# EDGAR Filing Document

**Accession Number:** 0000745463
**File Stem:** 0001752724-23-075990
**Filing Date:** 2023-3
**Character Count:** 304408
**Document Hash:** b08c996eca0a7963cc2b3a7b943798c8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-075990.hdr.sgml**: 20230331

**ACCESSION NUMBER**: 0001752724-23-075990

**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:** 23788046

**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 Government Opportunities Fund (Series ID: S000005288)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000014450 | Eaton Vance Government Opportunities Fund Class R | ERGOX           |
| C000014451 | Eaton Vance Government Opportunities Fund Class A | EVGOX           |
| C000014453 | Eaton Vance Government Opportunities Fund Class C | ECGOX           |
| C000077399 | Eaton Vance Government Opportunities Fund Class I | EIGOX           |

## Nport-Ex

Eaton Vance<br>

Government Opportunities Fund

January 31, 2023

Portfolio of Investments (Unaudited)

------

Asset-Backed Securities — 4.9%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| ACHV ABS Trust, Series 2023-1PL, Class B, 6.80%, 3/18/30<sup>(1)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;$1002821 |
| KKR SFR Warehouse Participation, 8.038%, (30-day average SOFR + 3.50%), 12/13/23<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3024 | &nbsp;&nbsp;&nbsp;&nbsp; 3001474 |
| NewRez Warehouse Securitization Trust, Series 2021-1, Class E, 7.756%, (1 mo. USD LIBOR + 3.25%), 5/25/55<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4400 | &nbsp;&nbsp;&nbsp;&nbsp; 4269342 |
| NRZ Excess Spread-Collateralized Notes: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-FNT1, Class A, 2.981%, 3/25/26<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;316 | &nbsp;&nbsp;&nbsp;&nbsp; 283700 |
| &nbsp;&nbsp;&nbsp;Series 2021-GNT1, Class A, 3.474%, 11/25/26<sup>(1)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2993 | &nbsp;&nbsp;&nbsp;&nbsp; 2671388 |
| Unison Trust, Series 2021-1, Class A, 4.50%, 4/25/50<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9183 | &nbsp;&nbsp;&nbsp;&nbsp; 8314851 |
| Total Asset-Backed Securities<br> (identified cost $20,786,070) |  | &nbsp;&nbsp;**$19543576** |

---

Collateralized Mortgage Obligations — 32.0%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Angel Oak Mortgage Trust I, LLC, Series 2019-1, Class B1, 5.40%, 11/25/48<sup>(1)(3)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;$964234 |
| Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54<sup>(1)(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;979 | &nbsp;&nbsp;&nbsp;&nbsp; 877791 |
| CHNGE Mortgage Trust, Series 2022-4, Class A1, 6.00% to 9/25/24, 10/25/57<sup>(1)(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3838 | &nbsp;&nbsp;&nbsp;&nbsp; 3780854 |
| Deephaven Residential Mortgage Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2020-2, Class B2, 5.84%, 5/25/65<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp; 484910 |
| &nbsp;&nbsp;&nbsp;Series 2020-2, Class M1, 4.112%, 5/25/65<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp; 946294 |
| Ellington Financial Mortgage Trust, Series 2022-4, Class A3, 5.90% to 12/25/25, 9/25/67<sup>(1)(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;696 | &nbsp;&nbsp;&nbsp;&nbsp; 687329 |
| Federal Home Loan Mortgage Corp.: |  |  |
| &nbsp;&nbsp;&nbsp;Series 30, Class I, 7.50%, 4/25/24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp; 2442 |
| &nbsp;&nbsp;&nbsp;Series 1822, Class Z, 6.90%, 3/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65 | &nbsp;&nbsp;&nbsp;&nbsp; 65994 |
| &nbsp;&nbsp;&nbsp;Series 1829, Class ZB, 6.50%, 3/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 | &nbsp;&nbsp;&nbsp;&nbsp; 6422 |
| &nbsp;&nbsp;&nbsp;Series 1896, Class Z, 6.00%, 9/15/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 | &nbsp;&nbsp;&nbsp;&nbsp; 18604 |
| &nbsp;&nbsp;&nbsp;Series 2075, Class PH, 6.50%, 8/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 | &nbsp;&nbsp;&nbsp;&nbsp; 23464 |
| &nbsp;&nbsp;&nbsp;Series 2091, Class ZC, 6.00%, 11/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72 | &nbsp;&nbsp;&nbsp;&nbsp; 73152 |
| &nbsp;&nbsp;&nbsp;Series 2105, Class Z, 6.00%, 12/15/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 | &nbsp;&nbsp;&nbsp;&nbsp; 17497 |
| &nbsp;&nbsp;&nbsp;Series 2115, Class K, 6.00%, 1/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;146 | &nbsp;&nbsp;&nbsp;&nbsp; 147759 |
| &nbsp;&nbsp;&nbsp;Series 2142, Class Z, 6.50%, 4/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45 | &nbsp;&nbsp;&nbsp;&nbsp; 45687 |
| &nbsp;&nbsp;&nbsp;Series 4107, Class SA, 0.075%, (2.57% - 1 mo. USD LIBOR x 0.57), 9/15/42<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;419 | &nbsp;&nbsp;&nbsp;&nbsp; 311185 |
| &nbsp;&nbsp;&nbsp;Series 4107, Class SB, 0.075%, (2.57% - 1 mo. USD LIBOR x 0.57), 9/15/42<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;208 | &nbsp;&nbsp;&nbsp;&nbsp; 154736 |
| &nbsp;&nbsp;&nbsp;Series 4107, Class SC, 0.075%, (2.57% - 1 mo. USD LIBOR x 0.57), 9/15/42<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp; 370968 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Federal Home Loan Mortgage Corp.: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 4107, Class SD, 0.075%, (2.57% - 1 mo. USD LIBOR x 0.57), 9/15/42<sup>(5)</sup> | $&nbsp;&nbsp; 373 | &nbsp;&nbsp;$277163 |
| &nbsp;&nbsp;&nbsp;Series 4204, Class AF, 5.00%, (1 mo. USD LIBOR + 1.00%), 5/15/43<sup>(2)</sup> | &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>(5)</sup> | &nbsp;&nbsp; 287 | &nbsp;&nbsp;&nbsp;&nbsp; 287987 |
| &nbsp;&nbsp;&nbsp;Series 4259, Class UE, 2.50%, 5/15/43 | &nbsp;&nbsp; 288 | &nbsp;&nbsp;&nbsp;&nbsp; 275672 |
| &nbsp;&nbsp;&nbsp;Series 4623, Class SK, 0.451%, (3.57% - 1 mo. USD LIBOR x 0.71), 10/15/46<sup>(5)</sup> | &nbsp;&nbsp; 259 | &nbsp;&nbsp;&nbsp;&nbsp; 173442 |
| &nbsp;&nbsp;&nbsp;Series 4938, Class KZ, 2.50%, 12/25/49 | &nbsp;&nbsp; 638 | &nbsp;&nbsp;&nbsp;&nbsp; 439347 |
| &nbsp;&nbsp;&nbsp;Series 5009, Class ZN, 3.50%, 7/25/50 | &nbsp;&nbsp; 841 | &nbsp;&nbsp;&nbsp;&nbsp; 744023 |
| &nbsp;&nbsp;&nbsp;Series 5021, Class CZ, 2.00%, 10/25/50 | &nbsp;&nbsp; 243 | &nbsp;&nbsp;&nbsp;&nbsp; 125924 |
| &nbsp;&nbsp;&nbsp;Series 5021, Class NZ, 2.00%, 10/25/50 | &nbsp;&nbsp; 812 | &nbsp;&nbsp;&nbsp;&nbsp; 462347 |
| &nbsp;&nbsp;&nbsp;Series 5028, Class AZ, 2.00%, 10/25/50 | &nbsp;&nbsp; 216 | &nbsp;&nbsp;&nbsp;&nbsp; 111272 |
| &nbsp;&nbsp;&nbsp;Series 5028, Class TZ, 2.00%, 10/25/50 | &nbsp;&nbsp; 1069 | &nbsp;&nbsp;&nbsp;&nbsp; 646505 |
| &nbsp;&nbsp;&nbsp;Series 5028, Class ZT, 2.00%, 10/25/50 | &nbsp;&nbsp; 751 | &nbsp;&nbsp;&nbsp;&nbsp; 414284 |
| &nbsp;&nbsp;&nbsp;Series 5031, Class Z, 2.50%, 10/25/50 | &nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 305 |
| &nbsp;&nbsp;&nbsp;Series 5035, Class AZ, 2.00%, 11/25/50 | &nbsp;&nbsp; 1089 | &nbsp;&nbsp;&nbsp;&nbsp; 613849 |
| &nbsp;&nbsp;&nbsp;Series 5035, Class ZK, 2.50%, 11/25/50 | &nbsp;&nbsp; 1208 | &nbsp;&nbsp;&nbsp;&nbsp; 787690 |
| &nbsp;&nbsp;&nbsp;Series 5035, Class ZT, 2.00%, 10/25/50 | &nbsp;&nbsp; 761 | &nbsp;&nbsp;&nbsp;&nbsp; 420409 |
| &nbsp;&nbsp;&nbsp;Series 5039, Class ZJ, 2.00%, 11/25/50 | &nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 50926 |
| &nbsp;&nbsp;&nbsp;Series 5040, Class TZ, 2.50%, 11/25/50 | &nbsp;&nbsp; 179 | &nbsp;&nbsp;&nbsp;&nbsp; 109084 |
| &nbsp;&nbsp;&nbsp;Series 5042, Class PZ, 2.00%, 11/25/50 | &nbsp;&nbsp; 2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1332235 |
| &nbsp;&nbsp;&nbsp;Series 5058, Class ZH, 3.00%, 5/25/50 | &nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp; 103107 |
| &nbsp;&nbsp;&nbsp;Series 5071, Class CS, 0.27%, (3.30% - 30-day average SOFR), 2/25/51<sup>(5)</sup> | &nbsp;&nbsp; 1266 | &nbsp;&nbsp;&nbsp;&nbsp; 812334 |
| &nbsp;&nbsp;&nbsp;Series 5072, Class ZU, 2.50%, 2/25/51 | &nbsp;&nbsp; 333 | &nbsp;&nbsp;&nbsp;&nbsp; 205367 |
| &nbsp;&nbsp;&nbsp;Series 5083, Class ZW, 2.50%, 3/25/51 | &nbsp;&nbsp; 488 | &nbsp;&nbsp;&nbsp;&nbsp; 298478 |
| &nbsp;&nbsp;&nbsp;Series 5090, Class PZ, 2.50%, 3/25/51 | &nbsp;&nbsp; 238 | &nbsp;&nbsp;&nbsp;&nbsp; 141163 |
| &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;0<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;Series 5101, Class EZ, 2.00%, 3/25/51 | &nbsp;&nbsp; 539 | &nbsp;&nbsp;&nbsp;&nbsp; 311597 |
| &nbsp;&nbsp;&nbsp;Series 5104, Class WZ, 3.00%, 4/25/51 | &nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp; 88040 |
| &nbsp;&nbsp;&nbsp;Series 5114, Class ZH, 3.00%, 5/25/51 | &nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 40596 |
| &nbsp;&nbsp;&nbsp;Series 5123, Class JZ, 2.00%, 7/25/51 | &nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 63139 |
| &nbsp;&nbsp;&nbsp;Series 5129, Class HZ, 1.25%, 4/25/50 | &nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp; 133245 |
| &nbsp;&nbsp;&nbsp;Series 5129, Class TZ, 2.50%, 8/25/51 | &nbsp;&nbsp; 438 | &nbsp;&nbsp;&nbsp;&nbsp; 256562 |
| &nbsp;&nbsp;&nbsp;Series 5131, Class QZ, 3.00%, 7/25/51 | &nbsp;&nbsp; 267 | &nbsp;&nbsp;&nbsp;&nbsp; 187567 |
| &nbsp;&nbsp;&nbsp;Series 5132, Class LZ, 2.50%, 8/25/51 | &nbsp;&nbsp; 984 | &nbsp;&nbsp;&nbsp;&nbsp; 622607 |
| &nbsp;&nbsp;&nbsp;Series 5135, Class MZ, 2.50%, 8/25/51 | &nbsp;&nbsp; 1906 | &nbsp;&nbsp;&nbsp;&nbsp; 1251037 |
| &nbsp;&nbsp;&nbsp;Series 5136, Class ZJ, 2.50%, 8/25/51 | &nbsp;&nbsp; 2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1319621 |
| &nbsp;&nbsp;&nbsp;Series 5139, Class DZ, 2.50%, 9/25/51 | &nbsp;&nbsp; 1342 | &nbsp;&nbsp;&nbsp;&nbsp; 865739 |
| &nbsp;&nbsp;&nbsp;Series 5141, Class ZJ, 2.50%, 9/25/51 | &nbsp;&nbsp; 1759 | &nbsp;&nbsp;&nbsp;&nbsp; 1136223 |
| &nbsp;&nbsp;&nbsp;Series 5144, Class Z, 2.50%, 9/25/51 | &nbsp;&nbsp; 4087 | &nbsp;&nbsp;&nbsp;&nbsp; 2714285 |
| &nbsp;&nbsp;&nbsp;Series 5148, Class AZ, 2.50%, 10/25/51 | &nbsp;&nbsp; 3051 | &nbsp;&nbsp;&nbsp;&nbsp; 2035943 |
| &nbsp;&nbsp;&nbsp;Series 5150, Class ZJ, 2.50%, 10/25/51 | &nbsp;&nbsp; 1671 | &nbsp;&nbsp;&nbsp;&nbsp; 1108581 |
| &nbsp;&nbsp;&nbsp;Series 5150, Class ZN, 2.50%, 10/25/51 | &nbsp;&nbsp; 184 | &nbsp;&nbsp;&nbsp;&nbsp; 112942 |
| &nbsp;&nbsp;&nbsp;Series 5159, Class ZP, 3.00%, 11/25/51 | &nbsp;&nbsp; 421 | &nbsp;&nbsp;&nbsp;&nbsp; 298453 |

