&nbsp; 128626 |
| &nbsp;&nbsp;&nbsp;Series 2018-127, Class SG, 1.764%, (6.25% - 1 mo. USD LIBOR), 9/20/48<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6844 | &nbsp;&nbsp;&nbsp;&nbsp; 646478 |
| &nbsp;&nbsp;&nbsp;Series 2019-27, Class SA, 1.564%, (6.05% - 1 mo. USD LIBOR), 2/20/49<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2364 | &nbsp;&nbsp;&nbsp;&nbsp; 249378 |
| &nbsp;&nbsp;&nbsp;Series 2019-38, Class SQ, 1.564%, (6.05% - 1 mo. USD LIBOR), 3/20/49<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6784 | &nbsp;&nbsp;&nbsp;&nbsp; 697215 |
| &nbsp;&nbsp;&nbsp;Series 2019-43, Class BS, 1.564%, (6.05% - 1 mo. USD LIBOR), 4/20/49<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3816 | &nbsp;&nbsp;&nbsp;&nbsp; 409080 |
| &nbsp;&nbsp;&nbsp;Series 2020-97, Class MI, 2.50%, 3/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5770 | &nbsp;&nbsp;&nbsp;&nbsp; 718497 |
| &nbsp;&nbsp;&nbsp;Series 2020-116, Class MI, 2.00%, 8/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;529 | &nbsp;&nbsp;&nbsp;&nbsp; 69397 |
| &nbsp;&nbsp;&nbsp;Series 2020-134, Class IM, 2.50%, 9/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15402 | &nbsp;&nbsp;&nbsp;&nbsp; 2009335 |
| &nbsp;&nbsp;&nbsp;Series 2020-146, Class IQ, 2.00%, 10/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;144865 | &nbsp;&nbsp;&nbsp;&nbsp; 16234586 |
| &nbsp;&nbsp;&nbsp;Series 2020-146, Class QI, 2.00%, 10/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43372 | &nbsp;&nbsp;&nbsp;&nbsp; 4756438 |
| &nbsp;&nbsp;&nbsp;Series 2020-151, Class AI, 2.00%, 10/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89933 | &nbsp;&nbsp;&nbsp;&nbsp; 11097048 |
| &nbsp;&nbsp;&nbsp;Series 2020-162, Class BI, 2.00%, 10/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20379 | &nbsp;&nbsp;&nbsp;&nbsp; 2481848 |
| &nbsp;&nbsp;&nbsp;Series 2020-167, Class KI, 2.00%, 11/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88942 | &nbsp;&nbsp;&nbsp;&nbsp; 9946981 |
| &nbsp;&nbsp;&nbsp;Series 2020-167, Class YI, 2.00%, 11/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;108165 | &nbsp;&nbsp;&nbsp;&nbsp; 12563315 |
| &nbsp;&nbsp;&nbsp;Series 2020-173, Class DI, 2.00%, 11/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88886 | &nbsp;&nbsp;&nbsp;&nbsp; 10804795 |
| &nbsp;&nbsp;&nbsp;Series 2020-176, Class AI, 2.00%, 11/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30038 | &nbsp;&nbsp;&nbsp;&nbsp; 3452810 |
| &nbsp;&nbsp;&nbsp;Series 2020-176, Class HI, 2.50%, 11/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20778 | &nbsp;&nbsp;&nbsp;&nbsp; 2718119 |
| &nbsp;&nbsp;&nbsp;Series 2020-181, Class TI, 2.00%, 12/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;87424 | &nbsp;&nbsp;&nbsp;&nbsp; 10186894 |
| &nbsp;&nbsp;&nbsp;Series 2020-185, Class BI, 2.00%, 12/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17512 | &nbsp;&nbsp;&nbsp;&nbsp; 2045204 |
| &nbsp;&nbsp;&nbsp;Series 2021-9, Class GI, 2.00%, 1/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42960 | &nbsp;&nbsp;&nbsp;&nbsp; 5067358 |
| &nbsp;&nbsp;&nbsp;Series 2021-15, Class AI, 2.00%, 1/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23439 | &nbsp;&nbsp;&nbsp;&nbsp; 2875792 |
| &nbsp;&nbsp;&nbsp;Series 2021-23, Class TI, 2.50%, 2/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12220 | &nbsp;&nbsp;&nbsp;&nbsp; 1568685 |
| &nbsp;&nbsp;&nbsp;Series 2021-30, Class AI, 2.00%, 2/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9895 | &nbsp;&nbsp;&nbsp;&nbsp; 1206699 |
| &nbsp;&nbsp;&nbsp;Series 2021-46, Class IM, 2.50%, 3/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4898 | &nbsp;&nbsp;&nbsp;&nbsp; 626992 |
| &nbsp;&nbsp;&nbsp;Series 2021-56, Class SD, 0.00%, (2.30% - 30-day average SOFR), 9/20/50<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15545 | &nbsp;&nbsp;&nbsp;&nbsp; 205947 |
| &nbsp;&nbsp;&nbsp;Series 2021-56, Class SE, 0.00%, (2.30% - 30-day average SOFR), 10/20/50<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5717 | &nbsp;&nbsp;&nbsp;&nbsp; 76702 |
| &nbsp;&nbsp;&nbsp;Series 2021-77, Class SB, 0.00%, (3.75% - 1 mo. USD LIBOR), 5/20/51<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17628 | &nbsp;&nbsp;&nbsp;&nbsp; 685436 |
| &nbsp;&nbsp;&nbsp;Series 2021-77, Class SE, 0.00%, (3.75% - 1 mo. USD LIBOR), 5/20/51<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10747 | &nbsp;&nbsp;&nbsp;&nbsp; 418035 |
| &nbsp;&nbsp;&nbsp;Series 2021-97, Class IG, 2.50%, 8/20/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;81407 | &nbsp;&nbsp;&nbsp;&nbsp; 8843208 |
| &nbsp;&nbsp;&nbsp;Series 2021-97, Class QI, 3.00%, 6/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18130 | &nbsp;&nbsp;&nbsp;&nbsp; 2610726 |
| &nbsp;&nbsp;&nbsp;Series 2021-98, Class EI, 3.00%, 6/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35781 | &nbsp;&nbsp;&nbsp;&nbsp; 4866414 |
| &nbsp;&nbsp;&nbsp;Series 2021-114, Class MI, 3.00%, 6/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13251 | &nbsp;&nbsp;&nbsp;&nbsp; 1902528 |
| &nbsp;&nbsp;&nbsp;Series 2021-122, Class NI, 3.00%, 7/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9085 | &nbsp;&nbsp;&nbsp;&nbsp; 1308152 |
| &nbsp;&nbsp;&nbsp;Series 2021-125, Class SA, 0.00%, (3.75% - 1 mo. USD LIBOR), 7/20/51<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20680 | &nbsp;&nbsp;&nbsp;&nbsp; 732488 |
| &nbsp;&nbsp;&nbsp;Series 2021-131, Class QI, 3.00%, 7/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35156 | &nbsp;&nbsp;&nbsp;&nbsp; 4061645 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Interest Only: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-140, Class YS, 0.00%, (1.70% - 1 mo. USD LIBOR), 8/20/51<sup>(2)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22661 | &nbsp;&nbsp;$166278 |
| &nbsp;&nbsp;&nbsp;Series 2021-160, Class DI, 3.00%, 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30354 | &nbsp;&nbsp;&nbsp;&nbsp; 4613544 |
| &nbsp;&nbsp;&nbsp;Series 2021-160, Class IT, 2.50%, 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44515 | &nbsp;&nbsp;&nbsp;&nbsp; 4921034 |
| &nbsp;&nbsp;&nbsp;Series 2021-175, Class AS, 0.00%, (1.80% - 1 mo. USD LIBOR), 10/20/51<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45847 | &nbsp;&nbsp;&nbsp;&nbsp; 360793 |
| &nbsp;&nbsp;&nbsp;Series 2021-175, Class DZ, 3.00%, 10/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2057 | &nbsp;&nbsp;&nbsp;&nbsp; 1406506 |
| &nbsp;&nbsp;&nbsp;Series 2021-175, Class SB, 0.00%, (1.80% - 1 mo. USD LIBOR), 10/20/51<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22961 | &nbsp;&nbsp;&nbsp;&nbsp; 184855 |
| &nbsp;&nbsp;&nbsp;Series 2021-193, Class IU, 3.00%, 11/20/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71918 | &nbsp;&nbsp;&nbsp;&nbsp; 8886348 |
| &nbsp;&nbsp;&nbsp;Series 2021-193, Class YS, 0.00%, (2.45% - 30-day average SOFR), 11/20/51<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53941 | &nbsp;&nbsp;&nbsp;&nbsp; 735446 |
| &nbsp;&nbsp;&nbsp;Series 2021-196, Class GI, 3.00%, 11/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33965 | &nbsp;&nbsp;&nbsp;&nbsp; 4836280 |
| &nbsp;&nbsp;&nbsp;Series 2021-201, Class PI, 3.00%, 11/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30121 | &nbsp;&nbsp;&nbsp;&nbsp; 3123736 |
| &nbsp;&nbsp;&nbsp;Series 2021-209, Class IW, 3.00%, 11/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18919 | &nbsp;&nbsp;&nbsp;&nbsp; 2233015 |
| &nbsp;&nbsp;&nbsp;Series 2022-104, Class IO, 2.50%, 6/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28241 | &nbsp;&nbsp;&nbsp;&nbsp; 3604825 |
| &nbsp;&nbsp;&nbsp;Series 2022-119, Class CS, 0.00%, (3.00% - 30-day average SOFR), 7/20/52<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;221563 | &nbsp;&nbsp;&nbsp;&nbsp; 1997150 |
| &nbsp;&nbsp;&nbsp;Series 2022-119, Class SC, 0.00%, (3.00% - 30-day average SOFR), 7/20/52<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24618 | &nbsp;&nbsp;&nbsp;&nbsp; 221906 |
| &nbsp;&nbsp;&nbsp;Series 2022-126, Class AS, 0.298%, (3.69% - 30-day average SOFR), 7/20/52<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66070 | &nbsp;&nbsp;&nbsp;&nbsp; 1090753 |
| &nbsp;&nbsp;&nbsp;Series 2022-126, Class SC, 0.339%, (3.73% - 30-day average SOFR), 7/20/52<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49236 | &nbsp;&nbsp;&nbsp;&nbsp; 835776 |
| &nbsp;&nbsp;&nbsp;Series 2022-135, Class SA, 0.00%, (3.00% - 30-day average SOFR), 6/20/52<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;137330 | &nbsp;&nbsp;&nbsp;&nbsp; 1273847 |
| &nbsp;&nbsp;&nbsp;Series 2023-13, Class SA, 1.121%, (5.40% - 30-day average SOFR), 1/20/53<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp; 546860 |
| Principal Only:<sup>(4)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 2009-117, Class PO, 0.00%, 12/16/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;823 | &nbsp;&nbsp;&nbsp;&nbsp; 643609 |
| &nbsp;&nbsp;&nbsp;Series 2010-88, Class OA, 0.00%, 7/20/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;541 | &nbsp;&nbsp;&nbsp;&nbsp; 413256 |
| &nbsp;&nbsp;&nbsp;Series 2015-24, Class KO, 0.00%, 6/20/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;669 | &nbsp;&nbsp;&nbsp;&nbsp; 586105 |
| Total Collateralized Mortgage Obligations<br> (identified cost $1,826,694,758) |  | &nbsp;&nbsp;**$1488834179** |

---

U.S. Government Agency Commercial Mortgage-Backed Securities — 0.3%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| FRESB Mortgage Trust: |  |  |
| Interest Only:<sup>(3)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-SB91, Class X1, 0.573%, 8/25/41<sup>(6)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46501 | &nbsp;&nbsp;$1637112 |
| &nbsp;&nbsp;&nbsp;Series 2021-SB92, Class X1, 0.58%, 8/25/41<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24175 | &nbsp;&nbsp;&nbsp;&nbsp; 654333 |
| Government National Mortgage Association: |  |  |
| Interest Only:<sup>(3)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-101, Class IO, 0.679%, 4/16/63<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55119 | &nbsp;&nbsp;&nbsp;&nbsp; 3180338 |
| &nbsp;&nbsp;&nbsp;Series 2021-132, Class IO, 0.727%, 4/16/63<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59047 | &nbsp;&nbsp;&nbsp;&nbsp; 3545682 |
| &nbsp;&nbsp;&nbsp;Series 2021-144, Class IO, 0.825%, 4/16/63<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52341 | &nbsp;&nbsp;&nbsp;&nbsp; 3456470 |

---

------

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Interest Only: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-186, Class IO, 0.765%, 5/16/63<sup>(6)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48337 | &nbsp;&nbsp;$2999896 |
| &nbsp;&nbsp;&nbsp;Series 2022-3, Class IO, 0.64%, 2/16/61<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68722 | &nbsp;&nbsp;&nbsp;&nbsp; 3534912 |
| Total U.S. Government Agency Commercial Mortgage-Backed Securities<br> (identified cost $23,527,743) |  | &nbsp;&nbsp;**$19008743** |

---

U.S. Government Agency Mortgage-Backed Securities — 85.4%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Federal Home Loan Mortgage Corp.: |  |  |
| &nbsp;&nbsp;&nbsp;2.749%, (1 yr. CMT + 1.98%), with maturity at 2034<sup>(7)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;511 | &nbsp;&nbsp;$516351 |
| &nbsp;&nbsp;&nbsp;2.98%, (COF + 2.27%), with maturity at 2025<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68 | &nbsp;&nbsp;&nbsp;&nbsp; 67844 |
| &nbsp;&nbsp;&nbsp;3.065%, (COF + 1.25%), with maturity at 2035<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;284 | &nbsp;&nbsp;&nbsp;&nbsp; 276635 |
| &nbsp;&nbsp;&nbsp;3.107%, (COF + 1.25%), with maturity at 2025<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48 | &nbsp;&nbsp;&nbsp;&nbsp; 47025 |
| &nbsp;&nbsp;&nbsp;3.705%, (1 yr. CMT + 2.25%), with maturity at 2038<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;407 | &nbsp;&nbsp;&nbsp;&nbsp; 414837 |
| &nbsp;&nbsp;&nbsp;3.787%, (1 yr. CMT + 2.26%), with maturity at 2035<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1459 | &nbsp;&nbsp;&nbsp;&nbsp; 1484938 |
| &nbsp;&nbsp;&nbsp;3.812%, (1 yr. CMT + 2.24%), with maturity at 2036<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;475 | &nbsp;&nbsp;&nbsp;&nbsp; 483546 |
| &nbsp;&nbsp;&nbsp;3.818%, (1 yr. CMT + 2.31%), with maturity at 2036<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;542 | &nbsp;&nbsp;&nbsp;&nbsp; 552389 |
| &nbsp;&nbsp;&nbsp;3.85%, (COF + 1.29%), with maturity at 2034<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 | &nbsp;&nbsp;&nbsp;&nbsp; 17956 |
| &nbsp;&nbsp;&nbsp;3.989%, (COF + 1.25%), with maturity at 2032<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91 | &nbsp;&nbsp;&nbsp;&nbsp; 86746 |
| &nbsp;&nbsp;&nbsp;4.122%, (COF + 1.25%), with maturity at 2029<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 | &nbsp;&nbsp;&nbsp;&nbsp; 5663 |
| &nbsp;&nbsp;&nbsp;4.17%, (5 yr. CMT + 2.51%), with maturity at 2032<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;158 | &nbsp;&nbsp;&nbsp;&nbsp; 154208 |
| &nbsp;&nbsp;&nbsp;4.208%, (30-day average SOFR + 2.37%), with maturity at 2052<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1542 | &nbsp;&nbsp;&nbsp;&nbsp; 1496167 |
| &nbsp;&nbsp;&nbsp;4.253%, (COF + 2.29%), with maturity at 2037<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;437 | &nbsp;&nbsp;&nbsp;&nbsp; 435902 |
| &nbsp;&nbsp;&nbsp;4.338%, (30-day average SOFR + 2.13%), with maturity at 2052<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7052 | &nbsp;&nbsp;&nbsp;&nbsp; 6896761 |
| &nbsp;&nbsp;&nbsp;4.41%, (30-day average SOFR + 2.38%), with maturity at 2052<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3899 | &nbsp;&nbsp;&nbsp;&nbsp; 3868559 |
| &nbsp;&nbsp;&nbsp;4.469%, (COF + 1.25%), with maturity at 2030<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134 | &nbsp;&nbsp;&nbsp;&nbsp; 136124 |
| &nbsp;&nbsp;&nbsp;4.50%, with various maturities to 2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2052324 |
| &nbsp;&nbsp;&nbsp;4.709%, (COF + 1.25%), with maturity at 2033<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp; 150752 |
| &nbsp;&nbsp;&nbsp;5.00%, with various maturities to 2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;219598 | &nbsp;&nbsp;&nbsp;&nbsp; 221318309 |
| &nbsp;&nbsp;&nbsp;5.00%, with various maturities to 2052<sup>(8)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;212313 | &nbsp;&nbsp;&nbsp;&nbsp; 214330391 |
| &nbsp;&nbsp;&nbsp;5.50%, with various maturities to 2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;239020 | &nbsp;&nbsp;&nbsp;&nbsp; 243108440 |
| &nbsp;&nbsp;&nbsp;5.50%, with maturity at 2052<sup>(8)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;331197 | &nbsp;&nbsp;&nbsp;&nbsp; 336838559 |
| &nbsp;&nbsp;&nbsp;5.788%, (30-day average SOFR + 2.37%), with maturity at 2052<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1061 | &nbsp;&nbsp;&nbsp;&nbsp; 1072922 |
| &nbsp;&nbsp;&nbsp;6.00%, with various maturities to 2053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9380 | &nbsp;&nbsp;&nbsp;&nbsp; 9682722 |
| &nbsp;&nbsp;&nbsp;7.00%, with maturity at 2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75 | &nbsp;&nbsp;&nbsp;&nbsp; 76265 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Federal National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;2.585%, (COF + 2.20%), with maturity at 2030<sup>(7)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43 | &nbsp;&nbsp;$42697 |
| &nbsp;&nbsp;&nbsp;3.00%, with various maturities to 2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18664 | &nbsp;&nbsp;&nbsp;&nbsp; 17173781 |
| &nbsp;&nbsp;&nbsp;3.111%, (COF + 1.25%), with maturity at 2033<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;115 | &nbsp;&nbsp;&nbsp;&nbsp; 110001 |
| &nbsp;&nbsp;&nbsp;3.153%, (COF + 1.25%), with maturity at 2034<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 | &nbsp;&nbsp;&nbsp;&nbsp; 198591 |
| &nbsp;&nbsp;&nbsp;3.175%, (12 mo. USD LIBOR + 1.80%), with maturity at 2034<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp; 152729 |
| &nbsp;&nbsp;&nbsp;3.289%, (COF + 1.25%), with maturity at 2035<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75 | &nbsp;&nbsp;&nbsp;&nbsp; 74721 |
| &nbsp;&nbsp;&nbsp;3.315%, (COF + 1.25%), with various maturities to 2027<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97 | &nbsp;&nbsp;&nbsp;&nbsp; 94640 |
| &nbsp;&nbsp;&nbsp;3.332%, (COF + 1.26%), with maturity at 2038<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 | &nbsp;&nbsp;&nbsp;&nbsp; 16138 |
| &nbsp;&nbsp;&nbsp;3.405%, (COF + 1.25%), with maturity at 2034<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52 | &nbsp;&nbsp;&nbsp;&nbsp; 52478 |
| &nbsp;&nbsp;&nbsp;3.533%, (COF + 1.25%), with maturity at 2037<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71 | &nbsp;&nbsp;&nbsp;&nbsp; 69132 |
| &nbsp;&nbsp;&nbsp;3.581%, (COF + 2.30%), with maturity at 2026<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58 | &nbsp;&nbsp;&nbsp;&nbsp; 58110 |
| &nbsp;&nbsp;&nbsp;3.605%, (COF + 1.31%), with maturity at 2036<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64 | &nbsp;&nbsp;&nbsp;&nbsp; 62006 |
| &nbsp;&nbsp;&nbsp;3.607%, (COF + 1.25%), with maturity at 2034<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;163 | &nbsp;&nbsp;&nbsp;&nbsp; 163293 |
| &nbsp;&nbsp;&nbsp;3.70%, (COF + 1.26%), with maturity at 2036<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;125 | &nbsp;&nbsp;&nbsp;&nbsp; 122685 |
| &nbsp;&nbsp;&nbsp;3.76%, (COF + 1.69%), with maturity at 2029<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp; 476 |
| &nbsp;&nbsp;&nbsp;3.943%, (COF + 1.81%), with maturity at 2034<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;162 | &nbsp;&nbsp;&nbsp;&nbsp; 162315 |
| &nbsp;&nbsp;&nbsp;3.944%, (12 mo. USD LIBOR + 1.75%), with maturity at 2035<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;358 | &nbsp;&nbsp;&nbsp;&nbsp; 361491 |
| &nbsp;&nbsp;&nbsp;3.952%, (1 yr. CMT + 2.10%), with maturity at 2040<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;220 | &nbsp;&nbsp;&nbsp;&nbsp; 223134 |
| &nbsp;&nbsp;&nbsp;3.989%, (1 yr. CMT + 2.15%), with maturity at 2036<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;151 | &nbsp;&nbsp;&nbsp;&nbsp; 153556 |
| &nbsp;&nbsp;&nbsp;4.03%, (30-day average SOFR + 2.33%), with maturity at 2052<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1629 | &nbsp;&nbsp;&nbsp;&nbsp; 1577063 |
| &nbsp;&nbsp;&nbsp;4.033%, (1 yr. CMT + 2.21%), with maturity at 2039<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;877 | &nbsp;&nbsp;&nbsp;&nbsp; 897231 |
| &nbsp;&nbsp;&nbsp;4.077%, (1 yr. CMT + 2.08%), with maturity at 2033<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;187 | &nbsp;&nbsp;&nbsp;&nbsp; 191184 |
| &nbsp;&nbsp;&nbsp;4.085%, (1 yr. CMT + 2.13%), with maturity at 2037<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;474 | &nbsp;&nbsp;&nbsp;&nbsp; 484027 |
| &nbsp;&nbsp;&nbsp;4.102%, (COF + 1.25%), with maturity at 2033<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175 | &nbsp;&nbsp;&nbsp;&nbsp; 175324 |
| &nbsp;&nbsp;&nbsp;4.21%, (1 yr. CMT + 2.16%), with maturity at 2031<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82 | &nbsp;&nbsp;&nbsp;&nbsp; 81452 |
| &nbsp;&nbsp;&nbsp;4.226%, (30-day average SOFR + 2.33%), with maturity at 2052<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1065 | &nbsp;&nbsp;&nbsp;&nbsp; 1052770 |
| &nbsp;&nbsp;&nbsp;4.262%, (1 yr. CMT + 2.25%), with maturity at 2033<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1150 | &nbsp;&nbsp;&nbsp;&nbsp; 1176173 |
| &nbsp;&nbsp;&nbsp;4.284%, (COF + 1.26%), with maturity at 2036<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 | &nbsp;&nbsp;&nbsp;&nbsp; 33347 |
| &nbsp;&nbsp;&nbsp;4.304%, (COF + 1.87%), with maturity at 2034<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68 | &nbsp;&nbsp;&nbsp;&nbsp; 68931 |
| &nbsp;&nbsp;&nbsp;4.358%, (COF + 1.74%), with maturity at 2035<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;202 | &nbsp;&nbsp;&nbsp;&nbsp; 204446 |
| &nbsp;&nbsp;&nbsp;4.367%, (COF + 1.81%), with maturity at 2036<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;392 | &nbsp;&nbsp;&nbsp;&nbsp; 391453 |
| &nbsp;&nbsp;&nbsp;4.369%, (COF + 1.79%), with maturity at 2035<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;154 | &nbsp;&nbsp;&nbsp;&nbsp; 155785 |
| &nbsp;&nbsp;&nbsp;4.482%, (1 yr. CMT + 2.52%), with maturity at 2038<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;426 | &nbsp;&nbsp;&nbsp;&nbsp; 435605 |
| &nbsp;&nbsp;&nbsp;4.50%, with various maturities to 2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3747 | &nbsp;&nbsp;&nbsp;&nbsp; 3742990 |
| &nbsp;&nbsp;&nbsp;4.674%, (COF + 1.49%), with maturity at 2029<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;240 | &nbsp;&nbsp;&nbsp;&nbsp; 243186 |
| &nbsp;&nbsp;&nbsp;5.00%, with various maturities to 2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;247528 | &nbsp;&nbsp;&nbsp;&nbsp; 249547746 |
| &nbsp;&nbsp;&nbsp;5.136%, (COF + 1.73%), with maturity at 2034<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53 | &nbsp;&nbsp;&nbsp;&nbsp; 53417 |