---

------

Eaton Vance<br>

Government Opportunities 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; 768 | &nbsp;&nbsp;$561387 |
| &nbsp;&nbsp;&nbsp;Series 5163, Class Z, 3.00%, 11/25/51 | &nbsp;&nbsp; 528 | &nbsp;&nbsp;&nbsp;&nbsp; 364993 |
| &nbsp;&nbsp;&nbsp;Series 5166, Class ZN, 3.00%, 9/25/50 | &nbsp;&nbsp; 959 | &nbsp;&nbsp;&nbsp;&nbsp; 671783 |
| &nbsp;&nbsp;&nbsp;Series 5168, Class MZ, 3.00%, 10/25/51 | &nbsp;&nbsp; 1004 | &nbsp;&nbsp;&nbsp;&nbsp; 719577 |
| Interest Only:<sup>(7)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 362, Class C12, 4.00%, 12/15/47 | &nbsp;&nbsp; 2273 | &nbsp;&nbsp;&nbsp;&nbsp; 441878 |
| &nbsp;&nbsp;&nbsp;Series 4749, Class IL, 4.00%, 12/15/47 | &nbsp;&nbsp; 826 | &nbsp;&nbsp;&nbsp;&nbsp; 153124 |
| &nbsp;&nbsp;&nbsp;Series 4756, Class KI, 4.00%, 1/15/48 | &nbsp;&nbsp; 915 | &nbsp;&nbsp;&nbsp;&nbsp; 164693 |
| &nbsp;&nbsp;&nbsp;Series 4768, Class IO, 4.00%, 3/15/48 | &nbsp;&nbsp; 654 | &nbsp;&nbsp;&nbsp;&nbsp; 120310 |
| &nbsp;&nbsp;&nbsp;Series 4772, Class PI, 4.00%, 1/15/48 | &nbsp;&nbsp; 970 | &nbsp;&nbsp;&nbsp;&nbsp; 178368 |
| &nbsp;&nbsp;&nbsp;Series 4791, Class JI, 4.00%, 5/15/48 | &nbsp;&nbsp; 1323 | &nbsp;&nbsp;&nbsp;&nbsp; 255059 |
| &nbsp;&nbsp;&nbsp;Series 4966, Class SY, 1.544%, (6.05% - 1 mo. USD LIBOR), 4/25/50<sup>(5)</sup> | &nbsp;&nbsp; 2287 | &nbsp;&nbsp;&nbsp;&nbsp; 283631 |
| &nbsp;&nbsp;&nbsp;Series 5008, Class IE, 2.00%, 9/25/50 | &nbsp;&nbsp; 8826 | &nbsp;&nbsp;&nbsp;&nbsp; 1080204 |
| &nbsp;&nbsp;&nbsp;Series 5010, Class I, 2.00%, 9/25/50 | &nbsp;&nbsp; 3512 | &nbsp;&nbsp;&nbsp;&nbsp; 433274 |
| &nbsp;&nbsp;&nbsp;Series 5010, Class IN, 2.00%, 9/25/50 | &nbsp;&nbsp; 3911 | &nbsp;&nbsp;&nbsp;&nbsp; 481940 |
| &nbsp;&nbsp;&nbsp;Series 5010, Class NI, 2.00%, 9/25/50 | &nbsp;&nbsp; 2889 | &nbsp;&nbsp;&nbsp;&nbsp; 352928 |
| &nbsp;&nbsp;&nbsp;Series 5016, Class UI, 2.00%, 9/25/50 | &nbsp;&nbsp; 2859 | &nbsp;&nbsp;&nbsp;&nbsp; 349864 |
| &nbsp;&nbsp;&nbsp;Series 5017, Class DI, 2.00%, 9/25/50 | &nbsp;&nbsp; 5003 | &nbsp;&nbsp;&nbsp;&nbsp; 612264 |
| &nbsp;&nbsp;&nbsp;Series 5022, Class AI, 2.00%, 10/25/50 | &nbsp;&nbsp; 3763 | &nbsp;&nbsp;&nbsp;&nbsp; 465280 |
| &nbsp;&nbsp;&nbsp;Series 5024, Class CI, 2.00%, 10/25/50 | &nbsp;&nbsp; 8628 | &nbsp;&nbsp;&nbsp;&nbsp; 1073202 |
| &nbsp;&nbsp;&nbsp;Series 5025, Class GI, 2.00%, 10/25/50 | &nbsp;&nbsp; 1200 | &nbsp;&nbsp;&nbsp;&nbsp; 148649 |
| &nbsp;&nbsp;&nbsp;Series 5028, Class TI, 2.00%, 10/25/50 | &nbsp;&nbsp; 1566 | &nbsp;&nbsp;&nbsp;&nbsp; 153200 |
| &nbsp;&nbsp;&nbsp;Series 5038, Class DI, 2.00%, 11/25/50 | &nbsp;&nbsp; 7845 | &nbsp;&nbsp;&nbsp;&nbsp; 972055 |
| &nbsp;&nbsp;&nbsp;Series 5051, Class S, 0.079%, (3.60% - 30-day average SOFR), 12/25/50<sup>(5)</sup> | &nbsp;&nbsp; 4486 | &nbsp;&nbsp;&nbsp;&nbsp; 187482 |
| &nbsp;&nbsp;&nbsp;Series 5070, Class CI, 2.00%, 2/25/51 | &nbsp;&nbsp; 8415 | &nbsp;&nbsp;&nbsp;&nbsp; 1098281 |
| Principal Only:<sup>(8)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 246, Class PO, 0.00%, 5/15/37 | &nbsp;&nbsp; 1364 | &nbsp;&nbsp;&nbsp;&nbsp; 1135131 |
| &nbsp;&nbsp;&nbsp;Series 3435, Class PO, 0.00%, 4/15/38 | &nbsp;&nbsp; 1299 | &nbsp;&nbsp;&nbsp;&nbsp; 1046547 |
| &nbsp;&nbsp;&nbsp;Series 4239, Class OU, 0.00%, 7/15/43 | &nbsp;&nbsp; 319 | &nbsp;&nbsp;&nbsp;&nbsp; 178894 |
| Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2019-HQA3, Class B2, 12.006%, (1 mo. USD LIBOR + 7.50%), 9/25/49<sup>(1)(2)</sup> | &nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 968741 |
| Federal National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;Series 1993-16, Class Z, 7.50%, 2/25/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;Series 1993-39, Class Z, 7.50%, 4/25/23 | &nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 2907 |
| &nbsp;&nbsp;&nbsp;Series 1993-45, Class Z, 7.00%, 4/25/23 | &nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2013 |
| &nbsp;&nbsp;&nbsp;Series 1993-149, Class M, 7.00%, 8/25/23 | &nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 3631 |
| &nbsp;&nbsp;&nbsp;Series 1993-178, Class PK, 6.50%, 9/25/23 | &nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8006 |
| &nbsp;&nbsp;&nbsp;Series 1994-40, Class Z, 6.50%, 3/25/24 | &nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 18709 |
| &nbsp;&nbsp;&nbsp;Series 1994-42, Class K, 6.50%, 4/25/24 | &nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 73384 |
| &nbsp;&nbsp;&nbsp;Series 1994-82, Class Z, 8.00%, 5/25/24 | &nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 23381 |
| &nbsp;&nbsp;&nbsp;Series 2000-49, Class A, 8.00%, 3/18/27 | &nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 55663 |
| &nbsp;&nbsp;&nbsp;Series 2001-81, Class HE, 6.50%, 1/25/32 | &nbsp;&nbsp; 197 | &nbsp;&nbsp;&nbsp;&nbsp; 206488 |
| &nbsp;&nbsp;&nbsp;Series 2002-1, Class G, 7.00%, 7/25/23 | &nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3060 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Federal National Mortgage Association: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2012-133, Class WS, 0.151%, (3.79% - 1 mo. USD LIBOR x 0.83), 12/25/42<sup>(5)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;305 | &nbsp;&nbsp;$275449 |
| &nbsp;&nbsp;&nbsp;Series 2012-134, Class ZT, 2.00%, 12/25/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1346 | &nbsp;&nbsp;&nbsp;&nbsp; 1113030 |
| &nbsp;&nbsp;&nbsp;Series 2013-6, Class TY, 1.50%, 2/25/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;795 | &nbsp;&nbsp;&nbsp;&nbsp; 616099 |
| &nbsp;&nbsp;&nbsp;Series 2013-58, Class SC, 0.00%, (6.00% - 1 mo. USD LIBOR x 1.50), 6/25/43<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;323 | &nbsp;&nbsp;&nbsp;&nbsp; 271619 |
| &nbsp;&nbsp;&nbsp;Series 2020-45, Class MA, 0.00%, (3.20% - 1 mo. USD LIBOR x 0.80), 6/25/43<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;199 | &nbsp;&nbsp;&nbsp;&nbsp; 168492 |
| &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;92 | &nbsp;&nbsp;&nbsp;&nbsp; 62086 |
| &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;186 | &nbsp;&nbsp;&nbsp;&nbsp; 111214 |
| &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;131 | &nbsp;&nbsp;&nbsp;&nbsp; 75561 |
| &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;680 | &nbsp;&nbsp;&nbsp;&nbsp; 486572 |
| &nbsp;&nbsp;&nbsp;Series 2021-52, Class JZ, 2.50%, 8/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1048360 |
| &nbsp;&nbsp;&nbsp;Series 2021-54, Class HZ, 2.50%, 6/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1044 | &nbsp;&nbsp;&nbsp;&nbsp; 668318 |
| &nbsp;&nbsp;&nbsp;Series 2021-54, Class ZJ, 2.50%, 8/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2957 | &nbsp;&nbsp;&nbsp;&nbsp; 1946598 |
| &nbsp;&nbsp;&nbsp;Series 2021-56, Class HZ, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2675 | &nbsp;&nbsp;&nbsp;&nbsp; 1800537 |
| &nbsp;&nbsp;&nbsp;Series 2021-56, Class LZ, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3086 | &nbsp;&nbsp;&nbsp;&nbsp; 2106609 |
| &nbsp;&nbsp;&nbsp;Series 2021-56, Class YZ, 2.50%, 9/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1118 | &nbsp;&nbsp;&nbsp;&nbsp; 712697 |
| &nbsp;&nbsp;&nbsp;Series 2021-66, Class JZ, 2.50%, 10/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1350 | &nbsp;&nbsp;&nbsp;&nbsp; 880755 |
| &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;&nbsp;&nbsp;&nbsp;&nbsp;37 | &nbsp;&nbsp;&nbsp;&nbsp; 25286 |
| &nbsp;&nbsp;&nbsp;Series 2021-77, Class Z, 3.00%, 5/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;410 | &nbsp;&nbsp;&nbsp;&nbsp; 284982 |
| &nbsp;&nbsp;&nbsp;Series 2021-79, Class Z, 3.00%, 11/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;720 | &nbsp;&nbsp;&nbsp;&nbsp; 519970 |
| &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;521 | &nbsp;&nbsp;&nbsp;&nbsp; 375514 |
| Interest Only:<sup>(7)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 2017-66, Class TI, 0.05%, (6.05% - 1 mo. USD LIBOR x 1.00), 10/25/42<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13161 | &nbsp;&nbsp;&nbsp;&nbsp; 40937 |
| &nbsp;&nbsp;&nbsp;Series 2018-21, Class IO, 3.00%, 4/25/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2615 | &nbsp;&nbsp;&nbsp;&nbsp; 466971 |
| &nbsp;&nbsp;&nbsp;Series 2019-1, Class SA, 0.894%, (5.40% - 1 mo. USD LIBOR), 2/25/49<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1398 | &nbsp;&nbsp;&nbsp;&nbsp; 67482 |
| &nbsp;&nbsp;&nbsp;Series 2020-23, Class SP, 1.544%, (6.05% - 1 mo. USD LIBOR), 2/25/50<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2263 | &nbsp;&nbsp;&nbsp;&nbsp; 282819 |
| &nbsp;&nbsp;&nbsp;Series 2020-45, Class HI, 2.50%, 7/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3514 | &nbsp;&nbsp;&nbsp;&nbsp; 502156 |
| &nbsp;&nbsp;&nbsp;Series 2020-45, Class IJ, 2.50%, 7/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5562 | &nbsp;&nbsp;&nbsp;&nbsp; 767268 |
| &nbsp;&nbsp;&nbsp;Series 2020-72, Class DI, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3774 | &nbsp;&nbsp;&nbsp;&nbsp; 456585 |
| &nbsp;&nbsp;&nbsp;Series 2020-72, Class IA, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2844 | &nbsp;&nbsp;&nbsp;&nbsp; 349612 |
| &nbsp;&nbsp;&nbsp;Series 2020-73, Class NI, 2.00%, 10/25/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4546 | &nbsp;&nbsp;&nbsp;&nbsp; 564470 |
| &nbsp;&nbsp;&nbsp;Series 2021-3, Class KI, 2.50%, 2/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7220 | &nbsp;&nbsp;&nbsp;&nbsp; 1010616 |
| &nbsp;&nbsp;&nbsp;Series 2021-3, Class LI, 2.50%, 2/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7126 | &nbsp;&nbsp;&nbsp;&nbsp; 984081 |
| &nbsp;&nbsp;&nbsp;Series 2021-4, Class AI, 2.00%, 12/25/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9739 | &nbsp;&nbsp;&nbsp;&nbsp; 1148229 |
| &nbsp;&nbsp;&nbsp;Series 2021-10, Class EI, 2.00%, 3/25/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3888 | &nbsp;&nbsp;&nbsp;&nbsp; 518549 |
| Principal Only:<sup>(8)</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;871 | &nbsp;&nbsp;&nbsp;&nbsp; 696769 |
| &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;473 | &nbsp;&nbsp;&nbsp;&nbsp; 353721 |
| &nbsp;&nbsp;&nbsp;Series 2014-17, Class PO, 0.00%, 4/25/44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1193 | &nbsp;&nbsp;&nbsp;&nbsp; 881164 |
| Federal National Mortgage Association Connecticut Avenue Securities, Series 2019-R04, Class 2B1, 9.756%, (1 mo. USD LIBOR + 5.25%), 6/25/39<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2961 | &nbsp;&nbsp;&nbsp;&nbsp; 3090246 |