---

------

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Federal National Mortgage Association: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;5.50%, with various maturities to 2052 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;746374 | &nbsp;&nbsp;$759629107 |
| &nbsp;&nbsp;&nbsp;5.50%, with maturity at 2052<sup>(8)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;144202 | &nbsp;&nbsp;&nbsp;&nbsp; 147154379 |
| &nbsp;&nbsp;&nbsp;6.00%, with various maturities to 2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12097 | &nbsp;&nbsp;&nbsp;&nbsp; 12603865 |
| &nbsp;&nbsp;&nbsp;6.00%, 30-Year, TBA<sup>(9)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;290225 | &nbsp;&nbsp;&nbsp;&nbsp; 297662030 |
| &nbsp;&nbsp;&nbsp;6.333%, (COF + 2.00%), with maturity at 2032<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 | &nbsp;&nbsp;&nbsp;&nbsp; 28977 |
| &nbsp;&nbsp;&nbsp;6.50%, 30-Year, TBA<sup>(9)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69200 | &nbsp;&nbsp;&nbsp;&nbsp; 71661703 |
| &nbsp;&nbsp;&nbsp;6.50%, with maturity at 2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1200 | &nbsp;&nbsp;&nbsp;&nbsp; 1257367 |
| Government National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;2.50%, with maturity at 2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2215 | &nbsp;&nbsp;&nbsp;&nbsp; 1961070 |
| &nbsp;&nbsp;&nbsp;2.75%, (1 yr. CMT + 1.50%), with various maturities to 2027<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53 | &nbsp;&nbsp;&nbsp;&nbsp; 51640 |
| &nbsp;&nbsp;&nbsp;3.00%, (1 yr. CMT + 1.50%), with maturity at 2026<sup>(7)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34 | &nbsp;&nbsp;&nbsp;&nbsp; 33212 |
| &nbsp;&nbsp;&nbsp;4.00%, with various maturities to 2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10278 | &nbsp;&nbsp;&nbsp;&nbsp; 10018924 |
| &nbsp;&nbsp;&nbsp;4.50%, with various maturities to 2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;327793 | &nbsp;&nbsp;&nbsp;&nbsp; 322891866 |
| &nbsp;&nbsp;&nbsp;5.00%, with various maturities to 2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107611 | &nbsp;&nbsp;&nbsp;&nbsp; 107982557 |
| &nbsp;&nbsp;&nbsp;5.00%, 30-Year, TBA<sup>(9)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41860 | &nbsp;&nbsp;&nbsp;&nbsp; 42157598 |
| &nbsp;&nbsp;&nbsp;5.50%, with various maturities to 2062 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77257 | &nbsp;&nbsp;&nbsp;&nbsp; 79055463 |
| &nbsp;&nbsp;&nbsp;5.50%, 30-Year, TBA<sup>(9)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;244875 | &nbsp;&nbsp;&nbsp;&nbsp; 248867626 |
| &nbsp;&nbsp;&nbsp;5.50%, with maturity at 2052<sup>(8)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46711 | &nbsp;&nbsp;&nbsp;&nbsp; 47830230 |
| &nbsp;&nbsp;&nbsp;6.00%, with various maturities to 2062 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92261 | &nbsp;&nbsp;&nbsp;&nbsp; 95925964 |
| &nbsp;&nbsp;&nbsp;6.00%, 30-Year, TBA<sup>(9)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;539100 | &nbsp;&nbsp;&nbsp;&nbsp; 552315209 |
| &nbsp;&nbsp;&nbsp;6.50%, with various maturities to 2062 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;386812 | &nbsp;&nbsp;&nbsp;&nbsp; 399836972 |
| &nbsp;&nbsp;&nbsp;6.50%, with maturity at 2063<sup>(10)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3750 | &nbsp;&nbsp;&nbsp;&nbsp; 3938334 |
| &nbsp;&nbsp;&nbsp;7.00%, with various maturities to 2053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4954 | &nbsp;&nbsp;&nbsp;&nbsp; 5216594 |
| Total U.S. Government Agency Mortgage-Backed Securities<br> (identified cost $4,515,441,617) |  | &nbsp;&nbsp;**$4533457126** |

---

U.S. Government Guaranteed Small Business Administration Pools & Loans — 3.3%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| &nbsp;&nbsp;&nbsp;5.125%, (USD Prime - 2.375%), 2/25/29<sup>(1)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41204 | &nbsp;&nbsp;$41193754 |
| &nbsp;&nbsp;&nbsp;5.25%, (USD Prime - 2.25%), 1/25/44 to 2/25/44<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40168 | &nbsp;&nbsp;&nbsp;&nbsp; 40010247 |
| &nbsp;&nbsp;&nbsp;5.30%, (USD Prime - 2.20%), 4/25/44<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20392 | &nbsp;&nbsp;&nbsp;&nbsp; 20361763 |
| &nbsp;&nbsp;&nbsp;6.50%, (USD Prime - 1.00%), 4/25/44<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22283 | &nbsp;&nbsp;&nbsp;&nbsp; 23166681 |
| &nbsp;&nbsp;&nbsp;6.825%, (USD Prime - 0.675%), 2/25/44<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19144 | &nbsp;&nbsp;&nbsp;&nbsp; 20209668 |
| Interest Only:<sup>(11)(12)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;1.03%, 1/18/39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;405 | &nbsp;&nbsp;&nbsp;&nbsp; 11702 |
| &nbsp;&nbsp;&nbsp;1.26%, 2/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1454 | &nbsp;&nbsp;&nbsp;&nbsp; 65025 |
| &nbsp;&nbsp;&nbsp;1.51%, 2/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1067 | &nbsp;&nbsp;&nbsp;&nbsp; 53654 |
| &nbsp;&nbsp;&nbsp;1.56%, 3/14/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;535 | &nbsp;&nbsp;&nbsp;&nbsp; 27521 |
| &nbsp;&nbsp;&nbsp;1.68%, 11/1/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1574 | &nbsp;&nbsp;&nbsp;&nbsp; 81570 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Interest Only: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;1.76%, 12/18/28 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99 | &nbsp;&nbsp;$2857 |
| &nbsp;&nbsp;&nbsp;1.81%, 7/10/43 to 2/6/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5288 | &nbsp;&nbsp;&nbsp;&nbsp; 271509 |
| &nbsp;&nbsp;&nbsp;1.88%, 12/18/43 to 12/27/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5902 | &nbsp;&nbsp;&nbsp;&nbsp; 330652 |
| &nbsp;&nbsp;&nbsp;1.91%, 7/15/42 to 4/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17813 | &nbsp;&nbsp;&nbsp;&nbsp; 979052 |
| &nbsp;&nbsp;&nbsp;1.93%, 6/14/43 to 2/8/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22181 | &nbsp;&nbsp;&nbsp;&nbsp; 1276868 |
| &nbsp;&nbsp;&nbsp;2.01%, 3/12/29 to 2/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3751 | &nbsp;&nbsp;&nbsp;&nbsp; 211645 |
| &nbsp;&nbsp;&nbsp;2.06%, 3/15/29 to 3/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12865 | &nbsp;&nbsp;&nbsp;&nbsp; 804774 |
| &nbsp;&nbsp;&nbsp;2.13%, 9/14/43 to 1/9/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5013 | &nbsp;&nbsp;&nbsp;&nbsp; 309445 |
| &nbsp;&nbsp;&nbsp;2.16%, 3/15/42 to 4/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2660 | &nbsp;&nbsp;&nbsp;&nbsp; 168427 |
| &nbsp;&nbsp;&nbsp;2.18%, 12/3/28 to 2/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14506 | &nbsp;&nbsp;&nbsp;&nbsp; 914682 |
| &nbsp;&nbsp;&nbsp;2.187%, 11/1/32 to 5/16/43<sup>(13)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57187 | &nbsp;&nbsp;&nbsp;&nbsp; 2808341 |
| &nbsp;&nbsp;&nbsp;2.26%, 12/28/28 to 1/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3147 | &nbsp;&nbsp;&nbsp;&nbsp; 191906 |
| &nbsp;&nbsp;&nbsp;2.31%, 12/15/28 to 4/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23268 | &nbsp;&nbsp;&nbsp;&nbsp; 1546370 |
| &nbsp;&nbsp;&nbsp;2.38%, 8/31/28 to 12/27/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2589 | &nbsp;&nbsp;&nbsp;&nbsp; 168704 |
| &nbsp;&nbsp;&nbsp;2.41%, 6/15/42 to 4/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18444 | &nbsp;&nbsp;&nbsp;&nbsp; 1308657 |
| &nbsp;&nbsp;&nbsp;2.43%, 5/7/28 to 2/12/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10091 | &nbsp;&nbsp;&nbsp;&nbsp; 713575 |
| &nbsp;&nbsp;&nbsp;2.48%, 3/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2578 | &nbsp;&nbsp;&nbsp;&nbsp; 195131 |
| &nbsp;&nbsp;&nbsp;2.504%, 2/21/33 to 4/1/43<sup>(13)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14709 | &nbsp;&nbsp;&nbsp;&nbsp; 1042940 |
| &nbsp;&nbsp;&nbsp;2.51%, 7/12/28 to 1/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3070 | &nbsp;&nbsp;&nbsp;&nbsp; 216855 |
| &nbsp;&nbsp;&nbsp;2.56%, 12/15/28 to 9/18/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19308 | &nbsp;&nbsp;&nbsp;&nbsp; 1436935 |
| &nbsp;&nbsp;&nbsp;2.61%, 4/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65 | &nbsp;&nbsp;&nbsp;&nbsp; 2782 |
| &nbsp;&nbsp;&nbsp;2.63%, 9/13/42 to 1/11/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3691 | &nbsp;&nbsp;&nbsp;&nbsp; 293951 |
| &nbsp;&nbsp;&nbsp;2.66%, 6/15/42 to 4/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13596 | &nbsp;&nbsp;&nbsp;&nbsp; 1056406 |
| &nbsp;&nbsp;&nbsp;2.68%, 10/19/28 to 2/19/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17227 | &nbsp;&nbsp;&nbsp;&nbsp; 1249248 |
| &nbsp;&nbsp;&nbsp;2.731%, 3/21/23 to 12/13/42<sup>(13)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18494 | &nbsp;&nbsp;&nbsp;&nbsp; 944874 |
| &nbsp;&nbsp;&nbsp;2.76%, 10/1/28 to 2/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7186 | &nbsp;&nbsp;&nbsp;&nbsp; 497650 |
| &nbsp;&nbsp;&nbsp;2.81%, 3/15/29 to 4/24/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21400 | &nbsp;&nbsp;&nbsp;&nbsp; 1638672 |
| &nbsp;&nbsp;&nbsp;2.88%, 12/3/43 to 12/27/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2635 | &nbsp;&nbsp;&nbsp;&nbsp; 220606 |
| &nbsp;&nbsp;&nbsp;2.91%, 3/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;679 | &nbsp;&nbsp;&nbsp;&nbsp; 61806 |
| &nbsp;&nbsp;&nbsp;2.93%, 10/1/28 to 1/23/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5059 | &nbsp;&nbsp;&nbsp;&nbsp; 398214 |
| &nbsp;&nbsp;&nbsp;3.01%, 10/13/28 to 1/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1550 | &nbsp;&nbsp;&nbsp;&nbsp; 115535 |
| &nbsp;&nbsp;&nbsp;3.06%, 1/15/29 to 2/21/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1505 | &nbsp;&nbsp;&nbsp;&nbsp; 124634 |
| &nbsp;&nbsp;&nbsp;3.13%, 9/29/43 to 1/31/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7843 | &nbsp;&nbsp;&nbsp;&nbsp; 760599 |
| &nbsp;&nbsp;&nbsp;3.18%, 5/8/28 to 2/19/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6682 | &nbsp;&nbsp;&nbsp;&nbsp; 523777 |
| &nbsp;&nbsp;&nbsp;3.259%, 1/21/24 to 7/28/42<sup>(13)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9242 | &nbsp;&nbsp;&nbsp;&nbsp; 553886 |
| &nbsp;&nbsp;&nbsp;3.26%, 10/18/28 to 2/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2742 | &nbsp;&nbsp;&nbsp;&nbsp; 219532 |
| &nbsp;&nbsp;&nbsp;3.31%, 4/15/29 to 2/28/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2968 | &nbsp;&nbsp;&nbsp;&nbsp; 338015 |
| &nbsp;&nbsp;&nbsp;3.36%, 1/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51 | &nbsp;&nbsp;&nbsp;&nbsp; 2777 |
| &nbsp;&nbsp;&nbsp;3.38%, 8/28/43 to 1/16/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8259 | &nbsp;&nbsp;&nbsp;&nbsp; 906291 |
| &nbsp;&nbsp;&nbsp;3.43%, 4/27/28 to 7/27/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18526 | &nbsp;&nbsp;&nbsp;&nbsp; 1293463 |
| &nbsp;&nbsp;&nbsp;3.51%, 10/11/28 to 3/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13204 | &nbsp;&nbsp;&nbsp;&nbsp; 1172317 |
| &nbsp;&nbsp;&nbsp;3.536%, 3/10/26 to 3/23/42<sup>(13)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;266 | &nbsp;&nbsp;&nbsp;&nbsp; 27709 |
| &nbsp;&nbsp;&nbsp;3.56%, 12/28/28 to 3/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10067 | &nbsp;&nbsp;&nbsp;&nbsp; 794265 |
| &nbsp;&nbsp;&nbsp;3.61%, 12/27/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp; 575 |
| &nbsp;&nbsp;&nbsp;3.66%, 11/15/43 to 4/15/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6727 | &nbsp;&nbsp;&nbsp;&nbsp; 749561 |

---

------

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Interest Only: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;3.98%, 12/11/28 to 12/13/28 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;315 | &nbsp;&nbsp;$21051 |
| &nbsp;&nbsp;&nbsp;4.11%, 12/31/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29 | &nbsp;&nbsp;&nbsp;&nbsp; 1996 |
| Total U.S. Government Guaranteed Small Business Administration Pools & Loans<br> (identified cost $193,664,340) |  | &nbsp;&nbsp;**$174051102** |

---

U.S. Department of Agriculture Loans — 0.3%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| USDA Guaranteed Loans: |  |  |
| &nbsp;&nbsp;&nbsp;7.00%, (USD Prime - 0.50%), 10/4/48<sup>(1)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;5232470 | &nbsp;&nbsp;$5237022 |
| &nbsp;&nbsp;&nbsp;7.00%, (USD Prime - 0.50%), 4/12/50<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;9078035 | &nbsp;&nbsp;&nbsp;&nbsp; 9086387 |
| Total U.S. Department of Agriculture Loans<br> (identified cost $14,310,505) |  | &nbsp;&nbsp;**$14323409** |

---

Short-Term Investments — 1.9%

---

| | | |
|:---|:---|:---|
| **Security** | **Shares** | &nbsp;&nbsp;**Value** |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.14%<sup>(14)</sup> | 100614058 | &nbsp;&nbsp;$100614058 |
| Total Short-Term Investments<br> (identified cost $100,614,058) |  | &nbsp;&nbsp;**$100614058** |
| Total Purchased Swaptions — 0.4%<br> (identified cost $8,640,000) |  | &nbsp;&nbsp;**$21431824** |
| Total Investments — 119.7%<br> (identified cost $6,682,893,021) |  | &nbsp;&nbsp;**$6351720441** |
| Total Written Swaptions — (0.0)%<sup>(15)</sup><br> (premiums received $10,750,650) |  | &nbsp;&nbsp;**$(711526)** |

---

---

| |
|:---|
| TBA Sale Commitments — (3.3)% |
| U.S. Government Agency Mortgage-Backed Securities — (3.3)% |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Federal National Mortgage Association, 2.00%, 30-Year, TBA<sup>(9)</sup> | $(35000) | &nbsp;&nbsp;$(29463453) |
| Government National Mortgage Association, 2.00%, 30-Year, TBA<sup>(9)</sup> | &nbsp;&nbsp; (65000) | &nbsp;&nbsp;&nbsp;&nbsp; (56222923) |
| Government National Mortgage Association, 5.00%, 30-Year, TBA<sup>(9)</sup> | &nbsp;&nbsp; (41860) | &nbsp;&nbsp;&nbsp;&nbsp; (42157598) |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Government National Mortgage Association, 5.00%, with various maturities to 2052 | $(41835) | &nbsp;&nbsp;$(41607032) |
| Government National Mortgage Association, 6.50%, 30-Year, TBA<sup>(9)</sup> | &nbsp;&nbsp; (3700) | &nbsp;&nbsp;&nbsp;&nbsp; (3818430) |
| Total U.S. Government Agency Mortgage-Backed Securities<br> (proceeds $173,395,484) |  | &nbsp;&nbsp;**$(173269436)** |
| Total TBA Sale Commitments<br> (proceeds $173,395,484) |  | &nbsp;&nbsp;**$(173269436)** |
| Other Assets, Less Liabilities — (16.4)% |  | &nbsp;&nbsp;**$(872410863)** |
| Net Assets — 100.0% |  | &nbsp;&nbsp;**$5305328616** |

---

---

| | |
|:---|:---|
| The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | The percentage shown for each investment category in the Portfolio of Investments is based on net assets. |
| <sup>(1)</sup> | Variable rate security. The stated interest rate represents the rate in effect at January 31, 2023. |
| <sup>(2)</sup> | Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at January 31, 2023. |
| <sup>(3)</sup> | Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated. |
| <sup>(4)</sup> | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |
| <sup>(5)</sup> | Principal amount is less than $500. |
| <sup>(6)</sup> | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at January 31, 2023. |
| <sup>(7)</sup> | Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at January 31, 2023. |
| <sup>(8)</sup> | Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements. |
| <sup>(9)</sup> | TBA (To Be Announced) securities are purchased or sold on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date are determined upon settlement. |
| <sup>(10)</sup> | When-issued security. |
| <sup>(11)</sup> | Interest only security that entitles the holder to receive only a portion of the interest payments on the underlying loans. Principal amount shown is the notional amount of the underlying loans on which coupon interest is calculated. |
| <sup>(12)</sup> | Securities comprise a trust that is wholly-owned by the Fund and may only be sold on a pro-rata basis with all securities in the trust. |

---

------

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

<sup>(13)</sup> The stated interest rate represents the weighted average fixed interest rate at January 31, 2023 of all interest only securities comprising the certificate.