---

------

Eaton Vance<br>

Government Opportunities Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Finance of America HECM Buyout, Series 2022-HB2, Class M5, 6.00%, 8/1/32<sup>(1)(3)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;$689024 |
| FREED Mortgage, Series 2022-HE1, Class A, 7.00%, 10/25/37<sup>(1)(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1844 | &nbsp;&nbsp;&nbsp;&nbsp; 1844412 |
| Government National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2016-168, Class JS, 0.259%, (4.46% - 1 mo. USD LIBOR x 1.12), 11/20/46<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32 | &nbsp;&nbsp;&nbsp;&nbsp; 36104 |
| &nbsp;&nbsp;&nbsp;Series 2017-137, Class AF, 4.986%, (1 mo. USD LIBOR + 0.50%), 9/20/47<sup>(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1028 | &nbsp;&nbsp;&nbsp;&nbsp; 1007712 |
| &nbsp;&nbsp;&nbsp;Series 2020-84, Class BZ, 2.50%, 6/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;748 | &nbsp;&nbsp;&nbsp;&nbsp; 570811 |
| &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;132 | &nbsp;&nbsp;&nbsp;&nbsp; 115360 |
| &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;384 | &nbsp;&nbsp;&nbsp;&nbsp; 279318 |
| &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;387 | &nbsp;&nbsp;&nbsp;&nbsp; 304822 |
| &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;218 | &nbsp;&nbsp;&nbsp;&nbsp; 152222 |
| &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;2 | &nbsp;&nbsp;&nbsp;&nbsp; 1250 |
| &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;46 | &nbsp;&nbsp;&nbsp;&nbsp; 31228 |
| &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;272 | &nbsp;&nbsp;&nbsp;&nbsp; 194522 |
| &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;581 | &nbsp;&nbsp;&nbsp;&nbsp; 418576 |
| &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;453 | &nbsp;&nbsp;&nbsp;&nbsp; 321487 |
| &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;179 | &nbsp;&nbsp;&nbsp;&nbsp; 124180 |
| &nbsp;&nbsp;&nbsp;Series 2021-118, Class EZ, 2.50%, 7/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1146 | &nbsp;&nbsp;&nbsp;&nbsp; 882979 |
| &nbsp;&nbsp;&nbsp;Series 2021-118, Class JZ, 2.50%, 7/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2875 | &nbsp;&nbsp;&nbsp;&nbsp; 2196805 |
| &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;36 | &nbsp;&nbsp;&nbsp;&nbsp; 21686 |
| &nbsp;&nbsp;&nbsp;Series 2021-122, Class ZL, 2.50%, 7/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1379 | &nbsp;&nbsp;&nbsp;&nbsp; 1064538 |
| &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;295 | &nbsp;&nbsp;&nbsp;&nbsp; 214287 |
| &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;750 | &nbsp;&nbsp;&nbsp;&nbsp; 536111 |
| &nbsp;&nbsp;&nbsp;Series 2021-136, Class Z, 2.50%, 8/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1878 | &nbsp;&nbsp;&nbsp;&nbsp; 1436875 |
| &nbsp;&nbsp;&nbsp;Series 2021-137, Class GZ, 2.50%, 8/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1697601 |
| &nbsp;&nbsp;&nbsp;Series 2021-138, Class Z, 2.50%, 8/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1216 | &nbsp;&nbsp;&nbsp;&nbsp; 946798 |
| &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;769 | &nbsp;&nbsp;&nbsp;&nbsp; 546410 |
| &nbsp;&nbsp;&nbsp;Series 2021-139, Class ZJ, 2.50%, 8/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1674 | &nbsp;&nbsp;&nbsp;&nbsp; 1417679 |
| &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;870 | &nbsp;&nbsp;&nbsp;&nbsp; 672895 |
| &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;466 | &nbsp;&nbsp;&nbsp;&nbsp; 314386 |
| &nbsp;&nbsp;&nbsp;Series 2021-156, Class GZ, 3.00%, 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1636 | &nbsp;&nbsp;&nbsp;&nbsp; 1253521 |
| &nbsp;&nbsp;&nbsp;Series 2021-159, Class ZJ, 2.50%, 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1277 | &nbsp;&nbsp;&nbsp;&nbsp; 997915 |
| &nbsp;&nbsp;&nbsp;Series 2021-159, Class ZP, 2.00%, 9/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1143 | &nbsp;&nbsp;&nbsp;&nbsp; 858147 |
| &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;594 | &nbsp;&nbsp;&nbsp;&nbsp; 406326 |
| &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;485 | &nbsp;&nbsp;&nbsp;&nbsp; 362013 |
| &nbsp;&nbsp;&nbsp;Series 2021-214, Class LZ, 3.00%, 12/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1033 | &nbsp;&nbsp;&nbsp;&nbsp; 800509 |
| &nbsp;&nbsp;&nbsp;Series 2022-173, Class S, 6.931%, (22.73% - 30-day average SOFR x 3.667), 10/20/52<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1740 | &nbsp;&nbsp;&nbsp;&nbsp; 1815171 |
| &nbsp;&nbsp;&nbsp;Series 2022-189, Class US, 6.931%, (22.73% - 30-day average SOFR x 3.667), 11/20/52<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1992 | &nbsp;&nbsp;&nbsp;&nbsp; 2121275 |
| &nbsp;&nbsp;&nbsp;Series 2022-195, Class AS, 7.179%, (23.13% - 30-day average SOFR x 3.667), 11/20/52<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;998 | &nbsp;&nbsp;&nbsp;&nbsp; 1132320 |
| Interest Only:<sup>(7)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 2023-13, Class SA, 1.121%, (5.40% - 30-day average SOFR x 1.00), 1/20/53<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8000 | &nbsp;&nbsp;&nbsp;&nbsp; 218744 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Interest Only: (continued) |  |  |
| &nbsp;&nbsp;&nbsp;Series 2013-66, Class IE, 0.05%, (6.75% - 1 mo. USD LIBOR x 1.00), 7/20/42<sup>(5)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7114 | &nbsp;&nbsp;$16353 |
| &nbsp;&nbsp;&nbsp;Series 2014-94, Class IC, 0.10%, (6.40% - 1 mo. USD LIBOR x 1.00), 9/20/35<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10650 | &nbsp;&nbsp;&nbsp;&nbsp; 43495 |
| &nbsp;&nbsp;&nbsp;Series 2014-100, Class VI, 0.15%, (6.60% - 1 mo. USD LIBOR x 1.00), 5/20/40<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4263 | &nbsp;&nbsp;&nbsp;&nbsp; 19924 |
| &nbsp;&nbsp;&nbsp;Series 2014-139, Class BI, 0.25%, (6.65% - 1 mo. USD LIBOR x 1.00), 11/20/37<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4680 | &nbsp;&nbsp;&nbsp;&nbsp; 33242 |
| &nbsp;&nbsp;&nbsp;Series 2018-127, Class SG, 1.764%, (6.25% - 1 mo. USD LIBOR), 9/20/48<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3347 | &nbsp;&nbsp;&nbsp;&nbsp; 316192 |
| &nbsp;&nbsp;&nbsp;Series 2019-27, Class SA, 1.564%, (6.05% - 1 mo. USD LIBOR), 2/20/49<sup>(5)</sup> | &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>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2794 | &nbsp;&nbsp;&nbsp;&nbsp; 287162 |
| &nbsp;&nbsp;&nbsp;Series 2019-43, Class BS, 1.564%, (6.05% - 1 mo. USD LIBOR), 4/20/49<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3838 | &nbsp;&nbsp;&nbsp;&nbsp; 411480 |
| &nbsp;&nbsp;&nbsp;Series 2020-32, Class KI, 3.50%, 3/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3708 | &nbsp;&nbsp;&nbsp;&nbsp; 530845 |
| &nbsp;&nbsp;&nbsp;Series 2020-65, Class MI, 2.50%, 12/20/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3031 | &nbsp;&nbsp;&nbsp;&nbsp; 356139 |
| &nbsp;&nbsp;&nbsp;Series 2020-97, Class MI, 2.50%, 3/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1923 | &nbsp;&nbsp;&nbsp;&nbsp; 239446 |
| &nbsp;&nbsp;&nbsp;Series 2020-146, Class IQ, 2.00%, 10/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11101 | &nbsp;&nbsp;&nbsp;&nbsp; 1244030 |
| &nbsp;&nbsp;&nbsp;Series 2020-146, Class QI, 2.00%, 10/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5914 | &nbsp;&nbsp;&nbsp;&nbsp; 648605 |
| &nbsp;&nbsp;&nbsp;Series 2020-149, Class NI, 2.50%, 10/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11539 | &nbsp;&nbsp;&nbsp;&nbsp; 1511216 |
| &nbsp;&nbsp;&nbsp;Series 2020-165, Class UI, 2.00%, 11/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4743 | &nbsp;&nbsp;&nbsp;&nbsp; 549717 |
| &nbsp;&nbsp;&nbsp;Series 2020-167, Class KI, 2.00%, 11/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7457 | &nbsp;&nbsp;&nbsp;&nbsp; 833948 |
| &nbsp;&nbsp;&nbsp;Series 2020-167, Class YI, 2.00%, 11/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6025 | &nbsp;&nbsp;&nbsp;&nbsp; 699856 |
| &nbsp;&nbsp;&nbsp;Series 2020-173, Class DI, 2.00%, 11/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8963 | &nbsp;&nbsp;&nbsp;&nbsp; 1089559 |
| &nbsp;&nbsp;&nbsp;Series 2020-181, Class TI, 2.00%, 12/20/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15392 | &nbsp;&nbsp;&nbsp;&nbsp; 1793467 |
| &nbsp;&nbsp;&nbsp;Series 2021-23, Class TI, 2.50%, 2/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7520 | &nbsp;&nbsp;&nbsp;&nbsp; 965345 |
| &nbsp;&nbsp;&nbsp;Series 2021-56, Class SD, 0.00%, (2.30% - 30-day average SOFR), 9/20/50<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4687 | &nbsp;&nbsp;&nbsp;&nbsp; 62100 |
| &nbsp;&nbsp;&nbsp;Series 2021-114, Class MI, 3.00%, 6/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5469 | &nbsp;&nbsp;&nbsp;&nbsp; 785224 |
| &nbsp;&nbsp;&nbsp;Series 2021-122, Class NI, 3.00%, 7/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3758 | &nbsp;&nbsp;&nbsp;&nbsp; 541212 |
| &nbsp;&nbsp;&nbsp;Series 2021-125, Class SA, 0.00%, (3.75% - 1 mo. USD LIBOR), 7/20/51<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4308 | &nbsp;&nbsp;&nbsp;&nbsp; 152602 |
| &nbsp;&nbsp;&nbsp;Series 2021-131, Class QI, 3.00%, 7/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7375 | &nbsp;&nbsp;&nbsp;&nbsp; 852020 |
| &nbsp;&nbsp;&nbsp;Series 2021-140, Class YS, 0.00%, (1.70% - 1 mo. USD LIBOR), 8/20/51<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3541 | &nbsp;&nbsp;&nbsp;&nbsp; 25981 |
| &nbsp;&nbsp;&nbsp;Series 2021-175, Class AS, 0.00%, (1.80% - 1 mo. USD LIBOR), 10/20/51<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18339 | &nbsp;&nbsp;&nbsp;&nbsp; 144317 |
| &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;448 | &nbsp;&nbsp;&nbsp;&nbsp; 306539 |
| &nbsp;&nbsp;&nbsp;Series 2021-175, Class SB, 0.00%, (1.80% - 1 mo. USD LIBOR), 10/20/51<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9184 | &nbsp;&nbsp;&nbsp;&nbsp; 73942 |
| &nbsp;&nbsp;&nbsp;Series 2021-193, Class IU, 3.00%, 11/20/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15375 | &nbsp;&nbsp;&nbsp;&nbsp; 1899730 |
| &nbsp;&nbsp;&nbsp;Series 2021-193, Class YS, 0.00%, (2.45% - 30-day average SOFR), 11/20/51<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8990 | &nbsp;&nbsp;&nbsp;&nbsp; 122574 |
| &nbsp;&nbsp;&nbsp;Series 2021-196, Class GI, 3.00%, 11/20/51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6982 | &nbsp;&nbsp;&nbsp;&nbsp; 994182 |
| &nbsp;&nbsp;&nbsp;Series 2022-119, Class CS, 0.00%, (3.00% - 30-day average SOFR), 7/20/52<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49236 | &nbsp;&nbsp;&nbsp;&nbsp; 443811 |
| &nbsp;&nbsp;&nbsp;Series 2022-126, Class AS, 0.298%, (3.69% - 30-day average SOFR), 7/20/52<sup>(5)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14682 | &nbsp;&nbsp;&nbsp;&nbsp; 242389 |

---

------

Eaton Vance<br>

Government Opportunities 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 2022-135, Class SA, 0.00%, (3.00% - 30-day average SOFR), 6/20/52<sup>(5)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19707 | &nbsp;&nbsp;$182798 |
| MFRA Trust, Series 2023-NQM1, Class A2, 5.75% to 1/25/26, 11/25/67<sup>(1)(4)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625 | &nbsp;&nbsp;&nbsp;&nbsp; 616400 |
| PNMAC GMSR Issuer Trust: |  |  |
| &nbsp;&nbsp;&nbsp;Series 2018-GT1, Class A, 7.356%, (1 mo. USD LIBOR + 2.85%), 2/25/23<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp; 3933154 |
| &nbsp;&nbsp;&nbsp;Series 2018-GT2, Class A, 7.156%, (1 mo. USD LIBOR + 2.65%), 8/25/25<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;430 | &nbsp;&nbsp;&nbsp;&nbsp; 419705 |
| &nbsp;&nbsp;&nbsp;Series 2022-GT1, Class A, 8.56%, (30-day average SOFR + 4.25%), 5/25/27<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp; 477839 |
| Radnor Re, Ltd., Series 2022-1, Class M1A, 8.06%, (30-day average SOFR + 3.75%), 9/25/32<sup>(1)(2)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2991056 |
| Total Collateralized Mortgage Obligations<br> (identified cost $158,063,207) |  | &nbsp;&nbsp;**$126738218** |

---

Commercial Mortgage-Backed Securities — 0.4%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| CSMC Trust, Series 2022-NWPT, Class A, 7.621%, (SOFR + 3.143%), 9/9/24<sup>(1)(2)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1520 | &nbsp;&nbsp;$1507198 |
| Total Commercial Mortgage-Backed Securities<br> (identified cost $1,516,903) |  | &nbsp;&nbsp;**$1507198** |

---

U.S. Government Agency Commercial Mortgage-Backed Securities — 0.7%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| FRESB Mortgage Trust:<br> Interest Only:<sup>(7)</sup><br> Series 2021-SB91, Class X1, 0.573%, 8/25/41<sup>(3)</sup> | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4844 | &nbsp;&nbsp;$170533 |
| Government National Mortgage Association: |  |  |
| Interest Only:<sup>(7)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;Series 2021-101, Class IO, 0.679%, 4/16/63<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9187 | &nbsp;&nbsp;&nbsp;&nbsp; 530056 |
| &nbsp;&nbsp;&nbsp;Series 2021-132, Class IO, 0.727%, 4/16/63<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8922 | &nbsp;&nbsp;&nbsp;&nbsp; 535759 |
| &nbsp;&nbsp;&nbsp;Series 2021-144, Class IO, 0.825%, 4/16/63<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8724 | &nbsp;&nbsp;&nbsp;&nbsp; 576078 |
| &nbsp;&nbsp;&nbsp;Series 2021-186, Class IO, 0.765%, 5/16/63<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9667 | &nbsp;&nbsp;&nbsp;&nbsp; 599979 |
| &nbsp;&nbsp;&nbsp;Series 2022-3, Class IO, 0.64%, 2/16/61<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9817 | &nbsp;&nbsp;&nbsp;&nbsp; 504988 |
| Total U.S. Government Agency Commercial Mortgage-Backed Securities<br> (identified cost $3,565,572) |  | &nbsp;&nbsp;**$2917393** |

---

U.S. Government Agency Mortgage-Backed Securities — 86.8%

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Federal Home Loan Mortgage Corp.: |  |  |
| &nbsp;&nbsp;&nbsp;3.065%, (COF + 1.25%), with maturity at 2035<sup>(9)</sup> | $&nbsp;&nbsp; 650 | &nbsp;&nbsp;$633058 |
| &nbsp;&nbsp;&nbsp;3.267%, (COF + 1.25%), with maturity at 2034<sup>(9)</sup> | &nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp; 156762 |
| &nbsp;&nbsp;&nbsp;3.705%, (1 yr. CMT + 2.25%), with maturity at 2038<sup>(9)</sup> | &nbsp;&nbsp; 407 | &nbsp;&nbsp;&nbsp;&nbsp; 414837 |
| &nbsp;&nbsp;&nbsp;3.812%, (1 yr. CMT + 2.24%), with maturity at 2036<sup>(9)</sup> | &nbsp;&nbsp; 475 | &nbsp;&nbsp;&nbsp;&nbsp; 483546 |
| &nbsp;&nbsp;&nbsp;4.50%, with maturity at 2035 | &nbsp;&nbsp; 699 | &nbsp;&nbsp;&nbsp;&nbsp; 695598 |
| &nbsp;&nbsp;&nbsp;5.00%, with various maturities to 2052<sup>(10)</sup> | &nbsp;&nbsp; 38164 | &nbsp;&nbsp;&nbsp;&nbsp; 38419604 |
| &nbsp;&nbsp;&nbsp;5.50%, with various maturities to 2052<sup>(10)</sup> | &nbsp;&nbsp; 20674 | &nbsp;&nbsp;&nbsp;&nbsp; 21047397 |
| &nbsp;&nbsp;&nbsp;6.00%, with various maturities to 2053 | &nbsp;&nbsp; 3179 | &nbsp;&nbsp;&nbsp;&nbsp; 3284394 |
| &nbsp;&nbsp;&nbsp;6.50%, with various maturities to 2028 | &nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 106863 |
| &nbsp;&nbsp;&nbsp;7.00%, with various maturities to 2025 | &nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 54177 |
| &nbsp;&nbsp;&nbsp;7.50%, with various maturities to 2024 | &nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9376 |
| &nbsp;&nbsp;&nbsp;8.00%, with various maturities to 2026 | &nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 5923 |
| &nbsp;&nbsp;&nbsp;8.50%, with maturity at 2025 | &nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 1588 |
| &nbsp;&nbsp;&nbsp;9.00%, with various maturities to 2027 | &nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2378 |
| &nbsp;&nbsp;&nbsp;9.50%, with maturity at 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 175 |
| Federal National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;2.407%, (COF + 1.30%), with maturity at 2033<sup>(9)</sup> | &nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 114869 |
| &nbsp;&nbsp;&nbsp;2.855%, (COF + 1.27%), with maturity at 2033<sup>(9)</sup> | &nbsp;&nbsp; 211 | &nbsp;&nbsp;&nbsp;&nbsp; 199217 |
| &nbsp;&nbsp;&nbsp;2.986%, (COF + 1.29%), with maturity at 2035<sup>(9)</sup> | &nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp; 136019 |
| &nbsp;&nbsp;&nbsp;3.052%, (COF + 2.40%), with maturity at 2027<sup>(9)</sup> | &nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 110886 |
| &nbsp;&nbsp;&nbsp;3.107%, (COF + 1.25%), with maturity at 2025<sup>(9)</sup> | &nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 51341 |
| &nbsp;&nbsp;&nbsp;3.153%, (COF + 1.25%), with maturity at 2034<sup>(9)</sup> | &nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 198591 |
| &nbsp;&nbsp;&nbsp;3.289%, (COF + 1.25%), with maturity at 2035<sup>(9)</sup> | &nbsp;&nbsp; 216 | &nbsp;&nbsp;&nbsp;&nbsp; 215448 |
| &nbsp;&nbsp;&nbsp;3.315%, (COF + 1.25%), with maturity at 2026<sup>(9)</sup> | &nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; 81457 |
| &nbsp;&nbsp;&nbsp;3.405%, (COF + 1.25%), with maturity at 2034<sup>(9)</sup> | &nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp; 77546 |
| &nbsp;&nbsp;&nbsp;3.605%, (COF + 1.31%), with maturity at 2036<sup>(9)</sup> | &nbsp;&nbsp; 191 | &nbsp;&nbsp;&nbsp;&nbsp; 186019 |
| &nbsp;&nbsp;&nbsp;3.70%, (COF + 1.26%), with maturity at 2036<sup>(9)</sup> | &nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp;&nbsp; 122685 |
| &nbsp;&nbsp;&nbsp;3.952%, (1 yr. CMT + 2.10%), with maturity at 2040<sup>(9)</sup> | &nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp;&nbsp; 235711 |
| &nbsp;&nbsp;&nbsp;3.959%, (12 mo. MTA + 1.17%), with maturity at 2044<sup>(9)</sup> | &nbsp;&nbsp; 180 | &nbsp;&nbsp;&nbsp;&nbsp; 177227 |
| &nbsp;&nbsp;&nbsp;4.284%, (COF + 1.26%), with maturity at 2036<sup>(9)</sup> | &nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 34803 |
| &nbsp;&nbsp;&nbsp;4.304%, (COF + 1.87%), with maturity at 2034<sup>(9)</sup> | &nbsp;&nbsp; 357 | &nbsp;&nbsp;&nbsp;&nbsp; 361322 |
| &nbsp;&nbsp;&nbsp;4.358%, (COF + 1.74%), with maturity at 2035<sup>(9)</sup> | &nbsp;&nbsp; 446 | &nbsp;&nbsp;&nbsp;&nbsp; 451007 |
| &nbsp;&nbsp;&nbsp;4.367%, (COF + 1.81%), with maturity at 2036<sup>(9)</sup> | &nbsp;&nbsp; 2450 | &nbsp;&nbsp;&nbsp;&nbsp; 2445427 |
| &nbsp;&nbsp;&nbsp;4.50%, with various maturities to 2052 | &nbsp;&nbsp; 1441 | &nbsp;&nbsp;&nbsp;&nbsp; 1436711 |
| &nbsp;&nbsp;&nbsp;5.00%, with various maturities to 2052<sup>(10)</sup> | &nbsp;&nbsp; 15398 | &nbsp;&nbsp;&nbsp;&nbsp; 15506599 |
| &nbsp;&nbsp;&nbsp;5.50%, with various maturities to 2052 | &nbsp;&nbsp; 6953 | &nbsp;&nbsp;&nbsp;&nbsp; 7092919 |
| &nbsp;&nbsp;&nbsp;5.50%, 30-Year, TBA<sup>(11)</sup> | &nbsp;&nbsp; 450 | &nbsp;&nbsp;&nbsp;&nbsp; 457242 |
| &nbsp;&nbsp;&nbsp;5.50%, with maturity at 2052<sup>(10)</sup> | &nbsp;&nbsp; 9901 | &nbsp;&nbsp;&nbsp;&nbsp; 10063988 |
| &nbsp;&nbsp;&nbsp;6.00%, with various maturities to 2053<sup>(10)</sup> | &nbsp;&nbsp; 5793 | &nbsp;&nbsp;&nbsp;&nbsp; 5987021 |
| &nbsp;&nbsp;&nbsp;6.00%, 30-Year, TBA<sup>(11)</sup> | &nbsp;&nbsp; 21200 | &nbsp;&nbsp;&nbsp;&nbsp; 21754844 |
| &nbsp;&nbsp;&nbsp;6.459%, with maturity at 2025 | &nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14486 |