<sup>(14)</sup> May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of January 31, 2023.

<sup>(15)</sup> Amount is less than (0.05)%.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Purchased Interest Rate Swaptions (OTC) — 0.4%** | **Purchased Interest Rate Swaptions (OTC) — 0.4%** | **Purchased Interest Rate Swaptions (OTC) — 0.4%** | **Purchased Interest Rate Swaptions (OTC) — 0.4%** | **Purchased Interest Rate Swaptions (OTC) — 0.4%** | **Purchased Interest Rate Swaptions (OTC) — 0.4%** |
| **Description** | &nbsp;&nbsp;**Counterparty** | &nbsp;&nbsp;**Notional Amount** | &nbsp;&nbsp;**Notional Amount** | &nbsp;&nbsp;**Expiration<br> Date** | &nbsp;&nbsp;**Value** |
| Option to enter into interest rate swap expiring 3/27/33 to pay 2.47% and receive SOFR | &nbsp;&nbsp;Bank of America, N.A. | &nbsp;&nbsp;USD | &nbsp;&nbsp;125000000 | &nbsp;&nbsp;3/23/23 | &nbsp;&nbsp;$7657221 |
| Option to enter into interest rate swap expiring 5/19/28 to pay 4.04% and receive SOFR | &nbsp;&nbsp;Bank of America, N.A. | &nbsp;&nbsp;USD | &nbsp;&nbsp;180000000 | &nbsp;&nbsp;5/17/23 | &nbsp;&nbsp;&nbsp;&nbsp; 372562 |
| Option to enter into interest rate swap expiring 6/6/53 to pay 3.30% and receive SOFR | &nbsp;&nbsp;Bank of America, N.A. | &nbsp;&nbsp;USD | &nbsp;&nbsp; 85000000 | &nbsp;&nbsp;&nbsp;&nbsp;6/2/23 | &nbsp;&nbsp;&nbsp;&nbsp; 1254656 |
| Option to enter into interest rate swap expiring 3/9/28 to pay 1.88% and receive SOFR | &nbsp;&nbsp;Goldman Sachs International | &nbsp;&nbsp;USD | &nbsp;&nbsp;180000000 | &nbsp;&nbsp;&nbsp;&nbsp;3/7/23 | &nbsp;&nbsp;&nbsp;&nbsp;12147385 |
| **Total** |  |  |  |  | &nbsp;&nbsp;**$21431824** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Written Interest Rate Swaptions (OTC) — (0.0)%<sup>(1)</sup>** | **Written Interest Rate Swaptions (OTC) — (0.0)%<sup>(1)</sup>** | **Written Interest Rate Swaptions (OTC) — (0.0)%<sup>(1)</sup>** | **Written Interest Rate Swaptions (OTC) — (0.0)%<sup>(1)</sup>** | **Written Interest Rate Swaptions (OTC) — (0.0)%<sup>(1)</sup>** | **Written Interest Rate Swaptions (OTC) — (0.0)%<sup>(1)</sup>** |
| **Description** | &nbsp;&nbsp;**Counterparty** | &nbsp;&nbsp;**Notional<br> Amount** | &nbsp;&nbsp;**Notional<br> Amount** | &nbsp;&nbsp;**Expiration<br> Date** | &nbsp;&nbsp;**Value** |
| Option to enter into interest rate swap expiring 2/22/25 to pay 4.12% and receive SOFR | &nbsp;&nbsp;Bank of America, N.A. | &nbsp;&nbsp;USD | &nbsp;&nbsp;(180000000) | &nbsp;&nbsp;2/17/23 | &nbsp;&nbsp;$(195788) |
| Option to enter into interest rate swap expiring 3/8/53 to pay 1.13% and receive SOFR | &nbsp;&nbsp;Bank of America, N.A. | &nbsp;&nbsp;USD | &nbsp;&nbsp;(115000000) | &nbsp;&nbsp;3/6/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5) |
| Option to enter into interest rate swap expiring 3/27/33 to pay 1.87% and receive SOFR | &nbsp;&nbsp;Bank of America, N.A. | &nbsp;&nbsp;USD | &nbsp;&nbsp;(125000000) | &nbsp;&nbsp;3/23/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1402) |
| Option to enter into interest rate swap expiring 6/6/53 to pay 2.30% and receive SOFR | &nbsp;&nbsp;Bank of America, N.A. | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;(85000000) | &nbsp;&nbsp;6/2/23 | &nbsp;&nbsp;&nbsp;&nbsp;(456564) |
| Option to enter into interest rate swap expiring 3/9/28 to pay 1.28% and receive SOFR | &nbsp;&nbsp;Goldman Sachs International | &nbsp;&nbsp;USD | &nbsp;&nbsp;(180000000) | &nbsp;&nbsp;3/7/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5) |
| Option to enter into interest rate swap expiring 3/9/23 to pay 1.88% and receive SOFR | &nbsp;&nbsp;Goldman Sachs International | &nbsp;&nbsp;USD | &nbsp;&nbsp;(180000000) | &nbsp;&nbsp;3/7/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(216) |
| Option to enter into interest rate swap expiring 3/27/23 to pay 2.47% and receive SOFR | &nbsp;&nbsp;JPMorgan Chase Bank, N.A. | &nbsp;&nbsp;USD | &nbsp;&nbsp;(125000000) | &nbsp;&nbsp;3/23/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(57546) |
| **Total** |  |  |  |  | &nbsp;&nbsp;**$(711526)** |

---

<sup>(1)</sup> Amount is less than (0.05)%.

------

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** |
| **Description** | &nbsp;&nbsp;&nbsp;&nbsp;**Number of<br> Contracts** | &nbsp;&nbsp;&nbsp;&nbsp;**Position** | &nbsp;&nbsp;&nbsp;&nbsp;**Expiration<br> Date** | &nbsp;&nbsp;&nbsp;&nbsp;**Notional<br> Amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value/Unrealized<br> Appreciation<br> (Depreciation)** |
| **Interest Rate Futures** |  |  |  |  |  |
| U.S. Ultra-Long Treasury Bond | &nbsp;&nbsp;&nbsp;&nbsp;1552 | &nbsp;&nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;&nbsp;&nbsp;3/22/23 | &nbsp;&nbsp;&nbsp;&nbsp;$219996000 | &nbsp;&nbsp;&nbsp;&nbsp;$4599990 |
| U.S. 5-Year Treasury Note | &nbsp;&nbsp;&nbsp;&nbsp;(5650) | &nbsp;&nbsp;&nbsp;&nbsp;Short | &nbsp;&nbsp;&nbsp;&nbsp;3/31/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(617218362) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(7694650) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**$(3094660)** |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** | **Interest Rate Swaps (Centrally Cleared)** |
| **Notional Amount<br> (000's omitted)** | **Notional Amount<br> (000's omitted)** | **Fund<br> Pays/<br> Receives<br> Floating<br> Rate** | **Floating Rate** | **Annual<br> Fixed Rate** | **Termination<br> Date** | **Value** | **Unamortized<br> Upfront<br> Receipts<br> (Payments)** | **Unrealized<br> Appreciation<br> (Depreciation)** |
| USD | 450000 | Receives | SOFR<br> (pays annually) | 3.07%<br> (pays annually) | 10/14/32 | $2107950 | $— | $2107950 |
| USD | 234000 | Receives | SOFR<br> (pays annually) | 3.29%<br> (pays annually) | 1/4/33 | &nbsp;&nbsp;&nbsp;&nbsp;(739271) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (739271) |
| USD | 94000 | Receives | SOFR<br> (pays annually) | 3.16%<br> (pays annually) | 1/5/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;723467 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 723467 |
| USD | 300000 | Receives | 3-month USD LIBOR<br> (pays quarterly) | 2.01%<br> (pays semi-annually) | 2/16/52 | 70714650 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 70714650 |
| USD | 300000 | Receives | SOFR<br> (pays annually) | 1.92%<br> (pays annually) | 4/8/52 | 63065726 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 63065726 |
| USD | 100000 | Receives | SOFR<br> (pays annually) | 1.94%<br> (pays annually) | 4/21/52 | 20690208 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 20690208 |
| USD | 100000 | Receives | SOFR<br> (pays annually) | 1.89%<br> (pays annually) | 8/3/52 | 21407290 | &nbsp;&nbsp;&nbsp;&nbsp;(983) | &nbsp;&nbsp;&nbsp;&nbsp; 21406307 |
| **Total** |  |  |  |  |  | **$177970020** | **$(983)** | **$177969037** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps - Buy Protection (Centrally Cleared)** | **Credit Default Swaps - Buy Protection (Centrally Cleared)** | **Credit Default Swaps - Buy Protection (Centrally Cleared)** | **Credit Default Swaps - Buy Protection (Centrally Cleared)** | **Credit Default Swaps - Buy Protection (Centrally Cleared)** |  |
| **Reference Entity** | &nbsp;&nbsp;**Notional<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Termination<br> Date** | &nbsp;&nbsp;**Value** | &nbsp;&nbsp;**Unamortized<br> Upfront<br> Receipts<br> (Payments)** | &nbsp;&nbsp;**Unrealized<br> Appreciation<br> (Depreciation)** |
| Markit CDX North America Investment Grade Index (CDX.NA.IG.39.V1) | $300000 &nbsp;&nbsp;1.00%<br> (pays quarterly)<sup>(1)</sup> | &nbsp;&nbsp;12/20/27 | &nbsp;&nbsp;$(4057627) | &nbsp;&nbsp;$(1475102) | &nbsp;&nbsp;$(5532729) |
| **Total** |  |  | &nbsp;&nbsp;**$(4057627)** | &nbsp;&nbsp;**$(1475102)** | &nbsp;&nbsp;**$(5532729)** |

---

<sup>(1)</sup> Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

------

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | |
|:---|:---|
| **Abbreviations:** | **Abbreviations:** |
| CMT | – Constant Maturity Treasury |
| COF | – Cost of Funds 11th District |
| LIBOR | – London Interbank Offered Rate |
| OTC | – Over-the-counter |
| SOFR | – Secured Overnight Financing Rate |
| TBA | – To Be Announced |

---

---

| | |
|:---|:---|
| **Currency Abbreviations:** | **Currency Abbreviations:** |
| USD | – United States Dollar |

---

At January 31, 2023, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

In the normal course of pursuing its investment objective, the Fund is subject to the following risks:

Interest Rate Risk: Because the Fund holds fixed-rate bonds, the value of these bonds may decrease if interest rates rise.

The Fund utilizes futures contracts and interest rate swaps and swaptions to enhance total return, to change the overall duration of the Fund and/or to hedge against fluctuations in securities prices due to changes in interest rates.

Credit Risk: The Fund enters into credit default swap contracts to manage certain investment risks and/or to enhance total return.

Reverse Repurchase Agreements

Reverse repurchase agreements outstanding as of January 31, 2023 were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Counterparty** | &nbsp;&nbsp;&nbsp;&nbsp;**Trade<br> Date** | &nbsp;&nbsp;&nbsp;&nbsp;**Maturity<br> Date** | &nbsp;&nbsp;&nbsp;&nbsp;**Interest<br> Rate Paid** | &nbsp;&nbsp;&nbsp;&nbsp;**Principal<br> Amount** | &nbsp;&nbsp;&nbsp;&nbsp;**Value<br> Including<br> Accrued<br> Interest** |
| BNP Paribas Securities Corp. | &nbsp;&nbsp;&nbsp;&nbsp;1/25/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/2/23 | &nbsp;&nbsp;&nbsp;&nbsp;4.44% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$948422 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$949230 |
| MUFG Securities Americas, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;1/9/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/6/23 | &nbsp;&nbsp;&nbsp;&nbsp;4.60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45212310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45343364 |
| Wells Fargo Securities, LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/27/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;4.64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153068731 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153166024 |
| Wells Fargo Securities, LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/27/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;4.64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;139603522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;139692256 |
| Wells Fargo Securities, LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/27/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/13/23 | &nbsp;&nbsp;&nbsp;&nbsp;4.64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18868951 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18880944 |
| **Total Investments** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**$357701936** | &nbsp;&nbsp;&nbsp;&nbsp;**$358031818** |

---

At January 31, 2023, the remaining contractual maturity of open reverse repurchase agreements was less than 30 days. At January 31, 2023, the underlying collateral for all open reverse repurchase agreements was comprised of agency mortgage-backed securities having an aggregate market value of $387,644,160.

Based on the short-term nature of the borrowings under the reverse repurchase agreements, the carrying value of the payable for reverse repurchase agreements approximated its fair value at January 31, 2023. If measured at fair value, borrowings under the reverse repurchase agreements would have been considered as Level 2 in the fair value hierarchy at January 31, 2023.

------

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

Affiliated Investments

At January 31, 2023, the value of the Fund's investment in funds that may be deemed to be affiliated was $100,614,058, which represents 1.9% of the Fund's net assets. Transactions (in thousands) in such funds by the Fund for the fiscal year to date ended January 31, 2023 were as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Name** | **Value,<br> beginning<br> of period** | **Purchases** | **Sales<br> proceeds** | **Net<br> realized<br> gain (loss)** | **Change in<br> unrealized<br> appreciation<br> (depreciation)** | **Value, end<br> of period** | **Dividend<br> income** | **Shares,<br> end of period** |
| **Short-Term Investments** | **Short-Term Investments** | **Short-Term Investments** | **Short-Term Investments** | **Short-Term Investments** | **Short-Term Investments** | **Short-Term Investments** | **Short-Term Investments** | **Short-Term Investments** |
| Liquidity Fund, Institutional Class<sup>(1)</sup> | $40759 | $1147313 | $(1087458) | $— | $— | $100614 | $578 | 100614 |

---

<sup>(1)</sup> Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio.

Fair Value Measurements

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

• Level 1 – quoted prices in active markets for identical investments

• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments)

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At January 31, 2023, the hierarchy of inputs used in valuing the Fund's investments and open derivative instruments, which are carried at value, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Description** | &nbsp;&nbsp;**Level 1** | &nbsp;&nbsp;**Level 2** | &nbsp;&nbsp;**Level 3** | &nbsp;&nbsp;**Total** |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;$— | &nbsp;&nbsp;$1488834179 | &nbsp;&nbsp;$— | &nbsp;&nbsp;$1488834179 |
| U.S. Government Agency Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 19008743 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 19008743 |
| U.S. Government Agency Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;4533457126 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;4533457126 |
| U.S. Government Guaranteed Small Business Administration Pools & Loans | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 174051102 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 174051102 |
| U.S. Department of Agriculture Loans | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14323409 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 14323409 |
| Short-Term Investments | &nbsp;&nbsp;&nbsp;&nbsp;100614058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 100614058 |
| Purchased Interest Rate Swaptions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 21431824 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 21431824 |
| **Total Investments** | &nbsp;&nbsp;**$100614058** | &nbsp;&nbsp;**$6251106383** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;**$6351720441** |
| Futures Contracts | &nbsp;&nbsp;$4599990 | &nbsp;&nbsp;$— | &nbsp;&nbsp;$— | &nbsp;&nbsp;$4599990 |
| Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 178709291 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 178709291 |
| **Total** | &nbsp;&nbsp;**$105214048** | &nbsp;&nbsp;**$6429815674** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;**$6535029722** |
| **Liability Description** |  |  |  |  |
| TBA Sale Commitments | &nbsp;&nbsp;$— | &nbsp;&nbsp;$(173269436) | &nbsp;&nbsp;$— | &nbsp;&nbsp;$(173269436) |
| Written Interest Rate Swaptions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (711526) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (711526) |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (7694650) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (7694650) |
| Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4796898) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4796898) |
| **Total** | &nbsp;&nbsp;**$(7694650)** | &nbsp;&nbsp;**$(178777860)** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;**$(186472510)** |

---

------

Eaton Vance<br>

Short Duration Government Income Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

For information on the Fund's policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent financial statements included in its semiannual or annual report to shareholders.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** EATON VANCE MUTUAL FUNDS TRUST

- **b. Investment Company Act file number:** 811-04015

- **c. CIK number of Registrant:** 0000745463

- **d. LEI of Registrant:** 549300C67AFHZKODE756

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

  - **Street Address 1:** TWO INTERNATIONAL PLACE

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 617-482-8260

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

- **a. Name of Series:** Eaton Vance Short Duration Government Income Fund

- **b. EDGAR series identifier (if any):** S000005290

- **c. LEI of Series:** OW20ZSYAFQZSFSNZQT74

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $8398551464.22

**Total Liabilities:** $3127617230.72

**Net Assets:** $5270934233.50

**Delayed Delivery Securities:** $2604400087.93

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

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

- **3-Month:** -470.38000000 | **1-Year:** -26779.49000000 | **5-Year:** 92167.34000000 | **10-Year:** -75341.80000000 | **30-Year:** -15657.57000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000227652 | 0.61%                | -1.43%               | 0.80%                |
| Class ID C000014459 | 0.56%                | -1.35%               | 0.62%                |
| Class ID C000078260 | 0.50%                | -1.28%               | 0.69%                |
| Class ID C000014457 | 0.61%                | -1.30%               | 0.67%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $8633779.44              | $121163335.24                              |
| Month 2  | $-52754369.17            | $-84563721.47                              |
| Month 3  | $-55811391.86            | $149465061.71                              |