---

------

Eaton Vance<br>

Government Opportunities 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;6.50%, 30-Year, TBA<sup>(11)</sup> | $&nbsp;&nbsp; 30000 | &nbsp;&nbsp;$31067212 |
| &nbsp;&nbsp;&nbsp;7.00%, with maturity at 2024 | &nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 11841 |
| &nbsp;&nbsp;&nbsp;7.50%, with maturity at 2026 | &nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5283 |
| &nbsp;&nbsp;&nbsp;8.034%, with maturity at 2030 | &nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1074 |
| &nbsp;&nbsp;&nbsp;8.25%, with maturity at 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0<sup>(6)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;8.50%, with maturity at 2037 | &nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 77250 |
| &nbsp;&nbsp;&nbsp;9.00%, with various maturities to 2025 | &nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 13062 |
| &nbsp;&nbsp;&nbsp;9.50%, with various maturities to 2030 | &nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4571 |
| Government National Mortgage Association: |  |  |
| &nbsp;&nbsp;&nbsp;2.75%, (1 yr. CMT + 1.50%), with maturity at 2027<sup>(9)</sup> | &nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 44250 |
| &nbsp;&nbsp;&nbsp;3.00%, (1 yr. CMT + 1.50%), with maturity at 2026<sup>(9)</sup> | &nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 33212 |
| &nbsp;&nbsp;&nbsp;3.50%, with maturity at 2050 | &nbsp;&nbsp; 461 | &nbsp;&nbsp;&nbsp;&nbsp; 438251 |
| &nbsp;&nbsp;&nbsp;4.00%, with various maturities to 2049 | &nbsp;&nbsp; 1516 | &nbsp;&nbsp;&nbsp;&nbsp; 1485409 |
| &nbsp;&nbsp;&nbsp;4.50%, with various maturities to 2049 | &nbsp;&nbsp; 557 | &nbsp;&nbsp;&nbsp;&nbsp; 555262 |
| &nbsp;&nbsp;&nbsp;5.00%, with various maturities to 2052<sup>(10)</sup> | &nbsp;&nbsp; 10502 | &nbsp;&nbsp;&nbsp;&nbsp; 10602148 |
| &nbsp;&nbsp;&nbsp;5.50%, with various maturities to 2062<sup>(10)</sup> | &nbsp;&nbsp; 44039 | &nbsp;&nbsp;&nbsp;&nbsp; 45039857 |
| &nbsp;&nbsp;&nbsp;6.00%, with various maturities to 2062<sup>(10)</sup> | &nbsp;&nbsp; 23693 | &nbsp;&nbsp;&nbsp;&nbsp; 24648828 |
| &nbsp;&nbsp;&nbsp;6.00%, 30-Year, TBA<sup>(11)</sup> | &nbsp;&nbsp; 11950 | &nbsp;&nbsp;&nbsp;&nbsp; 12243861 |
| &nbsp;&nbsp;&nbsp;6.50%, with various maturities to 2062 | &nbsp;&nbsp; 79363 | &nbsp;&nbsp;&nbsp;&nbsp; 82157721 |
| &nbsp;&nbsp;&nbsp;7.00%, with various maturities to 2053 | &nbsp;&nbsp; 3044 | &nbsp;&nbsp;&nbsp;&nbsp; 3237182 |
| &nbsp;&nbsp;&nbsp;7.50%, with maturity at 2025 | &nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 10956 |
| &nbsp;&nbsp;&nbsp;9.50%, with maturity at 2025 | &nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2176 |
| Total U.S. Government Agency Mortgage-Backed Securities<br> (identified cost $341,973,838) |  | &nbsp;&nbsp;**$344508494** |

---

U.S. Government Guaranteed Small Business Administration Loans — 0.4%<sup>(12)(13)</sup>

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| &nbsp;&nbsp;&nbsp;0.16%, 7/15/37 to 5/15/42 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;534 | &nbsp;&nbsp;$2636 |
| &nbsp;&nbsp;&nbsp;0.23%, 4/15/37 to 12/15/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1366 | &nbsp;&nbsp;&nbsp;&nbsp; 9058 |
| &nbsp;&nbsp;&nbsp;0.41%, 6/15/42 to 7/15/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214 | &nbsp;&nbsp;&nbsp;&nbsp; 2899 |
| &nbsp;&nbsp;&nbsp;0.48%, 3/15/37 to 12/15/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2347 | &nbsp;&nbsp;&nbsp;&nbsp; 32054 |
| &nbsp;&nbsp;&nbsp;0.66%, 7/15/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51 | &nbsp;&nbsp;&nbsp;&nbsp; 1141 |
| &nbsp;&nbsp;&nbsp;0.73%, 3/15/37 to 10/15/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1859 | &nbsp;&nbsp;&nbsp;&nbsp; 38900 |
| &nbsp;&nbsp;&nbsp;0.91%, 5/15/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;453 | &nbsp;&nbsp;&nbsp;&nbsp; 13575 |
| &nbsp;&nbsp;&nbsp;0.98%, 9/15/37 to 11/15/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;831 | &nbsp;&nbsp;&nbsp;&nbsp; 22837 |
| &nbsp;&nbsp;&nbsp;1.23%, 8/15/37 to 12/15/37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1843 | &nbsp;&nbsp;&nbsp;&nbsp; 63720 |
| &nbsp;&nbsp;&nbsp;1.86%, 9/15/42 to 1/15/43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3407 | &nbsp;&nbsp;&nbsp;&nbsp; 212426 |
| &nbsp;&nbsp;&nbsp;1.89%, 11/15/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;126 | &nbsp;&nbsp;&nbsp;&nbsp; 7997 |
| &nbsp;&nbsp;&nbsp;2.11%, 10/15/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3334 | &nbsp;&nbsp;&nbsp;&nbsp; 236578 |
| &nbsp;&nbsp;&nbsp;2.36%, 12/15/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;489 | &nbsp;&nbsp;&nbsp;&nbsp; 38936 |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| &nbsp;&nbsp;&nbsp;2.86%, 12/15/42 to 2/15/43 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5303 | &nbsp;&nbsp;$514877 |
| &nbsp;&nbsp;&nbsp;3.11%, 12/15/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2769 | &nbsp;&nbsp;&nbsp;&nbsp; 292684 |
| Total U.S. Government Guaranteed Small Business Administration Loans<br> (identified cost $5,050,204) |  | &nbsp;&nbsp;**$1490318** |

---

Short-Term Investments — 3.8%

---

| | | |
|:---|:---|:---|
| **Security** | **Shares** | &nbsp;&nbsp;**Value** |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.14%<sup>(14)</sup> | 15069589 | &nbsp;&nbsp;$15069589 |
| Total Short-Term Investments<br> (identified cost $15,069,589) |  | &nbsp;&nbsp;**$15069589** |
| Total Purchased Swaptions — 0.8%<br> (identified cost $1,330,000) |  | &nbsp;&nbsp;**$3143959** |
| Total Investments — 129.8%<br> (identified cost $547,355,383) |  | &nbsp;&nbsp;**$514918745** |
| Total Written Options and Swaptions — (0.0)%<sup>(15)</sup><br> (premiums received $1,522,850) |  | &nbsp;&nbsp;**$(114139)** |

---

---

| |
|:---|
| TBA Sale Commitments — (3.7)% |
| U.S. Government Agency Mortgage-Backed Securities — (3.7)% |

---

---

| | | |
|:---|:---|:---|
| **Security** | **Principal<br> Amount<br> (000's omitted)** | &nbsp;&nbsp;**Value** |
| Government National Mortgage Association, 5.50%, 30-Year, TBA<sup>(11)</sup> | $(13100) | &nbsp;&nbsp;$(13313592) |
| Government National Mortgage Association, 6.00%, 30-Year, TBA<sup>(11)</sup> | &nbsp;&nbsp; (1500) | &nbsp;&nbsp;&nbsp;&nbsp; (1537737) |
| Total U.S. Government Agency Mortgage-Backed Securities<br> (proceeds $14,783,348) |  | &nbsp;&nbsp;**$(14851329)** |
| Total TBA Sale Commitments<br> (proceeds $14,783,348) |  | &nbsp;&nbsp;**$(14851329)** |
| Other Assets, Less Liabilities — (26.1)% |  | &nbsp;&nbsp;**$(103131935)** |
| Net Assets — 100.0% |  | &nbsp;&nbsp;**$396821342** |

---

------

Eaton Vance<br>

Government Opportunities Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | |
|:---|:---|
| 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> | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At January 31, 2023, the aggregate value of these securities is $40,821,289 or 10.3% of the Fund's net assets. |
| <sup>(2)</sup> | Variable rate security. The stated interest rate represents the rate in effect at January 31, 2023. |
| <sup>(3)</sup> | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at January 31, 2023. |
| <sup>(4)</sup> | Step coupon security. Interest rate represents the rate in effect at January 31, 2023. |
| <sup>(5)</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>(6)</sup> | Principal amount is less than $500. |
| <sup>(7)</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>(8)</sup> | Principal only security that entitles the holder to receive only principal payments on the underlying mortgages. |

---

<sup>(9)</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>(10)</sup> Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements.

<sup>(11)</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>(12)</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>(13)</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.

<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) — 0.8%** | **Purchased Interest Rate Swaptions (OTC) — 0.8%** | **Purchased Interest Rate Swaptions (OTC) — 0.8%** | **Purchased Interest Rate Swaptions (OTC) — 0.8%** | **Purchased Interest Rate Swaptions (OTC) — 0.8%** | **Purchased Interest Rate Swaptions (OTC) — 0.8%** |
| **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;25000000 | &nbsp;&nbsp;3/23/23 | &nbsp;&nbsp;$1531444 |
| 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;20000000 | &nbsp;&nbsp;5/17/23 | &nbsp;&nbsp;&nbsp;&nbsp; 41396 |
| 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;15000000 | &nbsp;&nbsp;&nbsp;&nbsp;6/2/23 | &nbsp;&nbsp;&nbsp;&nbsp; 221410 |
| 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;20000000 | &nbsp;&nbsp;&nbsp;&nbsp;3/7/23 | &nbsp;&nbsp;&nbsp;&nbsp;1349709 |
| **Total** |  |  |  |  | &nbsp;&nbsp;**$3143959** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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;(20000000) | &nbsp;&nbsp;2/17/23 | &nbsp;&nbsp;$(21754) |
| 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;(10000000) | &nbsp;&nbsp;3/6/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0 |
| 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;(25000000) | &nbsp;&nbsp;3/23/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(281) |
| 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;(15000000) | &nbsp;&nbsp;6/2/23 | &nbsp;&nbsp;&nbsp;&nbsp;(80570) |
| 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;(20000000) | &nbsp;&nbsp;3/7/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) |

---

------

Eaton Vance<br>

Government Opportunities Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Written Interest Rate Swaptions (OTC)<sup>(1)</sup> (continued)** | **Written Interest Rate Swaptions (OTC)<sup>(1)</sup> (continued)** | **Written Interest Rate Swaptions (OTC)<sup>(1)</sup> (continued)** | **Written Interest Rate Swaptions (OTC)<sup>(1)</sup> (continued)** | **Written Interest Rate Swaptions (OTC)<sup>(1)</sup> (continued)** | **Written Interest Rate Swaptions (OTC)<sup>(1)</sup> (continued)** |
| **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 3/9/23 to pay 1.88% and receive SOFR | &nbsp;&nbsp;Goldman Sachs International | &nbsp;&nbsp;USD | &nbsp;&nbsp;(20000000) | &nbsp;&nbsp;3/7/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$(24) |
| Option to enter into interest rate swap expiring 3/27/23 to pay 2.47% and receive SOFR | &nbsp;&nbsp;JPMorgan Chase Bank, N.A. | &nbsp;&nbsp;USD | &nbsp;&nbsp;(25000000) | &nbsp;&nbsp;3/23/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(11509) |
| **Total** |  |  |  |  | &nbsp;&nbsp;**$(114139)** |

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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. 5-Year Treasury Note | &nbsp;&nbsp;&nbsp;&nbsp;690 | &nbsp;&nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;&nbsp;&nbsp;3/31/23 | &nbsp;&nbsp;&nbsp;&nbsp;$75377109 | &nbsp;&nbsp;&nbsp;&nbsp;$(224783) |
| U.S. 10-Year Treasury Note | &nbsp;&nbsp;&nbsp;&nbsp;103 | &nbsp;&nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;&nbsp;&nbsp;3/22/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11795110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 183475 |
| U.S. Ultra-Long Treasury Bond | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37 | &nbsp;&nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;&nbsp;&nbsp;3/22/23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5244750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (27167) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**$(68475)** |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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 | 50000 | Receives | SOFR<br> (pays annually) | 3.07%<br> (pays annually) | 10/14/32 | $234217 | $— | $234217 |
| USD | 15000 | Receives | SOFR<br> (pays annually) | 3.29%<br> (pays annually) | 1/4/33 | &nbsp;&nbsp;&nbsp;&nbsp;(47389) | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (47389) |
| USD | 6000 | Receives | SOFR<br> (pays annually) | 3.16%<br> (pays annually) | 1/5/33 | &nbsp;&nbsp;&nbsp;&nbsp;46179 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 46179 |
| USD | 25000 | Receives | SOFR<br> (pays annually) | 1.92%<br> (pays annually) | 4/8/52 | 5255442 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;5255442 |
| USD | 10000 | Receives | SOFR<br> (pays annually) | 1.94%<br> (pays annually) | 4/21/52 | 2069060 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;2069060 |
| USD | 10000 | Receives | SOFR<br> (pays annually) | 1.89%<br> (pays annually) | 8/3/52 | 2140726 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;98 | &nbsp;&nbsp;&nbsp;&nbsp;2140628 |
| **Total** |  |  |  |  |  | **$9698235** | &nbsp;&nbsp;&nbsp;**$98** | **$9698137** |

---

------

Eaton Vance<br>

Government Opportunities Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **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) | $17500 &nbsp;&nbsp;1.00%<br> (pays quarterly)<sup>(1)</sup> | &nbsp;&nbsp;12/20/27 | &nbsp;&nbsp;$(236695) | &nbsp;&nbsp;$86048 | &nbsp;&nbsp;$(322743) |
| **Total** |  |  | &nbsp;&nbsp;**$(236695)** | &nbsp;&nbsp;**$86048** | &nbsp;&nbsp;**$(322743)** |

---

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

---

| | |
|:---|:---|
| **Abbreviations:** | **Abbreviations:** |
| CMT | – Constant Maturity Treasury |
| COF | – Cost of Funds 11th District |
| LIBOR | – London Interbank Offered Rate |
| MTA | – Monthly Treasury Average |
| 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.

------

Eaton Vance<br>

Government Opportunities Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

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<br> (Received)** | &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;2/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.44% | &nbsp;&nbsp;&nbsp;&nbsp;$474211 | &nbsp;&nbsp;&nbsp;&nbsp;$474615 |
| MUFG Securities Americas, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/6/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3270747 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3275693 |
| MUFG Securities Americas, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/6/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2992915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2997441 |
| MUFG Securities Americas, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/6/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2853437 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2857752 |
| MUFG Securities Americas, Inc. | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/6/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2514743 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2518546 |
| Wells Fargo Securities LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13901380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13921718 |
| Wells Fargo Securities LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10975642 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10991700 |
| Wells Fargo Securities LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9556345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9570326 |
| Wells Fargo Securities LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8123210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8135094 |
| Wells Fargo Securities LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7512820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7523811 |
| Wells Fargo Securities LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7265964 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7276594 |
| Wells Fargo Securities LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3533711 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3538881 |
| Wells Fargo Securities LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3334530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3339408 |
| Wells Fargo Securities LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3165304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3169935 |
| Wells Fargo Securities LLC | &nbsp;&nbsp;&nbsp;&nbsp;1/20/23 | &nbsp;&nbsp;&nbsp;&nbsp;2/2/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 4.45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2834806 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2838953 |
| **Total Investments** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;**$82309765** | &nbsp;&nbsp;&nbsp;&nbsp;**$82430467** |

---

At January 31, 2023, the remaining contractual maturity of all 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 $89,086,541.

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.