### Schedule of Portfolio Investments

| Name                                              | Title                                                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382MF38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42959553 | PA      | $5067358.50    | 0.10%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3415387009                                   | COOF 3415387009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52341493 | PA      | $3456469.95    | 0.07%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| COOF 3198767008                                   | COOF 3198767008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FFDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6013466 | PA      | $6396157.54    | 0.12%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A5FZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132248 | PA      | $135500.97     | 0.00%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A53Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     559518 | PA      | $579738.09     | 0.01%             | 2062-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N12C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13121351 | PA      | $13373574.29   | 0.25%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2914497007                                   | COOF 2914497007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     841735 | PA      | $63080.69      | 0.00%             | 2043-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FFB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9615206 | PA      | $6985364.45    | 0.13%             | 2051-02-25      | Floating      | 0.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31406C6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174927 | PA      | $175324.11     | 0.00%             | 2033-08-01      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382J4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15544692 | PA      | $205946.96     | 0.00%             | 2050-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 3507737004                                   | COOF 3507737004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     511013 | PA      | $37289.06      | 0.00%             | 2044-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 3266087008                                   | COOF 3266087008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BDKK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8161817 | PA      | $5189617.89    | 0.10%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3315677005                                   | COOF 3315677005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     419243 | PA      | $24951.22      | 0.00%             | 2029-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N4TU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684295 | PA      | $698603.63     | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3559797002                                   | COOF 3559797002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-04-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 2509817003                                   | COOF 2509817003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     718048 | PA      | $37521.45      | 0.00%             | 2043-07-10      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18675876 | PA      | $11999360.67   | 0.23%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3343067007                                   | COOF 3343067007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85968 | PA      | $5621.54       | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31418EJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32183786 | PA      | $32711916.94   | 0.62%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3341017010                                   | COOF 3341017010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85968 | PA      | $5713.92       | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HJUK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187960 | PA      | $189276.77     | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38375UUU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18799921 | PA      | $18667495.96   | 0.35%             | 2065-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N0BE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6818466 | PA      | $6930355.76    | 0.13%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FWR77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     994593 | PA      | $512927.80     | 0.01%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3407057004                                   | COOF 3407057004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1542401 | PA      | $97431.83      | 0.00%             | 2044-01-25      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BMXL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2449942 | PA      | $2496269.70    | 0.05%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31396QCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263789 | PA      | $269113.02     | 0.01%             | 2039-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| COOF 3204907010                                   | COOF 3204907010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     768003 | PA      | $88155.12      | 0.00%             | 2044-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 2594117009                                   | COOF 2594117009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-04-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| COOF 3030767004                                   | COOF 3030767004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382LAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   88941692 | PA      | $9946980.90    | 0.19%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A7JY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1059635 | PA      | $1085696.82    | 0.02%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382WWM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1221158 | PA      | $1014689.98    | 0.02%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3295647009                                   | COOF 3295647009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3468297010                                   | COOF 3468297010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-15      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| COOF 3526357003                                   | COOF 3526357003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-03-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| COOF 3552657003                                   | COOF 3552657003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338693 | PA      | $33255.55      | 0.00%             | 2044-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383AUB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2517033 | PA      | $1722348.71    | 0.03%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 9855645002                                   | COOF 9855645002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COOF 3070927009                                   | COOF 3070927009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     547034 | PA      | $19164.03      | 0.00%             | 2028-12-03      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BFFC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1040517 | PA      | $622695.94     | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 1611777006                                   | COOF 1611777006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     699384 | PA      | $67795.62      | 0.00%             | 2044-01-30      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H5N37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52185302 | PA      | $7812056.17    | 0.15%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382HYT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     529299 | PA      | $69396.97      | 0.00%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3313977008                                   | COOF 3313977008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     344587 | PA      | $38924.46      | 0.00%             | 2044-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 1602437007                                   | COOF 1602437007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COOF 3514307002                                   | COOF 3514307002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-12      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| COOF 3374577010                                   | COOF 3374577010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     251986 | PA      | $20124.65      | 0.00%             | 2044-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 1655257005                                   | COOF 1655257005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     519265 | PA      | $34723.07      | 0.00%             | 2044-02-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BKWR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1175831 | PA      | $1199902.68    | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3514627004                                   | COOF 3514627004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-07      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H3XL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2645249 | PA      | $2013218.44    | 0.04%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| USDA LOANTL                                       | USDA LOANTL                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5232470 | PA      | $5237021.80    | 0.10%             | 2027-07-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| COOF 3473097003                                   | COOF 3473097003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383DKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3733497 | PA      | $2604085.31    | 0.05%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 31348MXT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157674 | PA      | $154207.72     | 0.00%             | 2032-03-01      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| COOF 3088477003                                   | COOF 3088477003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     753273 | PA      | $62627.28      | 0.00%             | 2044-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                      | CUSIP: 3617F2VE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1431613 | PA      | $1455588.20    | 0.03%             | 2052-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BJ2E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     679882 | PA      | $694013.13     | 0.01%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38379JVB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     668533 | PA      | $586105.38     | 0.01%             | 2035-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N7CV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1200454 | PA      | $1257366.92    | 0.02%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FG4D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3149694 | PA      | $358107.26     | 0.01%             | 2048-05-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31406C7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27950 | PA      | $28977.25      | 0.00%             | 2032-07-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AKZ89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     671769 | PA      | $134564.39     | 0.00%             | 2044-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A7F46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1197072 | PA      | $1226513.97    | 0.02%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3385147005                                   | COOF 3385147005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     744930 | PA      | $52640.07      | 0.00%             | 2044-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COOF 3558397009                                   | COOF 3558397009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     878418 | PA      | $56915.88      | 0.00%             | 2044-03-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AGLK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     782613 | PA      | $799904.30     | 0.02%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                     | CUSIP: 3128CVKA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1053201 | PA      | $917663.23     | 0.02%             | 2031-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 2722607009                                   | COOF 2722607009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     227472 | PA      | $9443.10       | 0.00%             | 2028-12-29      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AVMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1865819 | PA      | $1950405.81    | 0.04%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COOF 3357067008                                   | COOF 3357067008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HTAG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     440707 | PA      | $443794.21     | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31385HJ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202288 | PA      | $204445.62     | 0.00%             | 2035-08-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| COOF 3258307002                                   | COOF 3258307002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1066716 | PA      | $53654.03      | 0.00%             | 2044-02-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38381R4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6784190 | PA      | $697215.32     | 0.01%             | 2049-03-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140QQSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19386341 | PA      | $19710526.43   | 0.37%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31410F4D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16450 | PA      | $16138.05      | 0.00%             | 2038-01-01      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| COOF 3137367002                                   | COOF 3137367002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     361577 | PA      | $13018.27      | 0.00%             | 2029-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FWLP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3744113 | PA      | $1936298.66    | 0.04%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BNAR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2815262 | PA      | $2861459.92    | 0.05%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3310097009                                   | COOF 3310097009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 2126127000                                   | COOF 2126127000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1008124 | PA      | $84381.88      | 0.00%             | 2044-04-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382VLF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7254561 | PA      | $5229473.34    | 0.10%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FXCL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   33864323 | PA      | $4187523.39    | 0.08%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BFLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12346465 | PA      | $1646792.50    | 0.03%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FWJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  101671908 | PA      | $12646714.46   | 0.24%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382NPV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3530100 | PA      | $2782752.86    | 0.05%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 3128HDLY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47909 | PA      | $47025.28      | 0.00%             | 2025-06-01      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38380YYS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6843642 | PA      | $646477.83     | 0.01%             | 2048-09-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F6CY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1453066 | PA      | $818868.25     | 0.02%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382QP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17628109 | PA      | $685435.53     | 0.01%             | 2051-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382NYY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9895361 | PA      | $1206698.76    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 2603917005                                   | COOF 2603917005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3300067007                                   | COOF 3300067007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     810667 | PA      | $69971.62      | 0.00%             | 2044-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGGH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347651 | PA      | $208747.79     | 0.00%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31385WZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219606 | PA      | $223134.23     | 0.00%             | 2040-04-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| COOF 3364357010                                   | COOF 3364357010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     544910 | PA      | $20299.31      | 0.00%             | 2029-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| RAYMOND JAMES BANK, N.A.                          | Small Business Administration Pools                                                                    | CUSIP: 83164MPX1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20391651 | PA      | $20361762.87   | 0.39%             | 2044-04-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MN2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3825066 | PA      | $3844822.63    | 0.07%             | 2052-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3133TJWM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     273344 | PA      | $279851.86     | 0.01%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 2828397005                                   | COOF 2828397005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1844273 | PA      | $129293.80     | 0.00%             | 2043-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COOF 3401697007                                   | COOF 3401697007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2807991 | PA      | $155049.78     | 0.00%             | 2044-01-04      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| COOF 1986487009                                   | COOF 1986487009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31373HXX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163083 | PA      | $163292.56     | 0.00%             | 2034-04-01      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AE2T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3279405 | PA      | $3375373.76    | 0.06%             | 2062-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H3V33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4467966 | PA      | $3169996.62    | 0.06%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3314727005                                   | COOF 3314727005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80603 | PA      | $4709.52       | 0.00%             | 2028-12-17      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| COOF 3365007001                                   | COOF 3365007001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1036723 | PA      | $73360.55      | 0.00%             | 2044-02-15      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                     | CUSIP: 31325W4K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8726612 | PA      | $1696118.25    | 0.03%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COOF 3479817006                                   | COOF 3479817006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99451 | PA      | $10408.50      | 0.00%             | 2044-02-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36179UKN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2350145 | PA      | $2320337.15    | 0.04%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RMOF 8.1.2017 SD                                  | RMOF 8.1.2017 SD                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18493782 | PA      | $944873.63     | 0.02%             | 2034-01-25      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383TP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   66070185 | PA      | $1090752.69    | 0.02%             | 2052-07-20      | Floating      | 0.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31389AZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74803 | PA      | $74720.59      | 0.00%             | 2035-03-01      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| COOF 3298307007                                   | COOF 3298307007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192322 | PA      | $20587.09      | 0.00%             | 2044-01-16      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31385HJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68126 | PA      | $68931.19      | 0.00%             | 2034-09-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382U6S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19690230 | PA      | $15042907.77   | 0.29%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FUVD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1644250 | PA      | $1646517.43    | 0.03%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 2695897008                                   | COOF 2695897008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-06-29      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BHVC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     131362 | PA      | $134503.20     | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BN4R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5382816 | PA      | $5474511.11    | 0.10%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31418ELB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7300524 | PA      | $7283439.86    | 0.14%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FWU82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1276613 | PA      | $1299609.79    | 0.02%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31404FA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150071 | PA      | $152729.21     | 0.00%             | 2034-04-01      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36225CA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34015 | PA      | $33212.36      | 0.00%             | 2026-12-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383DB31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18918984 | PA      | $2233015.19    | 0.04%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AJWP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     714809 | PA      | $735727.59     | 0.01%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31397UVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     850357 | PA      | $162875.49     | 0.00%             | 2041-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 3540947010                                   | COOF 3540947010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94026 | PA      | $3078.04       | 0.00%             | 2029-03-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| COOF 3289677000                                   | COOF 3289677000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-12-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COOF 3476797007                                   | COOF 3476797007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1732740 | PA      | $136340.43     | 0.00%             | 2044-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3473877001                                   | COOF 3473877001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     677835 | PA      | $45630.79      | 0.00%             | 2044-03-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BGHZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1626073 | PA      | $1648445.76    | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FVP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   46899702 | PA      | $5739951.30    | 0.11%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3488107007                                   | COOF 3488107007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1593596 | PA      | $135382.02     | 0.00%             | 2044-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AKDW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     354484 | PA      | $362538.30     | 0.01%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2995547010                                   | COOF 2995547010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3506911 | PA      | $229812.08     | 0.00%             | 2043-11-15      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31417VFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81915 | PA      | $81451.98      | 0.00%             | 2031-01-01      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BJHE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13465156 | PA      | $8958338.54    | 0.17%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3595707005                                   | COOF 3595707005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F9WE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   77773816 | PA      | $10151116.20   | 0.19%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383CAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1300912 | PA      | $889618.10     | 0.02%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 2941887001                                   | COOF 2941887001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383DCB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33965315 | PA      | $4836280.39    | 0.09%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136A6RE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1642447 | PA      | $1326548.53    | 0.03%             | 2037-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                  | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   69200000 | PA      | $71661703.50   | 1.36%             | 2053-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AJDD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7384763 | PA      | $5524362.91    | 0.10%             | 2043-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FRWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4573698 | PA      | $567261.11     | 0.01%             | 2050-04-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BJQN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2289394 | PA      | $2300861.21    | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3618187008                                   | COOF 3618187008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2953149 | PA      | $346048.21     | 0.01%             | 2044-04-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31396QTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387255 | PA      | $394958.96     | 0.01%             | 2039-08-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| COOF 3306617007                                   | COOF 3306617007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1212945 | PA      | $76913.60      | 0.00%             | 2044-01-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGH46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14043942 | PA      | $9587457.98    | 0.18%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 31396HJJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1817463 | PA      | $90139.62      | 0.00%             | 2030-09-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136B3X21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22889441 | PA      | $22926835.24   | 0.43%             | 2049-03-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383TUP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28241266 | PA      | $3604825.28    | 0.07%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3235277003                                   | COOF 3235277003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-12-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                     | CUSIP: 3128HVPG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     529548 | PA      | $414852.56     | 0.01%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MPC90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2208345 | PA      | $2234588.15    | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BMH40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1197609 | PA      | $1222875.78    | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N1JD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7139219 | PA      | $7174976.61    | 0.14%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31410F4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124770 | PA      | $122684.95     | 0.00%             | 2036-05-01      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| COOF 3028777008                                   | COOF 3028777008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 3271047001                                   | COOF 3271047001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86941 | PA      | $5081.45       | 0.00%             | 2028-12-21      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137BMVX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     927345 | PA      | $62553.35      | 0.00%             | 2045-08-15      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3132DNZA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12100829 | PA      | $12356124.14   | 0.23%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2945657010                                   | COOF 2945657010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 2820997003                                   | COOF 2820997003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1130702 | PA      | $65969.63      | 0.00%             | 2043-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AAWG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1009866 | PA      | $834772.50     | 0.02%             | 2042-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3319967006                                   | COOF 3319967006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     515256 | PA      | $37086.36      | 0.00%             | 2044-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COOF 2274657008                                   | COOF 2274657008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3557407008                                   | COOF 3557407008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     410959 | PA      | $27536.88      | 0.00%             | 2044-04-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31396PZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191667 | PA      | $152990.68     | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 9806355002                                   | COOF 9806355002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399861 | PA      | $31251.48      | 0.00%             | 2044-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BB2A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24528810 | PA      | $2967799.53    | 0.06%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3413317006                                   | COOF 3413317006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     794938 | PA      | $55768.19      | 0.00%             | 2044-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31411VVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10501 | PA      | $10832.74      | 0.00%             | 2031-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9545294 | PA      | $6053763.07    | 0.11%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3135767000                                   | COOF 3135767000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-03-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| COOF 3470307010                                   | COOF 3470307010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2451645 | PA      | $263805.02     | 0.01%             | 2044-04-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| COOF 1936137000                                   | COOF 1936137000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1934084 | PA      | $142192.15     | 0.00%             | 2043-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BGAH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5728855 | PA      | $5799620.62    | 0.11%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 9267565006                                   | COOF 9267565006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H2UF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38785116 | PA      | $25878825.39   | 0.49%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 9498685004                                   | COOF 9498685004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2042-07-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MVKM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17101295 | PA      | $17274593.73   | 0.33%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                     | CUSIP: 31325W4J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4316819 | PA      | $834438.47     | 0.02%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BBQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38159940 | PA      | $4653467.31    | 0.09%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31373HXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199522 | PA      | $198591.35     | 0.00%             | 2034-07-01      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A84C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4252333 | PA      | $4356917.63    | 0.08%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FXDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12759990 | PA      | $12542325.37   | 0.24%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F6M53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     767409 | PA      | $422155.82     | 0.01%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3469247008                                   | COOF 3469247008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2933665 | PA      | $229891.57     | 0.00%             | 2044-02-08      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| COOF 2158887010                                   | COOF 2158887010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     207092 | PA      | $10548.32      | 0.00%             | 2028-06-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617F5VZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1444999 | PA      | $1488214.75    | 0.03%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H4GS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     374563 | PA      | $268667.65     | 0.01%             | 2049-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382XYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11284481 | PA      | $8788103.92    | 0.17%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382TZB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4628753 | PA      | $3288571.68    | 0.06%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BPGV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12531637 | PA      | $12737279.61   | 0.24%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3471237004                                   | COOF 3471237004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-05      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36179XC61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  109990644 | PA      | $107908152.80  | 2.05%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BDKD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     644276 | PA      | $372824.85     | 0.01%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BMIBFPXA8 EATON VANCE                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   85000000 | NC      | $1254656.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N0UX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2986955 | PA      | $3045304.25    | 0.06%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3257627002                                   | COOF 3257627002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 3510617004                                   | COOF 3510617004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1314624 | PA      | $99648.88      | 0.00%             | 2044-03-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| COOF 3182717010                                   | COOF 3182717010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     689247 | PA      | $37400.35      | 0.00%             | 2028-11-30      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AE3P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     488341 | PA      | $497909.94     | 0.01%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3392987008                                   | COOF 3392987008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3060763 | PA      | $163808.79     | 0.00%             | 2043-12-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| COOF 3489867003                                   | COOF 3489867003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99280 | PA      | $11657.67      | 0.00%             | 2044-03-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A52Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1787346 | PA      | $1822368.35    | 0.03%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3591697007                                   | COOF 3591697007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2755893 | PA      | $148679.44     | 0.00%             | 2044-04-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MYT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8187736 | PA      | $8278511.36    | 0.16%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382J4V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5716548 | PA      | $76702.35      | 0.00%             | 2050-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H02K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     888525 | PA      | $621688.74     | 0.01%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3314147008                                   | COOF 3314147008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2892337 | PA      | $161214.33     | 0.00%             | 2044-02-08      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HRZ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     320955 | PA      | $323202.99     | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3478737004                                   | COOF 3478737004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159635 | PA      | $6603.39       | 0.00%             | 2029-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 3103107007                                   | COOF 3103107007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     298700 | PA      | $33619.87      | 0.00%             | 2044-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2021-SB91 Mortgage Trust                                                                         | CUSIP: 30322XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   46500943 | PA      | $1637112.19    | 0.03%             | 2041-08-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| COOF 3390267000                                   | COOF 3390267000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383CC40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2057454 | PA      | $1406506.40    | 0.03%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3285137005                                   | COOF 3285137005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     416241 | PA      | $31862.36      | 0.00%             | 2044-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MUHR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5839606 | PA      | $5870679.72    | 0.11%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31389AZ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71148 | PA      | $69131.70      | 0.00%             | 2037-12-01      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618ATZM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8470699 | PA      | $8803292.95    | 0.17%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 2891727000                                   | COOF 2891727000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-10-04      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382LXQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   87424043 | PA      | $10186894.23   | 0.19%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MPDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2131884 | PA      | $2157218.46    | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3394227007                                   | COOF 3394227007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A5RD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     629658 | PA      | $645143.86     | 0.01%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                     | CUSIP: 31325WV25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8166228 | PA      | $1648008.58    | 0.03%             | 2046-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3132D9KJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     639296 | PA      | $659176.25     | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3314837003                                   | COOF 3314837003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     236432 | PA      | $11118.56      | 0.00%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FXMN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   80406148 | PA      | $9963559.94    | 0.19%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3498347002                                   | COOF 3498347002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2418166 | PA      | $192865.29     | 0.00%             | 2044-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BFCS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3998701 | PA      | $4048595.08    | 0.08%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3153727003                                   | COOF 3153727003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31402CTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        601 | PA      | $599.46        | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGCM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5808379 | PA      | $4154230.97    | 0.08%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                           | BMIBAB1F8 EATON VANCE                                                                                  | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DIR              |  | US        | -125000000 | NC      | $-57546.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COOF 3065567003                                   | COOF 3065567003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382XKT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8565244 | PA      | $6084122.24    | 0.12%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BFSZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2225208 | PA      | $2262777.27    | 0.04%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3413457002                                   | COOF 3413457002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     515276 | PA      | $19763.53      | 0.00%             | 2029-04-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FV5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2372274 | PA      | $2418758.19    | 0.05%             | 2062-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31418EGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24047 | PA      | $24441.20      | 0.00%             | 2052-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A54C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1018536 | PA      | $1043586.60    | 0.02%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  331196673 | PA      | $336838558.66  | 6.39%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31418EJG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308542 | PA      | $313604.67     | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2315387007                                   | COOF 2315387007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-04-19      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31416CA55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1159 | PA      | $1196.25       | 0.00%             | 2029-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BFCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     672707 | PA      | $389417.97     | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 2787387005                                   | COOF 2787387005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     226327 | PA      | $19521.55      | 0.00%             | 2043-07-31      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR23                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1552 | NC      | $4599989.80    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MPDB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2590784 | PA      | $2621571.68    | 0.05%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 8739325009                                   | COOF 8739325009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     404982 | PA      | $11702.36      | 0.00%             | 2039-02-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FEEQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5807484 | PA      | $5877840.76    | 0.11%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3138ENX61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474152 | PA      | $484027.05     | 0.01%             | 2037-08-01      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| COOF 2767857007                                   | COOF 2767857007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     407521 | PA      | $41151.14      | 0.00%             | 2043-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 3207387004                                   | COOF 3207387004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12758590 | PA      | $8528876.16    | 0.16%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140QPXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44101349 | PA      | $44446271.89   | 0.84%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N0TT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     869927 | PA      | $884202.66     | 0.02%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3098977004                                   | COOF 3098977004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50936 | PA      | $2776.97       | 0.00%             | 2029-01-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                     | CUSIP: 31325WVW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9142082 | PA      | $1560545.23    | 0.03%             | 2046-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AQDG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1882609 | PA      | $1108190.08    | 0.02%             | 2045-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9406458 | PA      | $9456511.67    | 0.18%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FUYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7627261 | PA      | $7836303.63    | 0.15%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BPCZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1100980 | PA      | $1124207.37    | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3419237007                                   | COOF 3419237007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     278384 | PA      | $11636.38      | 0.00%             | 2029-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 2917327008                                   | COOF 2917327008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120153 | PA      | $7049.83       | 0.00%             | 2029-03-20      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31388XVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115134 | PA      | $110000.99     | 0.00%             | 2033-08-01      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382VLD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   81406758 | PA      | $8843208.03    | 0.17%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3541177006                                   | COOF 3541177006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2144077 | PA      | $164176.58     | 0.00%             | 2044-03-01      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 2645317000                                   | COOF 2645317000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     482262 | PA      | $26005.58      | 0.00%             | 2043-06-14      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140XHKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     715221 | PA      | $714567.67     | 0.01%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3319257005                                   | COOF 3319257005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87054 | PA      | $4992.50       | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 1603697006                                   | COOF 1603697006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     377136 | PA      | $39761.25      | 0.00%             | 2043-03-14      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MYKR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1177280 | PA      | $1189798.28    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FWT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14091616 | PA      | $1378801.26    | 0.03%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3354027001                                   | COOF 3354027001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 3128SGAE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91128 | PA      | $86746.16      | 0.00%             | 2032-07-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140XHXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     861757 | PA      | $888555.02     | 0.02%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AEL96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     590519 | PA      | $536986.72     | 0.01%             | 2043-06-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617W1W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12561838 | PA      | $12666916.39   | 0.24%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36179XLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109933 | PA      | $113617.08     | 0.00%             | 2052-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382USB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2021151 | PA      | $1401142.63    | 0.03%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137BS7G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2795000 | PA      | $458542.37     | 0.01%             | 2046-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31385HJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162085 | PA      | $162315.47     | 0.00%             | 2034-12-01      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F8QK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9399876 | PA      | $6256784.94    | 0.12%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BKQJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1357859 | PA      | $1372298.41    | 0.03%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 2539527000                                   | COOF 2539527000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     585176 | PA      | $46217.00      | 0.00%             | 2043-05-09      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BG5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12844038 | PA      | $8377169.13    | 0.16%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 2891377002                                   | COOF 2891377002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-09-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BNZT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10846850 | PA      | $11065520.79   | 0.21%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FMB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4846833 | PA      | $5038653.60    | 0.10%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BHV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370441 | PA      | $246928.39     | 0.00%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FWMH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3176285 | PA      | $1809095.96    | 0.03%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31359SGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $31.95         | 0.00%             | 2025-04-17      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 31397JT46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177777 | PA      | $148495.15     | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 2055787001                                   | COOF 2055787001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     287136 | PA      | $31837.75      | 0.00%             | 2044-03-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617F2PK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1022539 | PA      | $1032529.83    | 0.02%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGNY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14777924 | PA      | $9685869.72    | 0.18%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133N3Y99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7171847 | PA      | $7155064.02    | 0.14%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31359PK70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64284 | PA      | $64530.23      | 0.00%             | 2027-06-17      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AA4Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     351954 | PA      | $362803.54     | 0.01%             | 2062-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30846621 | PA      | $20759464.23   | 0.39%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3340857002                                   | COOF 3340857002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2588510 | PA      | $156344.69     | 0.00%             | 2029-01-03      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BFM56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1113873 | PA      | $1126482.86    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BLKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11432779 | PA      | $8321328.43    | 0.16%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137AUKL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1072396 | PA      | $77792.03      | 0.00%             | 2032-09-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| COOF 2540427002                                   | COOF 2540427002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-22      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| COOF 3289037007                                   | COOF 3289037007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2664764 | PA      | $143629.84     | 0.00%             | 2043-12-18      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F7UB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6225360 | PA      | $3538647.94    | 0.07%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 1612797003                                   | COOF 1612797003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     503001 | PA      | $19788.93      | 0.00%             | 2029-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136A8A26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     789692 | PA      | $640569.18     | 0.01%             | 2042-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3398367000                                   | COOF 3398367000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1387626 | PA      | $78281.43      | 0.00%             | 2044-02-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| COOF 3485957009                                   | COOF 3485957009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2444509 | PA      | $156886.72     | 0.00%             | 2044-02-14      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137B1WD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     540367 | PA      | $485345.07     | 0.01%             | 2043-05-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3420747004                                   | COOF 3420747004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FTN FINANCIAL CAPITAL MARKETS                     | Small Business Administration Pools                                                                    | CUSIP: 83164MPM5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   22283467 | PA      | $23166681.30   | 0.44%             | 2044-04-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| COOF 9447575006                                   | COOF 9447575006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3010023 | PA      | $252847.62     | 0.00%             | 2042-06-15      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383AVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30354301 | PA      | $4613544.16    | 0.09%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AEBF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3944912 | PA      | $4078848.18    | 0.08%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383UQX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  137330175 | PA      | $1273847.24    | 0.02%             | 2052-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H3TW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     990377 | PA      | $689883.89     | 0.01%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31419AH67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     357702 | PA      | $361491.40     | 0.01%             | 2035-05-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| COOF 3103027007                                   | COOF 3103027007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-11-21      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| COOF 9670815009                                   | COOF 9670815009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     214786 | PA      | $7266.00       | 0.00%             | 2028-08-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BQHY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1193317 | PA      | $1238816.15    | 0.02%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 3241037008                                   | COOF 3241037008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AVNB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136425 | PA      | $132140.32     | 0.00%             | 2046-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 2904557008                                   | COOF 2904557008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-10-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 3327317010                                   | COOF 3327317010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66130 | PA      | $3753.97       | 0.00%             | 2028-12-11      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| COOF 3561207010                                   | COOF 3561207010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     702935 | PA      | $46631.25      | 0.00%             | 2044-03-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 2823197005                                   | COOF 2823197005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     603560 | PA      | $55564.17      | 0.00%             | 2043-08-28      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| COOF 3537647002                                   | COOF 3537647002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1593950 | PA      | $84808.81      | 0.00%             | 2044-04-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                             | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  463180000 | PA      | $474832705.60  | 9.01%             | 2053-02-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F6LY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6525727 | PA      | $3634725.72    | 0.07%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MVG28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1102143 | PA      | $1128839.86    | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2333807006                                   | COOF 2333807006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382MXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3179916 | PA      | $2454112.17    | 0.05%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3382017006                                   | COOF 3382017006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52610 | PA      | $53416.89      | 0.00%             | 2034-09-01      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| COOF 3299857010                                   | COOF 3299857010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     302488 | PA      | $15377.12      | 0.00%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COOF 3202177001                                   | COOF 3202177001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     738980 | PA      | $52002.34      | 0.00%             | 2043-12-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A0PG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     712387 | PA      | $729907.48     | 0.01%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3340747004                                   | COOF 3340747004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F64M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     352002 | PA      | $181392.61     | 0.00%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 1433227001                                   | COOF 1433227001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615787 | PA      | $33667.67      | 0.00%             | 2028-06-14      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| COOF 3580197004                                   | COOF 3580197004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1951999 | PA      | $131246.37     | 0.00%             | 2044-04-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BEV56DRW0 IRS USD R V 12MSOFR 1 CCPOIS / Short: BEV56DRW0 IRS USD P F  1.92000 2 CCPOIS          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  300000000 | OU      | $61850310.00   | 1.17%             |  |  |  | No            |                  2 | On Loan: No      |
| COOF 2569857006                                   | COOF 2569857006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-05-24      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N5PG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1615127 | PA      | $1653239.52    | 0.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H3PN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10071189 | PA      | $7058295.39    | 0.13%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FGQJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1780984 | PA      | $1802560.35    | 0.03%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FBQL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3479812 | PA      | $3521968.90    | 0.07%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FVR46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17424833 | PA      | $2128596.75    | 0.04%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38375UQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5727709 | PA      | $5704139.03    | 0.11%             | 2064-10-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136A1B20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1048719 | PA      | $38285.05      | 0.00%             | 2026-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COOF 2980107004                                   | COOF 2980107004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2150927 | PA      | $114115.90     | 0.00%             | 2043-11-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382XTW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22660846 | PA      | $166278.49     | 0.00%             | 2051-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383LBU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3742755 | PA      | $4246199.39    | 0.08%             | 2052-11-20      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| COOF 3392777004                                   | COOF 3392777004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-21      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| COOF 3542217007                                   | COOF 3542217007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     259575 | PA      | $12577.00      | 0.00%             | 2029-03-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| COOF 3318127010                                   | COOF 3318127010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     558089 | PA      | $59929.06      | 0.00%             | 2044-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31359F7K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9731 | PA      | $9736.74       | 0.00%             | 2023-10-25      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| COOF 3108997004                                   | COOF 3108997004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1668209 | PA      | $112741.97     | 0.00%             | 2043-12-10      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 3314927006                                   | COOF 3314927006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309084 | PA      | $17683.43      | 0.00%             | 2028-12-21      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1205552 | PA      | $736245.63     | 0.01%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 9494835004                                   | COOF 9494835004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3455291 | PA      | $238476.93     | 0.00%             | 2042-07-15      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BJX80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10181471 | PA      | $10268102.00   | 0.19%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A5F32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126733 | PA      | $131431.49     | 0.00%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H2W59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24894450 | PA      | $3719233.27    | 0.07%             | 2049-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 2620557006                                   | COOF 2620557006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-06-04      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| COOF 3216407010                                   | COOF 3216407010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-14      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| COOF 3103627010                                   | COOF 3103627010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     279471 | PA      | $15702.13      | 0.00%             | 2028-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N7CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7627689 | PA      | $7810066.16    | 0.15%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   68721743 | PA      | $3534912.47    | 0.07%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31397UJH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137919 | PA      | $135399.82     | 0.00%             | 2041-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31396XYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1185225 | PA      | $128182.70     | 0.00%             | 2037-10-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                  | CUSIP: 31335PKA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75322 | PA      | $76265.01      | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COOF 3310437004                                   | COOF 3310437004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1384533 | PA      | $102374.82     | 0.00%             | 2044-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FD5B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2519650 | PA      | $2477456.01    | 0.05%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3210637008                                   | COOF 3210637008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199729 | PA      | $22709.62      | 0.00%             | 2043-12-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AGXT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     928302 | PA      | $968404.60     | 0.02%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                     | CUSIP: 3142FR2X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32627781 | PA      | $5523511.43    | 0.10%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BHU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1397670 | PA      | $1420830.79    | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N4TL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26825 | PA      | $27319.34      | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HRUT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164476 | PA      | $165627.85     | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3414337003                                   | COOF 3414337003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29046 | PA      | $1996.00       | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BQDS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2404981 | PA      | $2475634.72    | 0.05%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 3516207000                                   | COOF 3516207000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     416979 | PA      | $34574.21      | 0.00%             | 2044-03-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382VLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5660159 | PA      | $4048856.15    | 0.08%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3358837005                                   | COOF 3358837005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274036 | PA      | $14753.47      | 0.00%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3379967008                                   | COOF 3379967008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36179UHT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     777081 | PA      | $767225.35     | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3350857006                                   | COOF 3350857006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F4ZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1803434 | PA      | $347807.36     | 0.01%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AH6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22756 | PA      | $22454.94      | 0.00%             | 2043-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31371K7M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        994 | PA      | $991.28        | 0.00%             | 2023-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HBEC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     944625 | PA      | $951241.57     | 0.02%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BCCU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1563340 | PA      | $1588269.45    | 0.03%             | 2052-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3327247002                                   | COOF 3327247002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31373HX27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52450 | PA      | $52477.53      | 0.00%             | 2034-08-01      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| COOF 3136277008                                   | COOF 3136277008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     171580 | PA      | $6602.09       | 0.00%             | 2028-12-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BDQ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8962176 | PA      | $9009865.37    | 0.17%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3336177007                                   | COOF 3336177007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2542209 | PA      | $134521.59     | 0.00%             | 2028-12-12      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 31300LP90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     475006 | PA      | $483546.03     | 0.01%             | 2036-11-01      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| COOF 2878457008                                   | COOF 2878457008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     228168 | PA      | $12076.07      | 0.00%             | 2029-03-28      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N5AF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     965594 | PA      | $983852.91     | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AE2S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2043939 | PA      | $2083989.50    | 0.04%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617F8RF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40682450 | PA      | $40081283.82   | 0.76%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3132DWEL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35647064 | PA      | $35836747.08   | 0.68%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137ASP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66884 | PA      | $662.42        | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COOF 3572567008                                   | COOF 3572567008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H1VD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2929590 | PA      | $2059735.12    | 0.04%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 3142BNMJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1060624 | PA      | $1072921.63    | 0.02%             | 2052-12-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| COOF 2090427004                                   | COOF 2090427004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-13      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617MX5Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     453015 | PA      | $443876.93     | 0.01%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31398FPR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     548242 | PA      | $436944.29     | 0.01%             | 2039-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 3484127005                                   | COOF 3484127005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BPDP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     865624 | PA      | $883886.85     | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3132DWEY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     392749 | PA      | $399194.42     | 0.01%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2673517009                                   | COOF 2673517009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-06-22      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BHRY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2323214 | PA      | $2337027.79    | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 9703425007                                   | COOF 9703425007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     563378 | PA      | $25512.84      | 0.00%             | 2028-10-13      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| COOF 3375237004                                   | COOF 3375237004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3248841 | PA      | $206981.57     | 0.00%             | 2044-02-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| COOF 3476447007                                   | COOF 3476447007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3462646 | PA      | $235673.37     | 0.00%             | 2044-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| COOF 3271717001                                   | COOF 3271717001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     921882 | PA      | $59929.37      | 0.00%             | 2043-12-28      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| COOF 3320087010                                   | COOF 3320087010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85968 | PA      | $4827.00       | 0.00%             | 2028-12-12      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137B13Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3145455 | PA      | $2880879.69    | 0.05%             | 2043-01-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3399607002                                   | COOF 3399607002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9655 | PA      | $575.36        | 0.00%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N0R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     423805 | PA      | $432481.22     | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BBZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25593282 | PA      | $3146512.36    | 0.06%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3401847004                                   | COOF 3401847004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| COOF 2188957008                                   | COOF 2188957008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2058523 | PA      | $157340.82     | 0.00%             | 2043-11-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 313615S49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1373 | PA      | $1372.08       | 0.00%             | 2023-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                              | CUSIP: 3136FFAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273224 | PA      | $227284.86     | 0.00%             | 2037-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 3591707008                                   | COOF 3591707008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266093 | PA      | $16629.51      | 0.00%             | 2044-04-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| COOF 3304187005                                   | COOF 3304187005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295736 | PA      | $16351.71      | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AGTJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2404170 | PA      | $2467013.14    | 0.05%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H1Q33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3166886 | PA      | $1854164.34    | 0.04%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BJWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1819763 | PA      | $1235754.57    | 0.02%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HRZH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165749 | PA      | $166910.34     | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3406397010                                   | COOF 3406397010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1337220 | PA      | $83838.85      | 0.00%             | 2044-01-15      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382WGF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20679612 | PA      | $732488.42     | 0.01%             | 2051-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382KMQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20379430 | PA      | $2481847.79    | 0.05%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 2761367001                                   | COOF 2761367001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1879153 | PA      | $147114.39     | 0.00%             | 2043-08-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| COOF 3238487002                                   | COOF 3238487002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-11-26      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| COOF 2997757007                                   | COOF 2997757007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-11-30      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| COOF 3468907003                                   | COOF 3468907003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     825176 | PA      | $47887.60      | 0.00%             | 2044-03-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 31346AF83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134175 | PA      | $136123.69     | 0.00%             | 2030-06-01      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| COOF 3548787004                                   | COOF 3548787004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1056411 | PA      | $48685.95      | 0.00%             | 2029-03-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BMFG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     411713 | PA      | $419730.04     | 0.01%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3153267007                                   | COOF 3153267007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2065962 | PA      | $147998.16     | 0.00%             | 2044-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                  | CUSIP: 31298BHK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113801 | PA      | $116853.79     | 0.00%             | 2029-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 31346AJN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150311 | PA      | $150752.39     | 0.00%             | 2033-08-01      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| COOF 3554767005                                   | COOF 3554767005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1718982 | PA      | $118112.79     | 0.00%             | 2044-04-15      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| COOF 3351377006                                   | COOF 3351377006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2033793 | PA      | $218985.97     | 0.00%             | 2044-01-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140K8P96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3486190 | PA      | $3207555.41    | 0.06%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3273207005                                   | COOF 3273207005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98963 | PA      | $2857.02       | 0.00%             | 2029-01-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| COOF 3226597003                                   | COOF 3226597003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     637995 | PA      | $36173.01      | 0.00%             | 2028-12-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 3363687002                                   | COOF 3363687002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650782 | PA      | $56340.85      | 0.00%             | 2044-02-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FXHD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25424205 | PA      | $3151444.63    | 0.06%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BLBV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     438624 | PA      | $445821.42     | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BDPL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313333 | PA      | $176950.24     | 0.00%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FWFL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5027792 | PA      | $4445437.66    | 0.08%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617YTXU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1011963 | PA      | $1038749.16    | 0.02%             | 2052-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BMIBE7FK7 EATON VANCE                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  180000000 | NC      | $372562.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382LQ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17511508 | PA      | $2045204.06    | 0.04%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3131497005                                   | COOF 3131497005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-13      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| COOF 3525587000                                   | COOF 3525587000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300356 | PA      | $34467.49      | 0.00%             | 2044-03-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617YXQV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1575671 | PA      | $1594760.03    | 0.03%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3327327002                                   | COOF 3327327002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1563143 | PA      | $184855.44     | 0.00%             | 2044-01-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617YNK33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1582739 | PA      | $1572556.73    | 0.03%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BGRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2469293 | PA      | $2481969.36    | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3345237003                                   | COOF 3345237003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382XG66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8085490 | PA      | $6320127.74    | 0.12%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617Y6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1482945 | PA      | $1503691.14    | 0.03%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FYLV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2113 | PA      | $1396.27       | 0.00%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AVMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1867766 | PA      | $1937600.00    | 0.04%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617Y6B89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2716373 | PA      | $2749281.07    | 0.05%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3236197005                                   | COOF 3236197005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 3255307007                                   | COOF 3255307007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     356423 | PA      | $38623.06      | 0.00%             | 2043-12-17      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BJUM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9342495 | PA      | $9421987.39    | 0.18%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BFCJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     538429 | PA      | $379244.87     | 0.01%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H1NQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14873883 | PA      | $10598325.83   | 0.20%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FXLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2518410 | PA      | $2561461.24    | 0.05%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3041627003                                   | COOF 3041627003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1574372 | PA      | $81570.15      | 0.00%             | 2043-11-01      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| COOF 3470327005                                   | COOF 3470327005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1761327 | PA      | $107626.69     | 0.00%             | 2044-03-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COOF 3266557007                                   | COOF 3266557007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     737218 | PA      | $46540.31      | 0.00%             | 2043-11-29      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A4YQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1557500 | PA      | $1650777.55    | 0.03%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 3325907006                                   | COOF 3325907006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     312075 | PA      | $16567.77      | 0.00%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382UZ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6952288 | PA      | $5358679.36    | 0.10%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3351517000                                   | COOF 3351517000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-28      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BNLM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2540299 | PA      | $2581985.07    | 0.05%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3311327008                                   | COOF 3311327008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-12-05      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BFU73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2824071 | PA      | $2862926.28    | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3322817008                                   | COOF 3322817008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179211 | PA      | $10081.55      | 0.00%             | 2028-12-20      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| COOF 3351017003                                   | COOF 3351017003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     831281 | PA      | $65698.84      | 0.00%             | 2044-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AJWN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     939585 | PA      | $957996.05     | 0.02%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3138967007                                   | COOF 3138967007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     409355 | PA      | $34524.90      | 0.00%             | 2043-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3309037005                                   | COOF 3309037005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86613 | PA      | $5033.35       | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 3490327002                                   | COOF 3490327002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     885026 | PA      | $62260.41      | 0.00%             | 2044-04-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 3308257010                                   | COOF 3308257010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-02-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MXRB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1623153 | PA      | $1653415.51    | 0.03%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2836137008                                   | COOF 2836137008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-09-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FXPH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3555 | PA      | $1998.29       | 0.00%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FMB28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7976494 | PA      | $8292175.83    | 0.16%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AL5Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1036446 | PA      | $230250.73     | 0.00%             | 2045-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BCE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13856910 | PA      | $2048101.23    | 0.04%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3391587004                                   | COOF 3391587004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82482 | PA      | $3500.08       | 0.00%             | 2029-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COOF 1987917009                                   | COOF 1987917009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382NRE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3451787 | PA      | $2513860.40    | 0.05%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3558387006                                   | COOF 3558387006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 3366857000                                   | COOF 3366857000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2567821 | PA      | $145418.75     | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 2520327010                                   | COOF 2520327010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1705803 | PA      | $113435.63     | 0.00%             | 2044-03-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36179XBL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41034622 | PA      | $40257698.97   | 0.76%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383CZ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30120845 | PA      | $3123736.43    | 0.06%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3185197004                                   | COOF 3185197004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559901 | PA      | $47925.21      | 0.00%             | 2044-01-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| COOF 3476187001                                   | COOF 3476187001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276661 | PA      | $16497.38      | 0.00%             | 2044-03-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BCEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40913774 | PA      | $5080226.49    | 0.10%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MPDR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1628853 | PA      | $1577062.59    | 0.03%             | 2052-08-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F7HY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3038501 | PA      | $1714490.88    | 0.03%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BBA44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302431 | PA      | $203273.75     | 0.00%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38381DZF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   59046973 | PA      | $3545682.16    | 0.07%             | 2063-04-16      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| COOF 3251057007                                   | COOF 3251057007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     727540 | PA      | $31606.40      | 0.00%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 1810577008                                   | COOF 1810577008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-12-23      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| COOF 3001317010                                   | COOF 3001317010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     417454 | PA      | $40893.91      | 0.00%             | 2043-11-08      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGJX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22246787 | PA      | $14643609.45   | 0.28%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HTAV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     324737 | PA      | $326402.16     | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H1RT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12733237 | PA      | $8357983.65    | 0.16%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383UAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  221563331 | PA      | $1997149.71    | 0.04%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 3387657009                                   | COOF 3387657009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1556451 | PA      | $166820.25     | 0.00%             | 2044-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 3476317003                                   | COOF 3476317003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2709483 | PA      | $152730.03     | 0.00%             | 2044-03-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| COOF 2658987001                                   | COOF 2658987001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-07-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COOF 2452967000                                   | COOF 2452967000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31394E3F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1257630 | PA      | $248879.43     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FMVY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     902032 | PA      | $912959.69     | 0.02%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3601957007                                   | COOF 3601957007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137BTSJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160482 | PA      | $5967.22       | 0.00%             | 2044-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N3A74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7342033 | PA      | $7496471.53    | 0.14%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3468707002                                   | COOF 3468707002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137B2RP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1692525 | PA      | $1698131.24    | 0.03%             | 2043-06-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N0Z57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2194748 | PA      | $2209855.83    | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FUY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1022656 | PA      | $627940.32     | 0.01%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383AZU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44514783 | PA      | $4921033.54    | 0.09%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382T5C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2546433 | PA      | $1850992.18    | 0.04%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 3142BNKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7051853 | PA      | $6896761.52    | 0.13%             | 2052-09-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A5MX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     351039 | PA      | $361311.63     | 0.01%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382PY55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20347 | PA      | $11281.78      | 0.00%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617F9V33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1119660 | PA      | $1133224.46    | 0.02%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3384837009                                   | COOF 3384837009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3138ENX46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     877242 | PA      | $897230.58     | 0.02%             | 2039-09-01      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| COOF 3232837010                                   | COOF 3232837010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188796 | PA      | $6814.83       | 0.00%             | 2028-12-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 3584007001                                   | COOF 3584007001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-04-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F7DU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1869518 | PA      | $992621.70     | 0.02%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382WCF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11266888 | PA      | $8700393.53    | 0.17%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3470807007                                   | COOF 3470807007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     361923 | PA      | $34999.31      | 0.00%             | 2044-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382QR28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     346653 | PA      | $233575.80     | 0.00%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3556117002                                   | COOF 3556117002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187701 | PA      | $7649.26       | 0.00%             | 2029-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BMIBFPXB6 EATON VANCE                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  -85000000 | NC      | $-456563.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A5F24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     174852 | PA      | $181499.09     | 0.00%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MVFW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6343187 | PA      | $6392798.12    | 0.12%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3402117010                                   | COOF 3402117010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     440750 | PA      | $17601.19      | 0.00%             | 2029-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 2810467004                                   | COOF 2810467004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-10-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31396XL51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596897 | PA      | $54722.04      | 0.00%             | 2037-11-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| COOF 9769415007                                   | COOF 9769415007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3268364 | PA      | $287010.54     | 0.01%             | 2043-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H1YD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202764 | PA      | $134826.47     | 0.00%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 9131195003                                   | COOF 9131195003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1875033 | PA      | $117073.94     | 0.00%             | 2042-03-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BFZN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2214613 | PA      | $1571703.98    | 0.03%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36179WRV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     568549 | PA      | $569929.09     | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3235717004                                   | COOF 3235717004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     223815 | PA      | $18088.70      | 0.00%             | 2044-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382MS34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1551414 | PA      | $1356362.28    | 0.03%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3272237001                                   | COOF 3272237001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3395087004                                   | COOF 3395087004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     681500 | PA      | $53879.46      | 0.00%             | 2044-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383TS46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49236296 | PA      | $835776.27     | 0.02%             | 2052-07-20      | Floating      | 0.34%                 | No            |                  2 | On Loan: No      |
| COOF 2688217005                                   | COOF 2688217005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137BDNG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1369154 | PA      | $1299002.99    | 0.02%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BFZG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5758271 | PA      | $5803307.27    | 0.11%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3358987004                                   | COOF 3358987004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     205835 | PA      | $15345.04      | 0.00%             | 2044-01-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31418C3W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     948077 | PA      | $946307.61     | 0.02%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3420047006                                   | COOF 3420047006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1231027 | PA      | $74572.23      | 0.00%             | 2043-12-31      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| COOF 3236817001                                   | COOF 3236817001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     357862 | PA      | $38162.10      | 0.00%             | 2044-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38375GAD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     405127 | PA      | $388259.04     | 0.01%             | 2041-05-16      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H3TB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6534054 | PA      | $4827170.29    | 0.09%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3513227000                                   | COOF 3513227000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     979837 | PA      | $73273.50      | 0.00%             | 2044-03-04      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| COOF 3476647008                                   | COOF 3476647008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266863 | PA      | $22098.24      | 0.00%             | 2044-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FMCE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6865059 | PA      | $7236715.79    | 0.14%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COOF 3406317008                                   | COOF 3406317008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     365991 | PA      | $13658.05      | 0.00%             | 2029-03-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 2684947004                                   | COOF 2684947004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     348472 | PA      | $13687.45      | 0.00%             | 2029-03-29      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136B2AP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1104620 | PA      | $182432.67     | 0.00%             | 2047-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RMOF SD 04.26.18                                  | RMOF SD 04.26.18                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14709362 | PA      | $1042939.81    | 0.02%             | 2041-06-29      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| COOF 2765657002                                   | COOF 2765657002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-08-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| COOF 2925507003                                   | COOF 2925507003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2006283 | PA      | $239004.75     | 0.00%             | 2044-02-28      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AXBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313962 | PA      | $196476.31     | 0.00%             | 2047-07-25      | Floating      | 0.63%                 | No            |                  2 | On Loan: No      |
| COOF 3033177010                                   | COOF 3033177010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-14      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| COOF 9554275005                                   | COOF 9554275005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1519515 | PA      | $120888.55     | 0.00%             | 2042-07-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                  | CUSIP: 3132VMC52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1723572 | PA      | $1729344.57    | 0.03%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 2749057010                                   | COOF 2749057010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31385HJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392168 | PA      | $391452.58     | 0.01%             | 2036-07-01      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 31300LA96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     542362 | PA      | $552388.78     | 0.01%             | 2036-02-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AKUZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4969838 | PA      | $5079702.57    | 0.10%             | 2049-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BHXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42136904 | PA      | $6671814.19    | 0.13%             | 2051-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3470357003                                   | COOF 3470357003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3482136 | PA      | $367081.48     | 0.01%             | 2044-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383ACD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6089934 | PA      | $4710265.21    | 0.09%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BMIBJB1X0 IRS USD R V 00MSOFR 1 CCPOIS / Short: BMIBJB1X0 IRS USD P F  3.16000 2 CCPOIS          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   94000000 | OU      | $634584.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COOF 3405167009                                   | COOF 3405167009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     906982 | PA      | $38097.37      | 0.00%             | 2044-02-15      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H2BM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11901080 | PA      | $7543759.25    | 0.14%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3287507002                                   | COOF 3287507002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2168824 | PA      | $122521.51     | 0.00%             | 2029-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BA3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1125859 | PA      | $954788.56     | 0.02%             | 2043-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137BSCG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     710139 | PA      | $694492.10     | 0.01%             | 2039-06-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FMCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4310449 | PA      | $4479694.69    | 0.08%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 3264727006                                   | COOF 3264727006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1426033 | PA      | $73435.99      | 0.00%             | 2043-12-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38375UTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18291365 | PA      | $18174379.31   | 0.34%             | 2065-01-20      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N5DK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6610857 | PA      | $6723471.72    | 0.13%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3411367006                                   | COOF 3411367006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-31      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| COOF 3362137010                                   | COOF 3362137010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2663160 | PA      | $133779.02     | 0.00%             | 2044-03-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FWTB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1143862 | PA      | $613865.13     | 0.01%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 2856237000                                   | COOF 2856237000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120490 | PA      | $5670.07       | 0.00%             | 2028-10-17      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| COOF 3191867000                                   | COOF 3191867000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-06-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133KQAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6938039 | PA      | $7086581.68    | 0.13%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31359EWF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10217 | PA      | $10221.79      | 0.00%             | 2023-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H3V58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8213091 | PA      | $6000332.19    | 0.11%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 1823567004                                   | COOF 1823567004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-06-15      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136A3ZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350301 | PA      | $287399.22     | 0.01%             | 2039-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 3288297002                                   | COOF 3288297002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1103047 | PA      | $87886.87      | 0.00%             | 2044-01-25      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| COOF 3551037003                                   | COOF 3551037003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1428690 | PA      | $65682.57      | 0.00%             | 2029-03-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| COOF 9760755008                                   | COOF 9760755008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4240304 | PA      | $454892.31     | 0.01%             | 2043-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FWTG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2224219 | PA      | $1227247.66    | 0.02%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31410KVG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43394 | PA      | $42697.48      | 0.00%             | 2030-07-01      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| COOF 3411917005                                   | COOF 3411917005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     372494 | PA      | $30188.17      | 0.00%             | 2044-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3572197004                                   | COOF 3572197004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1490832 | PA      | $110539.48     | 0.00%             | 2044-04-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 3339727001                                   | COOF 3339727001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     201269 | PA      | $22362.76      | 0.00%             | 2044-01-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H32W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13566159 | PA      | $9002782.74    | 0.17%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382GB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5770471 | PA      | $718496.88     | 0.01%             | 2050-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F9NV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6989738 | PA      | $4484081.94    | 0.09%             | 2051-02-25      | Floating      | 0.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 31346VLU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17963 | PA      | $17955.62      | 0.00%             | 2034-08-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| COOF 3171607006                                   | COOF 3171607006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-11-08      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 3358487007                                   | COOF 3358487007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 2710517009                                   | COOF 2710517009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1641321 | PA      | $113352.44     | 0.00%             | 2043-09-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MRNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     973181 | PA      | $979576.33     | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382W2D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5963056 | PA      | $4260202.64    | 0.08%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FMAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1751366 | PA      | $1797145.55    | 0.03%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 31300MN74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1459477 | PA      | $1484938.44    | 0.03%             | 2035-07-01      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| COOF 3313997003                                   | COOF 3313997003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3505736 | PA      | $220792.12     | 0.00%             | 2044-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COOF 2785447006                                   | COOF 2785447006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     534850 | PA      | $27520.68      | 0.00%             | 2044-04-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| COOF 9595685006                                   | COOF 9595685006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2042-08-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| COOF 2616187010                                   | COOF 2616187010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     973298 | PA      | $36500.98      | 0.00%             | 2029-03-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38381TP41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3815876 | PA      | $409080.26     | 0.01%             | 2049-04-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N24D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398274 | PA      | $406551.60     | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3160997001                                   | COOF 3160997001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1267801 | PA      | $96595.19      | 0.00%             | 2043-12-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| COOF 3033857002                                   | COOF 3033857002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-10-19      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| COOF 2935097004                                   | COOF 2935097004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                              | CUSIP: 3136FENW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1128716 | PA      | $903219.41     | 0.02%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AEJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2651297 | PA      | $2230571.05    | 0.04%             | 2043-06-25      | Floating      | 0.62%                 | No            |                  2 | On Loan: No      |
| COOF 2951347007                                   | COOF 2951347007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-09-28      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H1T30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8339567 | PA      | $5275913.06    | 0.10%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3308017008                                   | COOF 3308017008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1009781 | PA      | $33142.91      | 0.00%             | 2029-03-12      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383AHG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8068449 | PA      | $5448648.55    | 0.10%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31398NF90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335247 | PA      | $328174.02     | 0.01%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MEBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1851847 | PA      | $1865173.39    | 0.04%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N4AZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1298396 | PA      | $1307739.67    | 0.02%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3311227002                                   | COOF 3311227002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     480806 | PA      | $26773.36      | 0.00%             | 2043-12-07      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383LY61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49909878 | PA      | $50150395.92   | 0.95%             | 2052-12-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| COOF 3260627003                                   | COOF 3260627003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315721 | PA      | $17889.87      | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FM5A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1755591 | PA      | $1725643.72    | 0.03%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                  | CUSIP: 01F020620<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -35000000 | PA      | $-29463453.25  | -0.56%            | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FEG70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7540991 | PA      | $7430263.97    | 0.14%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3057717000                                   | COOF 3057717000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-12-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FSTA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5049157 | PA      | $5016674.36    | 0.10%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 31329KCA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7511 | PA      | $7488.28       | 0.00%             | 2024-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38380TU46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3441013 | PA      | $3374067.12    | 0.06%             | 2047-08-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Bank N.A.                             | RRP FNMA 30YR UMBS REPO                                                                                | CUSIP: 000000000<br>LEI: KB1H1DSPRFMYMCUFXT09 | Short            | RA               | CORP              | US        | -139603522 | PA      | $-139603522.07 | -2.65%            |  |  |  | No            |                  2 | On Loan: No      |
| COOF 3590627006                                   | COOF 3590627006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     408621 | PA      | $28830.73      | 0.00%             | 2044-03-28      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BGXB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19848288 | PA      | $19945530.14   | 0.38%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MR3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17318459 | PA      | $17468250.61   | 0.33%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383DUX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   71917545 | PA      | $8886347.65    | 0.17%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 2634407008                                   | COOF 2634407008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 2920627005                                   | COOF 2920627005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2214665 | PA      | $169428.53     | 0.00%             | 2044-02-28      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                     | CUSIP: 31325W4S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14406618 | PA      | $2511796.66    | 0.05%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H32X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1193508 | PA      | $733033.15     | 0.01%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3503627009                                   | COOF 3503627009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1129540 | PA      | $84761.13      | 0.00%             | 2044-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 3313177004                                   | COOF 3313177004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112605 | PA      | $6500.40       | 0.00%             | 2029-01-11      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AFEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     631006 | PA      | $610227.43     | 0.01%             | 2043-07-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3566887003                                   | COOF 3566887003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65166 | PA      | $2782.33       | 0.00%             | 2029-04-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| COOF 3146287004                                   | COOF 3146287004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     821584 | PA      | $68429.49      | 0.00%             | 2043-12-03      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FQTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2982383 | PA      | $3013854.60    | 0.06%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BCN48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1366450 | PA      | $791452.09     | 0.02%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 9717675002                                   | COOF 9717675002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     592173 | PA      | $44781.38      | 0.00%             | 2042-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 2585377004                                   | COOF 2585377004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-05-30      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| COOF 3473567002                                   | COOF 3473567002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     275361 | PA      | $23359.27      | 0.00%             | 2044-02-12      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31385HJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        485 | PA      | $476.04        | 0.00%             | 2029-08-01      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617XR6C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26288852 | PA      | $26525185.06   | 0.50%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BKU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11850865 | PA      | $1922718.67    | 0.04%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 2743587004                                   | COOF 2743587004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77074 | PA      | $2888.35       | 0.00%             | 2028-07-12      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| COOF 3170627010                                   | COOF 3170627010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 2937147010                                   | COOF 2937147010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     575077 | PA      | $41627.28      | 0.00%             | 2043-12-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AMBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3894456 | PA      | $3990239.68    | 0.08%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BGDP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21808857 | PA      | $21990671.73   | 0.42%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382LPC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   88886216 | PA      | $10804795.07   | 0.20%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382UCC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2357143 | PA      | $1694493.79    | 0.03%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382J3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   89932998 | PA      | $11097048.40   | 0.21%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H1R32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17061375 | PA      | $11018454.53   | 0.21%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3304867008                                   | COOF 3304867008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2001805 | PA      | $119558.27     | 0.00%             | 2029-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BEV570824 IRS USD R V 12MSOFR 1 CCPOIS / Short: BEV570824 IRS USD P F  1.94000 2 CCPOIS          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  100000000 | OU      | $20241930.00   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| COOF 3345437004                                   | COOF 3345437004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38380TU53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2799378 | PA      | $128625.53     | 0.00%             | 2047-08-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FLY65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7068894 | PA      | $7080052.95    | 0.13%             | 2049-05-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| COOF 3320297003                                   | COOF 3320297003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393755 | PA      | $38711.40      | 0.00%             | 2044-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36179XNJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  203975556 | PA      | $210811276.98  | 4.00%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUNTRUST BANK                                     | Small Business Administration Pools                                                                    | CUSIP: 83164MQF9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   41203964 | PA      | $41193754.02   | 0.78%             | 2029-02-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                     | CUSIP: 3142FR3N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10326017 | PA      | $1856546.59    | 0.04%             | 2050-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BGZE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9036449 | PA      | $9136634.19    | 0.17%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 2267047004                                   | COOF 2267047004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2034-02-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MMZE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404786 | PA      | $413452.00     | 0.01%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H1Q58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1046 | PA      | $680.13        | 0.00%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F6VJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14640475 | PA      | $8120744.01    | 0.15%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3543647009                                   | COOF 3543647009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3472650 | PA      | $278586.61     | 0.01%             | 2044-03-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| COOF 2959527007                                   | COOF 2959527007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     329001 | PA      | $13647.86      | 0.00%             | 2029-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COOF 2678197008                                   | COOF 2678197008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3138EHHD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150480 | PA      | $153556.19     | 0.00%             | 2036-06-01      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| COOF 3406797001                                   | COOF 3406797001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160921 | PA      | $8464.57       | 0.00%             | 2029-01-18      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| COOF 2466067002                                   | COOF 2466067002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-12      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| COOF 3420857002                                   | COOF 3420857002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     288771 | PA      | $33724.63      | 0.00%             | 2044-02-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| COOF 8325295002                                   | COOF 8325295002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2042-08-17      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| COOF 3280677004                                   | COOF 3280677004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     381258 | PA      | $16133.80      | 0.00%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137B4AK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2826489 | PA      | $1583481.18    | 0.03%             | 2043-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 3540137003                                   | COOF 3540137003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-18      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| COOF 3288107002                                   | COOF 3288107002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161787 | PA      | $9041.11       | 0.00%             | 2044-01-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F3E59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1144548 | PA      | $210542.84     | 0.00%             | 2048-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNMA2 30YR REPO                                                                                    | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -45212310 | PA      | $-45212309.93  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382M2V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23438715 | PA      | $2875792.08    | 0.05%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RMOF SD 10/10/2017                                | RMOF SD 10/10/2017                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     265652 | PA      | $27708.80      | 0.00%             | 2034-11-24      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| COOF 3046237003                                   | COOF 3046237003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-02-08      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H27D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35401850 | PA      | $23513561.55   | 0.45%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 9430825002                                   | COOF 9430825002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2042-06-15      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HRDE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     946968 | PA      | $953600.34     | 0.02%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133KQJL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3819826 | PA      | $3945175.12    | 0.07%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31394AWM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     844164 | PA      | $31818.73      | 0.00%             | 2034-04-25      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38380FYW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2458202 | PA      | $275736.57     | 0.01%             | 2047-07-20      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AJAA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     729936 | PA      | $666750.82     | 0.01%             | 2043-06-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3387937010                                   | COOF 3387937010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3548517004                                   | COOF 3548517004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382VNE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124098 | PA      | $75261.86      | 0.00%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F7ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31228798 | PA      | $1305148.28    | 0.02%             | 2050-12-25      | Floating      | 0.08%                 | No            |                  2 | On Loan: No      |
| COOF 1966497004                                   | COOF 1966497004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1875438 | PA      | $230887.68     | 0.00%             | 2044-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 2946287008                                   | COOF 2946287008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     435845 | PA      | $38405.72      | 0.00%             | 2043-10-17      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382XE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1564724 | PA      | $1113982.41    | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3549087008                                   | COOF 3549087008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383LCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12947221 | PA      | $13788290.67   | 0.26%             | 2052-11-20      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382URP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13250995 | PA      | $1902527.54    | 0.04%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3319587010                                   | COOF 3319587010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F8JG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2875752 | PA      | $1955124.68    | 0.04%             | 2050-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FUVT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6518927 | PA      | $6511620.06    | 0.12%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140QQLX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  144202221 | PA      | $147154379.36  | 2.79%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2954467003                                   | COOF 2954467003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     455710 | PA      | $19846.17      | 0.00%             | 2028-12-04      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| COOF 3314567005                                   | COOF 3314567005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     455897 | PA      | $46936.84      | 0.00%             | 2044-01-07      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F6JC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16973327 | PA      | $11065460.17   | 0.21%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 2761757000                                   | COOF 2761757000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179681 | PA      | $10013.56      | 0.00%             | 2029-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AMBL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2068894 | PA      | $2146894.94    | 0.04%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 3324777002                                   | COOF 3324777002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     879765 | PA      | $53740.03      | 0.00%             | 2044-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136A9VE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546975 | PA      | $350371.68     | 0.01%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 3342067005                                   | COOF 3342067005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2964870 | PA      | $163826.64     | 0.00%             | 2044-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617F0X48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     894394 | PA      | $905229.01     | 0.02%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MPDE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1064496 | PA      | $1052770.45    | 0.02%             | 2052-08-01      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A6UK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3621240 | PA      | $3697855.41    | 0.07%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2941197006                                   | COOF 2941197006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3140677002                                   | COOF 3140677002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2045431 | PA      | $138303.54     | 0.00%             | 2043-12-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| COOF 3340927010                                   | COOF 3340927010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 2705557005                                   | COOF 2705557005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225382 | PA      | $19117.59      | 0.00%             | 2043-07-09      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136A55M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17788236 | PA      | $17697747.74   | 0.34%             | 2042-05-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COOF 3102547008                                   | COOF 3102547008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-12-10      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| COOF 8478075007                                   | COOF 8478075007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2042-07-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F3NP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1243501 | PA      | $228750.75     | 0.00%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A8CS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14117385 | PA      | $14371696.72   | 0.27%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136B4AQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7509760 | PA      | $7461107.26    | 0.14%             | 2049-04-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FFSJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8471319 | PA      | $5900395.91    | 0.11%             | 2051-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HKU45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1096840 | PA      | $1104522.74    | 0.02%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31368HED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2729 | PA      | $2727.20       | 0.00%             | 2023-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FEM57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3216097 | PA      | $3162240.85    | 0.06%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N0TW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2222244 | PA      | $2233374.16    | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 2617217008                                   | COOF 2617217008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-11-06      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FWWR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6269767 | PA      | $745627.65     | 0.01%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3068037003                                   | COOF 3068037003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3554417005                                   | COOF 3554417005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3464734 | PA      | $243147.93     | 0.00%             | 2044-04-15      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MVSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1039616 | PA      | $1056193.54    | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N2MU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1451581 | PA      | $1475401.15    | 0.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3391207006                                   | COOF 3391207006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382WAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9084579 | PA      | $1308152.13    | 0.02%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3472327009                                   | COOF 3472327009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HMAV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1653214 | PA      | $1664793.61    | 0.03%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38380LNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   50984130 | PA      | $50200728.55   | 0.95%             | 2068-12-20      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| COOF 2883087009                                   | COOF 2883087009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     423273 | PA      | $39118.16      | 0.00%             | 2043-08-28      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BNSW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     869659 | PA      | $885669.72     | 0.02%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31378A5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43096 | PA      | $41942.21      | 0.00%             | 2027-03-01      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| COOF 9482635006                                   | COOF 9482635006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3396749 | PA      | $269784.74     | 0.01%             | 2042-07-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BLQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32397961 | PA      | $4942253.83    | 0.09%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 1961757000                                   | COOF 1961757000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BA3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7028285 | PA      | $1004312.43    | 0.02%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3382827002                                   | COOF 3382827002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     591458 | PA      | $53687.52      | 0.00%             | 2044-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A5FY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1340528 | PA      | $1370146.61    | 0.03%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3054207005                                   | COOF 3054207005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-11-30      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MY7J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1193488 | PA      | $1218667.82    | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2746977009                                   | COOF 2746977009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180502 | PA      | $10046.62      | 0.00%             | 2029-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | BEV54SXW2 EATON VANCE                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        | -180000000 | NC      | $-5.40         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COOF 3412587004                                   | COOF 3412587004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-04      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H32N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4723320 | PA      | $3077282.29    | 0.06%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BHQU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4168403 | PA      | $4197096.66    | 0.08%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 1869697003                                   | COOF 1869697003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2023855 | PA      | $166333.64     | 0.00%             | 2043-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BEV55NVR5 EATON VANCE                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  125000000 | NC      | $7657221.25    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FUVU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14187460 | PA      | $14207027.07   | 0.27%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N4TK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     924468 | PA      | $942758.24     | 0.02%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 9503365008                                   | COOF 9503365008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2042-07-15      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617H3LY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     384244 | PA      | $386935.30     | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383CGN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4764197 | PA      | $3553267.51    | 0.07%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3379017005                                   | COOF 3379017005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95754 | PA      | $3833.69       | 0.00%             | 2029-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 3171407005                                   | COOF 3171407005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 2006007005                                   | COOF 2006007005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-10-30      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617XRGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1349215 | PA      | $1361765.65    | 0.03%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FHLM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1708455 | PA      | $1679845.42    | 0.03%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3014147006                                   | COOF 3014147006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2063792 | PA      | $114676.73     | 0.00%             | 2028-10-22      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BPC22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     635381 | PA      | $648984.43     | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3420497001                                   | COOF 3420497001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1141639 | PA      | $133608.27     | 0.00%             | 2044-02-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BGKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1430552 | PA      | $1450234.88    | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3534027009                                   | COOF 3534027009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-04-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N0TL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1416294 | PA      | $1439535.26    | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3314497008                                   | COOF 3314497008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1273524 | PA      | $139490.73     | 0.00%             | 2044-01-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| COOF 3176307009                                   | COOF 3176307009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3101777005                                   | COOF 3101777005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FFUD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5020324 | PA      | $3071339.42    | 0.06%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 2664137000                                   | COOF 2664137000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FY4G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2012973 | PA      | $1163270.33    | 0.02%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3598997006                                   | COOF 3598997006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36225CEQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45516 | PA      | $44250.48      | 0.00%             | 2027-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| COOF 3329987005                                   | COOF 3329987005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1059485 | PA      | $70891.03      | 0.00%             | 2044-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| RAYMOND JAMES BANK, N.A.                          | Small Business Administration Pools                                                                    | CUSIP: 83164MQB8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     966928 | PA      | $963134.47     | 0.02%             | 2044-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| COOF 2924707002                                   | COOF 2924707002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 3532067006                                   | COOF 3532067006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559895 | PA      | $45133.31      | 0.00%             | 2044-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F6QR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4264428 | PA      | $2595919.94    | 0.05%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 2927657006                                   | COOF 2927657006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1001526 | PA      | $82205.27      | 0.00%             | 2043-12-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COOF 3315827002                                   | COOF 3315827002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     434011 | PA      | $25336.94      | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N0TU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7175748 | PA      | $7211688.67    | 0.14%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3276077009                                   | COOF 3276077009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 3549297001                                   | COOF 3549297001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-04-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BMIBE7FE1 EATON VANCE                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        | -180000000 | NC      | $-195787.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COOF 3334167000                                   | COOF 3334167000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57317 | PA      | $3941.96       | 0.00%             | 2028-12-12      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382VCJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18129849 | PA      | $2610725.52    | 0.05%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A87D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6032197 | PA      | $6150396.25    | 0.12%             | 2062-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N5LM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1291677 | PA      | $1323772.17    | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36179W7D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   48457181 | PA      | $47539723.89   | 0.90%             | 2052-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3314997005                                   | COOF 3314997005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74725 | PA      | $7796.81       | 0.00%             | 2043-12-14      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                        | RRP FHLMC 30YR UMBS REPO                                                                               | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | Short            | RA               | CORP              | US        |  -18868951 | PA      | $-18868950.52  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| COOF 3514487010                                   | COOF 3514487010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     419464 | PA      | $27313.91      | 0.00%             | 2044-03-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 3188757001                                   | COOF 3188757001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153033 | PA      | $5530.97       | 0.00%             | 2028-12-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133JL7G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5109140 | PA      | $5051706.35    | 0.10%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137AAEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1044344 | PA      | $1004995.82    | 0.02%             | 2041-05-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FWU65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10990910 | PA      | $1361063.71    | 0.03%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3348887005                                   | COOF 3348887005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     485344 | PA      | $40578.55      | 0.00%             | 2044-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BJD85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16782334 | PA      | $12125157.61   | 0.23%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N7CS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9885167 | PA      | $10305315.43   | 0.20%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 2977577004                                   | COOF 2977577004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-11-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382EA49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     305156 | PA      | $287381.75     | 0.01%             | 2050-05-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 3271257005                                   | COOF 3271257005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| COOF 3024857000                                   | COOF 3024857000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-11-15      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| COOF 3557417000                                   | COOF 3557417000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96315 | PA      | $5427.06       | 0.00%             | 2029-04-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| COOF 3269087003                                   | COOF 3269087003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-11-28      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AFEY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     320162 | PA      | $335393.36     | 0.01%             | 2062-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COOF 3488747000                                   | COOF 3488747000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     178509 | PA      | $7479.90       | 0.00%             | 2029-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 3550457009                                   | COOF 3550457009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     772369 | PA      | $46568.34      | 0.00%             | 2029-04-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| COOF 3357957004                                   | COOF 3357957004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3374007003                                   | COOF 3374007003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1344967 | PA      | $94088.84      | 0.00%             | 2044-01-17      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| COOF 3580587003                                   | COOF 3580587003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3544008 | PA      | $291369.26     | 0.01%             | 2044-03-05      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| COOF 3504237001                                   | COOF 3504237001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     780466 | PA      | $47690.73      | 0.00%             | 2044-02-08      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A5M91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1145303 | PA      | $1173471.68    | 0.02%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 31346AL29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     436748 | PA      | $435901.62     | 0.01%             | 2037-10-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 3128JR2R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68434 | PA      | $67843.92      | 0.00%             | 2025-09-01      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| COOF 3191737007                                   | COOF 3191737007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137BQUF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14213444 | PA      | $2449473.81    | 0.05%             | 2046-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BGSA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2652442 | PA      | $2671529.41    | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 2695157009                                   | COOF 2695157009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     237229 | PA      | $24516.62      | 0.00%             | 2043-07-27      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383DSE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   53941271 | PA      | $735446.08     | 0.01%             | 2051-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BKG60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17735257 | PA      | $17862882.24   | 0.34%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618ALRP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1051989 | PA      | $1075408.43    | 0.02%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COOF 2700047006                                   | COOF 2700047006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-06-29      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3138AFUG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58114 | PA      | $58109.59      | 0.00%             | 2026-12-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| ORIGO COLD MADERA PHASE 1                         | ORIGO COLD MADERA PHASE 1                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9078035 | PA      | $9086387.25    | 0.17%             | 2027-07-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| COOF 3186637007                                   | COOF 3186637007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140QANN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2809340 | PA      | $2816264.69    | 0.05%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FWTA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2672440 | PA      | $1616263.24    | 0.03%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F64H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1159529 | PA      | $615835.02     | 0.01%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3027677000                                   | COOF 3027677000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     243526 | PA      | $12627.33      | 0.00%             | 2028-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382KXR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43371565 | PA      | $4756438.10    | 0.09%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617F9V41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3906672 | PA      | $3947896.09    | 0.07%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 2971987008                                   | COOF 2971987008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2455798 | PA      | $139107.33     | 0.00%             | 2044-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140QPLC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20067808 | PA      | $20212218.97   | 0.38%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGKB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7454273 | PA      | $4771879.40    | 0.09%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3379367005                                   | COOF 3379367005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     353606 | PA      | $20703.70      | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 3142BNKF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1542398 | PA      | $1496167.08    | 0.03%             | 2052-09-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| COOF 3314267009                                   | COOF 3314267009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1038786 | PA      | $88995.50      | 0.00%             | 2044-02-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H16E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     768847 | PA      | $449299.74     | 0.01%             | 2051-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F8JD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     703205 | PA      | $371644.76     | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31418EHQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235492 | PA      | $239871.06     | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2930687005                                   | COOF 2930687005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     456745 | PA      | $19891.27      | 0.00%             | 2028-11-30      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617YWB90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1538943 | PA      | $1498281.01    | 0.03%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383APH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4833807 | PA      | $3756118.45    | 0.07%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A6U74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2284500 | PA      | $2329264.43    | 0.04%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3403777000                                   | COOF 3403777000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FVW40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15007905 | PA      | $1836784.42    | 0.03%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3214857001                                   | COOF 3214857001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-12-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COOF 3522267003                                   | COOF 3522267003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     456877 | PA      | $33548.81      | 0.00%             | 2044-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BNBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8452904 | PA      | $8628226.84    | 0.16%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BCN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4227323 | PA      | $2324448.53    | 0.04%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3420127006                                   | COOF 3420127006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1524686 | PA      | $113409.76     | 0.00%             | 2044-01-29      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BDJU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306649 | PA      | $176990.74     | 0.00%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36202KGK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7453 | PA      | $7389.87       | 0.00%             | 2023-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BMF26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6692469 | PA      | $6802291.38    | 0.13%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3501957010                                   | COOF 3501957010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| COOF 3125887008                                   | COOF 3125887008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-21      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F9ZV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     524056 | PA      | $311015.44     | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4692208 | PA      | $3346686.61    | 0.06%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3382327005                                   | COOF 3382327005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     345543 | PA      | $20613.80      | 0.00%             | 2044-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| COOF 3300787000                                   | COOF 3300787000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| COOF 2709357001                                   | COOF 2709357001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1324828 | PA      | $103376.01     | 0.00%             | 2043-07-09      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AR4G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1603365 | PA      | $1299189.31    | 0.02%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 2846707006                                   | COOF 2846707006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     681279 | PA      | $41647.29      | 0.00%             | 2043-09-14      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BEV55NVS3 EATON VANCE                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        | -125000000 | NC      | $-1402.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FCZC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169294 | PA      | $173775.48     | 0.00%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3354947006                                   | COOF 3354947006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2545119 | PA      | $116395.99     | 0.00%             | 2029-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                                    | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |  100614058 | NS      | $100614057.65  | 1.91%             |  |  |  | No            |                  1 | On Loan: No      |
| COOF 8011475005                                   | COOF 8011475005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2577653 | PA      | $195131.07     | 0.00%             | 2044-03-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140K5A56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8144087 | PA      | $7493167.79    | 0.14%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H0ZK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     433331 | PA      | $314912.89     | 0.01%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31418EKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  447933370 | PA      | $455563847.48  | 8.64%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AGXU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     946401 | PA      | $997527.90     | 0.02%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COOF 2848127002                                   | COOF 2848127002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-10-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137B4QT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7082021 | PA      | $7057387.05    | 0.13%             | 2043-09-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| COOF 3037067009                                   | COOF 3037067009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     580666 | PA      | $24774.49      | 0.00%             | 2028-10-19      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BHQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5502368 | PA      | $5618796.85    | 0.11%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3282197006                                   | COOF 3282197006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A8CR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1960591 | PA      | $2003931.87    | 0.04%             | 2052-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COOF 2972517009                                   | COOF 2972517009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     428772 | PA      | $45984.72      | 0.00%             | 2043-10-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FUV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7652307 | PA      | $7662861.17    | 0.15%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3420287008                                   | COOF 3420287008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     340880 | PA      | $23052.76      | 0.00%             | 2043-12-31      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38380LQG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19749192 | PA      | $19640608.95   | 0.37%             | 2069-01-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| COOF 3188197010                                   | COOF 3188197010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N0YK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2747753 | PA      | $2766667.66    | 0.05%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38380LMY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32102378 | PA      | $31689460.96   | 0.60%             | 2068-10-20      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133KPZA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  160124204 | PA      | $161276481.53  | 3.06%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136ANEK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308481 | PA      | $58396.40      | 0.00%             | 2045-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COOF 2649967004                                   | COOF 2649967004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-06-26      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BGMV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7396002 | PA      | $7551575.84    | 0.14%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3061467000                                   | COOF 3061467000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-11-30      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| COOF 9535685004                                   | COOF 9535685004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2041-09-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F9BF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2993897 | PA      | $1848305.09    | 0.04%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 31300MNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     407152 | PA      | $414837.11     | 0.01%             | 2038-05-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| COOF 3313557000                                   | COOF 3313557000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97314 | PA      | $5460.78       | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 3185377010                                   | COOF 3185377010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617MX7B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1148076 | PA      | $1124917.60    | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COOF 3325707005                                   | COOF 3325707005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| COOF 2962457000                                   | COOF 2962457000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     644587 | PA      | $36735.88      | 0.00%             | 2028-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 3470027009                                   | COOF 3470027009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1439885 | PA      | $155693.75     | 0.00%             | 2044-02-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| COOF 2406377010                                   | COOF 2406377010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90455 | PA      | $4700.43       | 0.00%             | 2028-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 3128HDZJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5917 | PA      | $5662.84       | 0.00%             | 2029-06-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| COOF 2527087002                                   | COOF 2527087002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95892 | PA      | $3450.99       | 0.00%             | 2028-05-07      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382T5V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35155621 | PA      | $4061644.88    | 0.08%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BHHS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1768424 | PA      | $1776784.20    | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382W5G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10594734 | PA      | $8103975.56    | 0.15%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 2960777009                                   | COOF 2960777009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169254 | PA      | $7432.74       | 0.00%             | 2028-10-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133KP6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52189076 | PA      | $53053908.75   | 1.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A4XX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1819239 | PA      | $1928191.09    | 0.04%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 3414037007                                   | COOF 3414037007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     904908 | PA      | $69624.48      | 0.00%             | 2044-02-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 2930327002                                   | COOF 2930327002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     321017 | PA      | $15510.15      | 0.00%             | 2028-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136B1TS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4351658 | PA      | $776960.18     | 0.01%             | 2048-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BCQ59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3378735 | PA      | $3415032.48    | 0.06%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617G7Z65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     515899 | PA      | $519512.42     | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2021-SB92 Mortgage Trust                                                                         | CUSIP: 30323PAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24174825 | PA      | $654332.74     | 0.01%             | 2041-08-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137BKJC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191508 | PA      | $3824.41       | 0.00%             | 2044-09-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | Long: B95V4ZF37 CDS USD R V 03MEVENT 1 CCPCDX / Short: B95V4ZF37 CDS USD P F  1.00000 2 CCPCDX         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  300000000 | OU      | $-3699294.00   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617J0F28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     221454 | PA      | $223004.61     | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3471827004                                   | COOF 3471827004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     678868 | PA      | $61806.05      | 0.00%             | 2044-03-15      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| COOF 3484997008                                   | COOF 3484997008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2272426 | PA      | $134538.08     | 0.00%             | 2044-03-15      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| COOF 2985607000                                   | COOF 2985607000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H44M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5609602 | PA      | $3880482.74    | 0.07%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3171167005                                   | COOF 3171167005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85948 | PA      | $4949.72       | 0.00%             | 2028-12-11      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| RMOF SD 12/27/17                                  | RMOF SD 12/27/17                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57186613 | PA      | $2808340.73    | 0.05%             | 2041-03-18      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36179UF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     491033 | PA      | $484804.75     | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BDQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27934045 | PA      | $3857691.56    | 0.07%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3132DWE82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   86915448 | PA      | $88341717.24   | 1.68%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3240287000                                   | COOF 3240287000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3489397004                                   | COOF 3489397004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -5650 | NC      | $-7694650.25   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| COOF 3328707000                                   | COOF 3328707000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-04-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| COOF 2726877006                                   | COOF 2726877006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-07-12      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BDPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3433586 | PA      | $1919198.26    | 0.04%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382XH24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7515439 | PA      | $5642779.53    | 0.11%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3309007007                                   | COOF 3309007007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1009392 | PA      | $100851.28     | 0.00%             | 2043-12-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F6JE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1625184 | PA      | $897714.20     | 0.02%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617YWB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5241131 | PA      | $5099375.09    | 0.10%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COOF 3476257009                                   | COOF 3476257009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     398758 | PA      | $31151.79      | 0.00%             | 2044-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SUNTRUST BANK                                     | Small Business Administration Pools                                                                    | CUSIP: 83164MQE2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   39200744 | PA      | $39047112.82   | 0.74%             | 2044-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| COOF 3106147003                                   | COOF 3106147003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-17      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| COOF 3358887009                                   | COOF 3358887009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AJWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1149126 | PA      | $848749.16     | 0.02%             | 2044-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FGGP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4835831 | PA      | $930386.82     | 0.02%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FTMJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     977389 | PA      | $989230.01     | 0.02%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38381RHB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2364348 | PA      | $249377.76     | 0.00%             | 2049-02-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BPCY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     385427 | PA      | $394474.34     | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383DCR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9110599 | PA      | $7124852.80    | 0.14%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3533197001                                   | COOF 3533197001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     915000 | PA      | $61289.74      | 0.00%             | 2044-03-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382KWY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  144865001 | PA      | $16234586.01   | 0.31%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3015777009                                   | COOF 3015777009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174489 | PA      | $6370.82       | 0.00%             | 2029-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F8BR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8631455 | PA      | $5086245.84    | 0.10%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3000837000                                   | COOF 3000837000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     547006 | PA      | $26927.86      | 0.00%             | 2044-02-15      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31402DJS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1023 | PA      | $1062.43       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2805207002                                   | COOF 2805207002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-08-13      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  108164576 | PA      | $12563315.45   | 0.24%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 2805977010                                   | COOF 2805977010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     355339 | PA      | $32160.94      | 0.00%             | 2043-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MMFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     937969 | PA      | $926724.87     | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FXPQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1792563 | PA      | $923308.31     | 0.02%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HTAK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     167746 | PA      | $168134.48     | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31385HJZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154011 | PA      | $155785.46     | 0.00%             | 2035-08-01      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| COOF 3549047007                                   | COOF 3549047007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3288305 | PA      | $226258.75     | 0.00%             | 2044-03-15      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| COOF 3386447003                                   | COOF 3386447003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     619274 | PA      | $50517.69      | 0.00%             | 2044-01-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BBZW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1112773 | PA      | $1119042.10    | 0.02%             | 2052-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A53X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     559428 | PA      | $570390.07     | 0.01%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3077117005                                   | COOF 3077117005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1365846 | PA      | $100330.02     | 0.00%             | 2043-10-30      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 2313187002                                   | COOF 2313187002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     511468 | PA      | $42294.06      | 0.00%             | 2043-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137BLH43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2883534 | PA      | $341960.28     | 0.01%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COOF 3540937007                                   | COOF 3540937007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-04-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137B3MC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1930960 | PA      | $1789170.46    | 0.03%             | 2043-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618ABY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2528778 | PA      | $2578328.75    | 0.05%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38380TSS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128433 | PA      | $120822.52     | 0.00%             | 2046-11-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 3142BAL83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3899347 | PA      | $3868558.95    | 0.07%             | 2052-08-01      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BMIBM2Y69                                         | BMIBM2Y69                                                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20000000 | PA      | $468780.00     | 0.01%             | 2052-12-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383CV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   48336848 | PA      | $2999895.93    | 0.06%             | 2063-05-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| COOF 3247137004                                   | COOF 3247137004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-03-14      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| COOF 9484075008                                   | COOF 9484075008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2844827 | PA      | $160533.82     | 0.00%             | 2042-07-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137AXWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     611154 | PA      | $554896.60     | 0.01%             | 2042-11-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140QQLY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  145244205 | PA      | $148263084.11  | 2.81%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3273527007                                   | COOF 3273527007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130595 | PA      | $7534.34       | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F7NG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3620371 | PA      | $1955522.65    | 0.04%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 2985247010                                   | COOF 2985247010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     904708 | PA      | $72555.88      | 0.00%             | 2044-02-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| COOF 3419837010                                   | COOF 3419837010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MEBU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5493721 | PA      | $5526387.50    | 0.10%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3183507008                                   | COOF 3183507008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 2761907008                                   | COOF 2761907008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-02-28      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136ATQN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     716636 | PA      | $70970.19      | 0.00%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A9EW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8973301 | PA      | $9193997.09    | 0.17%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31358UWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $128.91        | 0.00%             | 2023-04-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| COOF 3481897007                                   | COOF 3481897007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     534933 | PA      | $31225.70      | 0.00%             | 2029-03-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| COOF 1064227005                                   | COOF 1064227005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                             | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -65000000 | PA      | $-56222923.25  | -1.07%            | 2053-02-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AXCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     560807 | PA      | $563017.10     | 0.01%             | 2047-07-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| COOF 2675357002                                   | COOF 2675357002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     222263 | PA      | $9262.59       | 0.00%             | 2028-12-26      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| COOF 3126457010                                   | COOF 3126457010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-13      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F7UC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8071530 | PA      | $4527991.77    | 0.09%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FVS60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31087802 | PA      | $3804786.37    | 0.07%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BKUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4402821 | PA      | $3173133.20    | 0.06%             | 2051-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3408837004                                   | COOF 3408837004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617XR5T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19066242 | PA      | $19237644.80   | 0.36%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136B9EX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12876201 | PA      | $1609147.82    | 0.03%             | 2050-02-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| COOF 3576837003                                   | COOF 3576837003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     291189 | PA      | $24960.96      | 0.00%             | 2044-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3183717001                                   | COOF 3183717001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     259670 | PA      | $21663.90      | 0.00%             | 2044-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 2620057009                                   | COOF 2620057009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     873838 | PA      | $40043.83      | 0.00%             | 2028-12-21      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137BLKB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     303336 | PA      | $13597.62      | 0.00%             | 2044-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AKW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     647565 | PA      | $137207.88     | 0.00%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COOF 2880207002                                   | COOF 2880207002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229649 | PA      | $12902.21      | 0.00%             | 2043-09-14      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| COOF 3358667002                                   | COOF 3358667002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     984351 | PA      | $57203.53      | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 2915397003                                   | COOF 2915397003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1775589 | PA      | $174751.32     | 0.00%             | 2043-10-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31418C6T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117541 | PA      | $118607.03     | 0.00%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383CB74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22960755 | PA      | $184854.74     | 0.00%             | 2051-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 3400267005                                   | COOF 3400267005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-04-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617W1W63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5367672 | PA      | $5331462.28    | 0.10%             | 2052-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3288507004                                   | COOF 3288507004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     269437 | PA      | $15036.23      | 0.00%             | 2028-12-14      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617UBU32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1096039 | PA      | $1107604.86    | 0.02%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 2928817008                                   | COOF 2928817008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-11-13      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| COOF 3338447009                                   | COOF 3338447009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-12      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FUYY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12699490 | PA      | $13507673.80   | 0.26%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382TD68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35780798 | PA      | $4866413.97    | 0.09%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                     | CUSIP: 3128HWPJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1287800 | PA      | $1071641.47    | 0.02%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 3406197009                                   | COOF 3406197009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     780847 | PA      | $47915.33      | 0.00%             | 2044-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| COOF 2647407007                                   | COOF 2647407007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-06-14      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137BWX82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1622116 | PA      | $1557593.00    | 0.03%             | 2046-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3267147004                                   | COOF 3267147004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84267 | PA      | $4914.72       | 0.00%             | 2028-11-29      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38380GWN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1541933 | PA      | $1511567.73    | 0.03%             | 2047-09-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 3128Q4Z77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     511245 | PA      | $516351.22     | 0.01%             | 2034-06-01      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36179XQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  159397597 | PA      | $164739401.00  | 3.13%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COOF 2864827000                                   | COOF 2864827000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1255406 | PA      | $108635.71     | 0.00%             | 2044-03-08      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| COOF 3414377004                                   | COOF 3414377004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39194 | PA      | $1555.19       | 0.00%             | 2029-03-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 3483937010                                   | COOF 3483937010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     827601 | PA      | $73902.84      | 0.00%             | 2044-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H3KU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6400361 | PA      | $4588215.19    | 0.09%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3325337001                                   | COOF 3325337001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1483561 | PA      | $178163.10     | 0.00%             | 2044-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FVPY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31606203 | PA      | $3899462.67    | 0.07%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BG3H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17299149 | PA      | $11193052.62   | 0.21%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31402J7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187303 | PA      | $191184.33     | 0.00%             | 2033-08-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| COOF 3326597000                                   | COOF 3326597000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1259459 | PA      | $79046.49      | 0.00%             | 2044-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COOF 3408397003                                   | COOF 3408397003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| COOF 2628037008                                   | COOF 2628037008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1257777 | PA      | $105410.75     | 0.00%             | 2044-01-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3138EMWC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426142 | PA      | $435604.58     | 0.01%             | 2038-05-01      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| COOF 3047357006                                   | COOF 3047357006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     485405 | PA      | $36447.64      | 0.00%             | 2043-11-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BEV54P6R9 EATON VANCE                                                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        | -115000000 | NC      | $-4.60         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COOF 3476667003                                   | COOF 3476667003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     581942 | PA      | $62047.90      | 0.00%             | 2044-03-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383FCW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10181261 | PA      | $7889892.32    | 0.15%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3478377003                                   | COOF 3478377003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     372589 | PA      | $29545.36      | 0.00%             | 2044-04-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| COOF 2956077008                                   | COOF 2956077008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FXFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     914617 | PA      | $932538.57     | 0.02%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3498867005                                   | COOF 3498867005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1415831 | PA      | $108017.06     | 0.00%             | 2044-02-26      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 3363967003                                   | COOF 3363967003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310345 | PA      | $17319.17      | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 31397JZ31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     916722 | PA      | $101262.06     | 0.00%             | 2037-07-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136AKJE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     774826 | PA      | $118567.93     | 0.00%             | 2044-07-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140QQL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22081974 | PA      | $22444335.61   | 0.43%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617YSVZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   46710588 | PA      | $47830229.62   | 0.91%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BJRW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9234069 | PA      | $9336444.96    | 0.18%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3499337001                                   | COOF 3499337001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     625248 | PA      | $64857.99      | 0.00%             | 2044-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383GT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     776456 | PA      | $528254.39     | 0.01%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3326657005                                   | COOF 3326657005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                  | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  290225000 | PA      | $298228868.58  | 5.66%             | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | BMIBAB1C5 EATON VANCE                                                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              |  | US        | -180000000 | NC      | $-216.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BPX52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1847912 | PA      | $1906242.23    | 0.04%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H1YE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1046 | PA      | $680.65        | 0.00%             | 2050-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                        | REPO RRP GNMA2 30YR CASH/RRP                                                                           | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | Short            | RA               | CORP              | US        | -153068731 | PA      | $-153068731.02 | -2.90%            |  |  |  | No            |                  2 | On Loan: No      |
| COOF 2964337003                                   | COOF 2964337003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1321866 | PA      | $139708.36     | 0.00%             | 2043-11-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FMCA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2142221 | PA      | $2268660.47    | 0.04%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COOF 3472547005                                   | COOF 3472547005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     632884 | PA      | $71096.93      | 0.00%             | 2044-03-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| COOF 2296467000                                   | COOF 2296467000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240131 | PA      | $23356.60      | 0.00%             | 2043-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 3008877006                                   | COOF 3008877006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     382405 | PA      | $29457.00      | 0.00%             | 2043-12-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N5PH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2908048 | PA      | $2969400.30    | 0.06%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382NXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12219980 | PA      | $1568685.01    | 0.03%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382JCA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15402347 | PA      | $2009334.68    | 0.04%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 2723097002                                   | COOF 2723097002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70568 | PA      | $4073.71       | 0.00%             | 2028-11-02      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BEV53DUR0 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV53DUR0 IRS USD P F  2.01000 2 CCPVANILLA | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  300000000 | OU      | $70498590.00   | 1.34%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A4XE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185338 | PA      | $191862.30     | 0.00%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 2763577009                                   | COOF 2763577009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-03      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H2BB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10260408 | PA      | $6618098.59    | 0.13%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31415MLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1150025 | PA      | $1176172.82    | 0.02%             | 2033-11-01      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136A9CN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     628019 | PA      | $243931.61     | 0.00%             | 2042-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                      | CUSIP: 3617AUBH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     658067 | PA      | $658990.10     | 0.01%             | 2047-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 31396AL36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     991647 | PA      | $77524.62      | 0.00%             | 2035-09-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MYRS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8613791 | PA      | $8709289.61    | 0.17%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617FUXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10904875 | PA      | $11203747.91   | 0.21%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3264887008                                   | COOF 3264887008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-21      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BGAL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4294952 | PA      | $4330758.03    | 0.08%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas Securities Corp.                      | RRP FHLMC 30YR REPO                                                                                    | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | Short            | RA               | CORP              | US        |    -948422 | PA      | $-948421.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383D3W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7525124 | PA      | $5476751.34    | 0.10%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N4LY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     597024 | PA      | $607193.85     | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H1P91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1622015 | PA      | $1305772.80    | 0.02%             | 2050-04-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N15Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4872934 | PA      | $4965080.74    | 0.09%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3295967000                                   | COOF 3295967000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-12-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COOF 3315057007                                   | COOF 3315057007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000508 | PA      | $67847.62      | 0.00%             | 2044-03-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| COOF 3605917003                                   | COOF 3605917003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3537013 | PA      | $262753.90     | 0.00%             | 2044-04-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| COOF 2926077007                                   | COOF 2926077007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1731353 | PA      | $144652.08     | 0.00%             | 2044-09-18      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FXFJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7933 | PA      | $4420.58       | 0.00%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38379DCP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5463150 | PA      | $118494.08     | 0.00%             | 2043-01-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3132DNQM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42098921 | PA      | $42789757.48   | 0.81%             | 2052-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 2719367008                                   | COOF 2719367008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-06-29      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382TYS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1470018 | PA      | $1072575.52    | 0.02%             | 2051-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38379QXH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     503394 | PA      | $415251.23     | 0.01%             | 2044-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AA3U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1981293 | PA      | $2020115.67    | 0.04%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FTN FINANCIAL CAPITAL MARKETS                     | Small Business Administration Pools                                                                    | CUSIP: 83164MQG7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   19144366 | PA      | $20209667.82   | 0.38%             | 2044-02-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382QNZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     281260 | PA      | $147580.49     | 0.00%             | 2051-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COOF 2852647008                                   | COOF 2852647008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     306993 | PA      | $21660.20      | 0.00%             | 2043-10-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133KP7B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16714433 | PA      | $16913061.56   | 0.32%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3607427002                                   | COOF 3607427002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COOF 3200167005                                   | COOF 3200167005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     666286 | PA      | $38965.41      | 0.00%             | 2029-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 8714615006                                   | COOF 8714615006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2041-09-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| COOF 2823207006                                   | COOF 2823207006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-04-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COOF 3307797006                                   | COOF 3307797006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137B74R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     649547 | PA      | $621231.36     | 0.01%             | 2043-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3343117009                                   | COOF 3343117009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     866908 | PA      | $84351.81      | 0.00%             | 2044-01-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| COOF 3471297000                                   | COOF 3471297000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-02-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| COOF 2544017005                                   | COOF 2544017005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77688 | PA      | $3807.01       | 0.00%             | 2028-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383LS92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  199639511 | PA      | $199870054.59  | 3.79%             | 2052-12-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31378A5Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54171 | PA      | $52698.32      | 0.00%             | 2027-05-01      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33429410 | PA      | $21309183.03   | 0.40%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 1871927010                                   | COOF 1871927010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2039-04-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FCT20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     991579 | PA      | $183749.09     | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COOF 3415287003                                   | COOF 3415287003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     572437 | PA      | $48630.71      | 0.00%             | 2044-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MM3N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1979337 | PA      | $2011817.96    | 0.04%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3161047000                                   | COOF 3161047000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| COOF 3475667001                                   | COOF 3475667001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MPCS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4560092 | PA      | $4612858.00    | 0.09%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 9769535008                                   | COOF 9769535008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2038-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137ASUX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     628332 | PA      | $67854.60      | 0.00%             | 2042-08-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BDQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29718752 | PA      | $4159611.89    | 0.08%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 2583967000                                   | COOF 2583967000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1030306 | PA      | $84157.10      | 0.00%             | 2043-12-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COOF 3273537010                                   | COOF 3273537010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138993 | PA      | $15616.09      | 0.00%             | 2044-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3132DWE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5665306 | PA      | $5758272.49    | 0.11%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BJCW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1416259 | PA      | $1433088.87    | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3314187009                                   | COOF 3314187009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2178999 | PA      | $133297.30     | 0.00%             | 2044-01-09      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A85F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7021755 | PA      | $7286485.67    | 0.14%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AKU81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3930238 | PA      | $4017120.89    | 0.08%             | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 31396KAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     765680 | PA      | $104066.89     | 0.00%             | 2036-07-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BF5J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1082802 | PA      | $1097699.62    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BJUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15338586 | PA      | $10667256.36   | 0.20%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3616607010                                   | COOF 3616607010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HRT91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     159534 | PA      | $160651.70     | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3283297003                                   | COOF 3283297003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59456 | PA      | $3114.56       | 0.00%             | 2029-04-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| COOF 2854337002                                   | COOF 2854337002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-11-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H1ZP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12208154 | PA      | $9159021.64    | 0.17%             | 2050-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MSBV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2313804 | PA      | $2326838.75    | 0.04%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136A0MJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $1.18          | 0.00%             | 2026-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3537687003                                   | COOF 3537687003                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BGC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1435241 | PA      | $885596.71     | 0.02%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                              | CUSIP: 31397VD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4007823 | PA      | $709411.99     | 0.01%             | 2048-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                             | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  244875000 | PA      | $248867625.66  | 4.72%             | 2053-02-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136ANH83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     858483 | PA      | $126315.59     | 0.00%             | 2045-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3196757001                                   | COOF 3196757001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COOF 3540417004                                   | COOF 3540417004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-04-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| COOF 3351897009                                   | COOF 3351897009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | BEV54SXU6 EATON VANCE                                                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  180000000 | NC      | $12147384.60   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382LJK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20778121 | PA      | $2718118.96    | 0.05%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H22P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12380756 | PA      | $7999332.57    | 0.15%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BMIB3GA73 IRS USD R V 12MSOFR 1 CCPOIS / Short: BMIB3GA73 IRS USD P F  1.89000 2 CCPOIS          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  100000000 | OU      | $20698790.00   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| COOF 3308297000                                   | COOF 3308297000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85936 | PA      | $5773.37       | 0.00%             | 2028-12-13      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| COOF 2914317010                                   | COOF 2914317010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3536187 | PA      | $186262.62     | 0.00%             | 2043-10-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31419APR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239915 | PA      | $243186.16     | 0.00%             | 2029-02-01      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COOF 2919177004                                   | COOF 2919177004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     366735 | PA      | $21301.77      | 0.00%             | 2035-06-12      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617YTXT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2938291 | PA      | $2971133.80    | 0.06%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3130987008                                   | COOF 3130987008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-12-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31402QZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63720 | PA      | $62006.19      | 0.00%             | 2036-10-01      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| COOF 3523977006                                   | COOF 3523977006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-03-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FVUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   84083561 | PA      | $10361718.12   | 0.20%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                  | CUSIP: 3128C6R76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     324602 | PA      | $322978.71     | 0.01%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3281717005                                   | COOF 3281717005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2838915 | PA      | $166024.12     | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 2569487002                                   | COOF 2569487002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182111 | PA      | $21215.50      | 0.00%             | 2043-07-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137AULC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271092 | PA      | $251628.89     | 0.00%             | 2042-09-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N0TS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13605856 | PA      | $13674002.86   | 0.26%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BDMQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15626837 | PA      | $2034234.43    | 0.04%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H25L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6713607 | PA      | $4463969.30    | 0.08%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3077297002                                   | COOF 3077297002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     728003 | PA      | $70302.22      | 0.00%             | 2044-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 2859667006                                   | COOF 2859667006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-08-17      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617WRKP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2214880 | PA      | $1961069.88    | 0.04%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 36179XC79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41835179 | PA      | $41832139.43   | 0.79%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AVMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3302002 | PA      | $3455998.95    | 0.07%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136B3B66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4744223 | PA      | $228941.49     | 0.00%             | 2049-02-25      | Floating      | 0.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                              | CUSIP: 3128SGAA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     284180 | PA      | $276634.69     | 0.01%             | 2035-01-01      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| COOF 2884197009                                   | COOF 2884197009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-09-12      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383UAV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24618148 | PA      | $221905.52     | 0.00%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BJH24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8341530 | PA      | $875047.35     | 0.02%             | 2049-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140K45D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7033689 | PA      | $6473058.16    | 0.12%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FYLK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        990 | PA      | $638.07        | 0.00%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BNTJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1425360 | PA      | $1457145.82    | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 31374TZL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33036 | PA      | $33347.13      | 0.00%             | 2036-05-01      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| COOF 3405717008                                   | COOF 3405717008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1877197 | PA      | $121284.19     | 0.00%             | 2044-02-13      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137AAQA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     488703 | PA      | $383245.10     | 0.01%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382QQ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10746998 | PA      | $418034.57     | 0.01%             | 2051-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 3153187007                                   | COOF 3153187007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-13      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| COOF 2948227005                                   | COOF 2948227005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     866343 | PA      | $47987.62      | 0.00%             | 2043-09-25      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1325015 | PA      | $1351726.93    | 0.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38379QQ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6689112 | PA      | $152464.27     | 0.00%             | 2042-11-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MYTB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13689112 | PA      | $13805587.69   | 0.26%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F52S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4973557 | PA      | $578518.20     | 0.01%             | 2048-05-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                             | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   75920000 | PA      | $77681719.80   | 1.47%             | 2053-03-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RMOF RMOF 11/18/2032                              | RMOF RMOF 11/18/2032                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9241657 | PA      | $553885.87     | 0.01%             | 2032-09-22      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136A9VH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3753076 | PA      | $2433537.96    | 0.05%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136B32U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8709546 | PA      | $8662558.63    | 0.16%             | 2049-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| COOF 2928287004                                   | COOF 2928287004                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     432564 | PA      | $36377.97      | 0.00%             | 2043-10-30      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 31396FLG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     474136 | PA      | $388851.69     | 0.01%             | 2035-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 3319377006                                   | COOF 3319377006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1673633 | PA      | $135206.64     | 0.00%             | 2044-01-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| COOF 3394717001                                   | COOF 3394717001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 3383427002                                   | COOF 3383427002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     178454 | PA      | $8499.32       | 0.00%             | 2029-01-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                              | CUSIP: 31364HS65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        938 | PA      | $12.32         | 0.00%             | 2024-04-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COOF 3259317007                                   | COOF 3259317007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1446342 | PA      | $91753.08      | 0.00%             | 2044-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617HKVJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1855455 | PA      | $1868451.12    | 0.04%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N1A37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473684 | PA      | $482707.74     | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140N8MV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2197101 | PA      | $2283618.18    | 0.04%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 3069087009                                   | COOF 3069087009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3107438 | PA      | $179366.09     | 0.00%             | 2043-11-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38376PXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     823136 | PA      | $643609.17     | 0.01%             | 2039-12-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | GNMA LOAN PARTICIPATION                                                                                | CUSIP: 000000000<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  376979677 | PA      | $377577943.29  | 7.16%             | 2023-09-05      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| COOF 3313287002                                   | COOF 3313287002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2028-12-17      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| COOF 2816217000                                   | COOF 2816217000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382P3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4898100 | PA      | $626992.09     | 0.01%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3409147000                                   | COOF 3409147000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     381306 | PA      | $21434.67      | 0.00%             | 2029-01-08      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| COOF 3195557009                                   | COOF 3195557009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     497436 | PA      | $22063.31      | 0.00%             | 2028-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617JDAP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     233793 | PA      | $234992.11     | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 3566867008                                   | COOF 3566867008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2029-04-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137BXKC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37308 | PA      | $155.53        | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MNZ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4501781 | PA      | $4525103.14    | 0.09%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 3391657001                                   | COOF 3391657001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425687 | PA      | $24442.19      | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COOF 3532007010                                   | COOF 3532007010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     885350 | PA      | $68246.65      | 0.00%             | 2044-02-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| COOF 9474865005                                   | COOF 9474865005                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2283369 | PA      | $175405.09     | 0.00%             | 2042-06-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38377G4B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     540520 | PA      | $413255.69     | 0.01%             | 2040-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383CB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45846943 | PA      | $360792.52     | 0.01%             | 2051-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 3465937006                                   | COOF 3465937006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COOF 3591447002                                   | COOF 3591447002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1510517 | PA      | $102084.75     | 0.00%             | 2044-03-19      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136ANPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     837577 | PA      | $169283.76     | 0.00%             | 2045-05-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| COOF 2783077009                                   | COOF 2783077009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1544306 | PA      | $127924.25     | 0.00%             | 2043-09-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382LJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30037602 | PA      | $3452810.33    | 0.07%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 3523327010                                   | COOF 3523327010                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F8JE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1020964 | PA      | $551636.93     | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AECE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2104668 | PA      | $2175467.03    | 0.04%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137F3EV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2009857 | PA      | $371491.86     | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 31397WJK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     230205 | PA      | $183756.26     | 0.00%             | 2038-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617KAYK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     724368 | PA      | $710887.82     | 0.01%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COOF 3321747009                                   | COOF 3321747009                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225524 | PA      | $8264.06       | 0.00%             | 2029-01-07      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618A0PM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2263497 | PA      | $2348834.83    | 0.04%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136ABCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     797322 | PA      | $85084.58      | 0.00%             | 2043-01-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| COOF 3407817007                                   | COOF 3407817007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     698606 | PA      | $54789.33      | 0.00%             | 2044-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137FVYJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   67546290 | PA      | $8266841.86    | 0.16%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                        | CUSIP: 3140MULP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363565 | PA      | $369531.18     | 0.01%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BCKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4937700 | PA      | $2812007.86    | 0.05%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3618AKBR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1102543 | PA      | $1124146.69    | 0.02%             | 2062-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3359267002                                   | COOF 3359267002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1661906 | PA      | $96244.39      | 0.00%             | 2044-03-15      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38383FLF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7478312 | PA      | $5721823.08    | 0.11%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 3022327001                                   | COOF 3022327001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     438506 | PA      | $35514.43      | 0.00%             | 2043-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BMIBJ5XA8 IRS USD R V 00MSOFR 1 CCPOIS / Short: BMIBJ5XA8 IRS USD P F  3.29000 2 CCPOIS          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  234000000 | OU      | $-945126.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COOF 3515097002                                   | COOF 3515097002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2639423 | PA      | $247184.81     | 0.00%             | 2044-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617XRDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2064222 | PA      | $2056102.25    | 0.04%             | 2052-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                       | CUSIP: 3133BLBN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1837170 | PA      | $1874206.98    | 0.04%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 3533007001                                   | COOF 3533007001                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 2559367008                                   | COOF 2559367008                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     314739 | PA      | $17046.16      | 0.00%             | 2029-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38381DRX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   55119459 | PA      | $3180337.66    | 0.06%             | 2063-04-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| COOF 3345627002                                   | COOF 3345627002                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90550 | PA      | $5279.98       | 0.00%             | 2028-12-12      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136BDYN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1671595 | PA      | $1000929.07    | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3093007007                                   | COOF 3093007007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     329381 | PA      | $23133.71      | 0.00%             | 2044-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                      | CUSIP: 3136B3B58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6786636 | PA      | $6675072.37    | 0.13%             | 2049-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | Long: BMIBARRW8 IRS USD R V 03MSOFR 1 CCPOIS / Short: BMIBARRW8 IRS USD P F  3.07000 2 CCPOIS          | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  450000000 | OU      | $5407200.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                               | CUSIP: 38382NTK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1965245 | PA      | $1369997.37    | 0.03%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 3134017007                                   | COOF 3134017007                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2043-12-06      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| COOF 3510247000                                   | COOF 3510247000                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00          | 0.00%             | 2044-03-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| COOF 2750957006                                   | COOF 2750957006                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     234760 | PA      | $26121.64      | 0.00%             | 2043-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                     | CUSIP: 3137H1QB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        699 | PA      | $454.70        | 0.00%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                     | CUSIP: 3617YWCC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1173319 | PA      | $1141584.67    | 0.02%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** EATON VANCE MUTUAL FUNDS TRUST

**Signature:** James Kirchner

**Name of Signer:** James Kirchner

**Title:** Treasurer