Affiliated Investments

At January 31, 2023, the value of the Fund's investment in funds that may be deemed to be affiliated was $15,069,589, which represents 3.8% of the Fund's net assets. Transactions 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<sup>(1)</sup> | $83859312 | $38481680 | $(107271403) | $— | $— | $15069589 | $496742 | 15069589 |

---

<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)

------

Eaton Vance<br>

Government Opportunities Fund

January 31, 2023

Portfolio of Investments (Unaudited) — continued

------

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** |
| Asset-Backed Securities | &nbsp;&nbsp;$— | &nbsp;&nbsp;$19543576 | &nbsp;&nbsp;$— | &nbsp;&nbsp;$19543576 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;126738218 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;126738218 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1507198 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1507198 |
| U.S. Government Agency Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2917393 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2917393 |
| U.S. Government Agency Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;344508494 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;344508494 |
| U.S. Government Guaranteed Small Business Administration Loans | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1490318 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1490318 |
| Short-Term Investments | &nbsp;&nbsp;&nbsp;&nbsp;15069589 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 15069589 |
| Purchased Interest Rate Swaptions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3143959 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 3143959 |
| **Total Investments** | &nbsp;&nbsp;**$15069589** | &nbsp;&nbsp;**$499849156** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;**$514918745** |
| Futures Contracts | &nbsp;&nbsp;$183475 | &nbsp;&nbsp;$— | &nbsp;&nbsp;$— | &nbsp;&nbsp;$183475 |
| Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 9745624 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 9745624 |
| **Total** | &nbsp;&nbsp;**$15253064** | &nbsp;&nbsp;**$509594780** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;**$524847844** |
| **Liability Description** |  |  |  |  |
| TBA Sale Commitments | &nbsp;&nbsp;$— | &nbsp;&nbsp;$(14851329) | &nbsp;&nbsp;$— | &nbsp;&nbsp;$(14851329) |
| Written Interest Rate Swaptions | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (114139) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (114139) |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (251950) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (251950) |
| Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (284084) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (284084) |
| **Total** | &nbsp;&nbsp;**$(251950)** | &nbsp;&nbsp;**$(15249552)** | &nbsp;&nbsp;**$—** | &nbsp;&nbsp;**$(15501502)** |

---

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:** Government Opportunities Fund

- **b. EDGAR series identifier (if any):** S000005288

- **c. LEI of Series:** 549300FGUNKHMTW51F25

**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:** $671737536.82

**Total Liabilities:** $277430442.06

**Net Assets:** $394307094.76

**Delayed Delivery Securities:** $174889052.52

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -6.85000000 | **1-Year:** -524.37000000 | **5-Year:** -246.43000000 | **10-Year:** -1031.80000000 | **30-Year:** -500.53000000

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

- **3-Month:** -156.81000000 | **1-Year:** -2979.14000000 | **5-Year:** 4412.45000000 | **10-Year:** -4986.14000000 | **30-Year:** -1808.90000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000014451 | 0.79%                | -0.96%               | 1.12%                |
| Class ID C000014453 | 0.73%                | -1.03%               | 1.06%                |
| Class ID C000014450 | 0.77%                | -0.99%               | 0.92%                |
| Class ID C000077399 | 0.81%                | -0.94%               | 0.96%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1350636.81             | $9421687.57                                |
| Month 2  | $-2092148.87             | $-7667570.22                               |
| Month 3  | $-2578195.37             | $10529637.59                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| COOF 9670585001                                   | COOF 9670585001                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2037-09-15      | Fixed         | 0.23%                 | No            |                  2 | On Loan: No      |
| COOF 8327375006                                   | COOF 8327375006                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2037-10-15      | Fixed         | 0.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8723582 | PA      | $576078.33    | 0.15%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FFDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1498567 | PA      | $1593934.55   | 0.40%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618A53Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    559517 | PA      | $579737.05    | 0.15%             | 2062-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382XJH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1673540 | PA      | $1417679.08   | 0.36%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 9858485008                                   | COOF 9858485008                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    547014 | PA      | $15060.58     | 0.00%             | 2037-11-15      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382J4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4687280 | PA      | $62100.37     | 0.02%             | 2050-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140N4TU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45361 | PA      | $46309.67     | 0.01%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140N0BE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435473 | PA      | $442618.60    | 0.11%             | 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        |    215762 | PA      | $111272.21    | 0.03%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AP5K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1921515 | PA      | $1959166.27   | 0.50%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 9421775009                                   | COOF 9421775009                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    452572 | PA      | $13574.68     | 0.00%             | 2042-05-15      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382LAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7456809 | PA      | $833947.86    | 0.21%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3133T82X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18460 | PA      | $18603.65     | 0.00%             | 2026-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382WWM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2043027 | PA      | $1697601.35   | 0.43%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22881 | PA      | $23463.69     | 0.01%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383AUB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    593803 | PA      | $406326.25    | 0.10%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 31359HYE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73219 | PA      | $73384.15     | 0.02%             | 2024-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31412BLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24876 | PA      | $24984.82     | 0.01%             | 2027-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes                                                         | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2993060 | PA      | $2671388.19   | 0.68%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38378MQ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7113902 | PA      | $16353.44     | 0.00%             | 2042-07-20      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 31358TLW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        21 | PA      | $20.86        | 0.00%             | 2023-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AVMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $522667.48    | 0.13%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COOF 9070915000                                   | COOF 9070915000                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2037-12-15      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3138ET6N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73131 | PA      | $77250.16     | 0.02%             | 2037-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COOF 1770437006                                   | COOF 1770437006                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2043-01-15      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31385HJ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446247 | PA      | $451007.05    | 0.11%             | 2035-08-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2023-NQM1 Trust                                                                            | CUSIP: 55285PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    625000 | PA      | $616399.88    | 0.16%             | 2067-11-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38381R4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2794203 | PA      | $287161.91    | 0.07%             | 2049-03-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3133T66M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64754 | PA      | $65993.59     | 0.02%             | 2026-03-15      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| COOF 9414655010                                   | COOF 9414655010                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-05-15      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FWLP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243492 | PA      | $125923.79    | 0.03%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382VLF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    580667 | PA      | $418575.71    | 0.11%             | 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        |   3762703 | PA      | $465280.38    | 0.12%             | 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        |   3887704 | PA      | $518548.50    | 0.13%             | 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        |   8627896 | PA      | $1073202.38   | 0.27%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 1396967000                                   | COOF 1396967000                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158594 | PA      | $1016.97      | 0.00%             | 2037-12-15      | Fixed         | 0.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382NPV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386686 | PA      | $304821.99    | 0.08%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31378E3P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1505 | PA      | $1544.20      | 0.00%             | 2025-11-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AGXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1297829 | PA      | $1331776.71   | 0.34%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38380YYS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3347225 | PA      | $316192.28    | 0.08%             | 2048-09-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618ASK28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1516282 | PA      | $1572974.34   | 0.40%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F6CY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1089264 | PA      | $613849.18    | 0.16%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                                    | ACHV ABS TRUST 2023-1PL                                                                        | CUSIP: 00091XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002820.50   | 0.25%             | 2030-03-18      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31385WZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231984 | PA      | $235710.92    | 0.06%             | 2040-04-01      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617L7YU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    355570 | PA      | $348397.57    | 0.09%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H3V33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420656 | PA      | $298453.40    | 0.08%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38380TSV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32437 | PA      | $36104.20     | 0.01%             | 2046-11-20      | Floating      | 0.26%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                             | CUSIP: 31325W4K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2273486 | PA      | $441878.42    | 0.11%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 36179UKN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173046 | PA      | $170851.49    | 0.04%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 1397377002                                   | COOF 1397377002                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-12-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383TP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14682263 | PA      | $242389.49    | 0.06%             | 2052-07-20      | Floating      | 0.30%                 | No            |                  2 | On Loan: No      |
| COOF 9392155000                                   | COOF 9392155000                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178269 | PA      | $798.28       | 0.00%             | 2037-07-15      | Fixed         | 0.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31389AZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215686 | PA      | $215447.50    | 0.05%             | 2035-03-01      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31385HJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357100 | PA      | $361322.42    | 0.09%             | 2034-09-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AFJR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    684896 | PA      | $712129.14    | 0.18%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382U6S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2875482 | PA      | $2196805.48   | 0.56%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMO Capital Markets Corp.                         | RRP FHLMC 30YR UMBS REPO                                                                       | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Short            | RA               | CORP              | US        | -13901380 | PA      | $-13901380.48 | -3.53%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                               | CUSIP: 3133BN4R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    855354 | PA      | $869924.60    | 0.22%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 9487625002                                   | COOF 9487625002                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194793 | PA      | $6732.89      | 0.00%             | 2037-12-15      | Fixed         | 1.23%                 | 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     | 0.01%             | 2026-12-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 1426637008                                   | COOF 1426637008                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3383689 | PA      | $328165.45    | 0.08%             | 2042-12-15      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PG41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        50 | PA      | $49.76        | 0.00%             | 2023-05-17      | Fixed         | 7.50%                 | 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    | 0.19%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 9743065000                                   | COOF 9743065000                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187953 | PA      | $4702.97      | 0.00%             | 2042-10-15      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383APQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1636204 | PA      | $1253521.04   | 0.32%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F9WE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8414595 | PA      | $1098281.33   | 0.28%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BMO Capital Markets Corp.                         | REPO RRP GNMA2 30YR CASH/RRP                                                                   | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Short            | RA               | CORP              | US        | -10975642 | PA      | $-10975642.34 | -2.78%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383DCB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6982163 | PA      | $994181.83    | 0.25%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30000000 | PA      | $31067212.50  | 7.88%             | 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        |    472841 | PA      | $353720.80    | 0.09%             | 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        |   2286849 | PA      | $283630.56    | 0.07%             | 2050-04-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BGH46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3085812 | PA      | $2106609.17   | 0.53%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38379DKM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4263211 | PA      | $19924.12     | 0.01%             | 2040-05-20      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38379CZJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10650214 | PA      | $43495.48     | 0.01%             | 2035-09-20      | Floating      | 0.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31410F4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124770 | PA      | $122684.92    | 0.03%             | 2036-05-01      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FW2T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127984 | PA      | $134232.77    | 0.03%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136AAWG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1346488 | PA      | $1113030.00   | 0.28%             | 2042-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FYN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    603201 | PA      | $618036.85    | 0.16%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31283HTA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1060 | PA      | $1081.75      | 0.00%             | 2025-12-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137B55L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287969 | PA      | $275671.55    | 0.07%             | 2043-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BB2A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3773663 | PA      | $456584.54    | 0.12%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140N4EY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3640069 | PA      | $3743594.02   | 0.95%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNMA2 30 YR REPO                                                                           | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -2853437 | PA      | $-2853437.32  | -0.72%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H2UF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3051308 | PA      | $2035942.63   | 0.52%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382FP57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    747830 | PA      | $570811.04    | 0.14%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140MVKM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2424071 | PA      | $2448635.38   | 0.62%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 1523147005                                   | COOF 1523147005                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2037-01-15      | Fixed         | 0.23%                 | No            |                  2 | On Loan: No      |
| KKR                                               | KKR                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3024131 | PA      | $3001474.46   | 0.76%             | 2023-12-13      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31373HXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199522 | PA      | $198591.35    | 0.05%             | 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        |    998928 | PA      | $1023496.86   | 0.26%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382XYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1215748 | PA      | $946797.53    | 0.24%             | 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        |    452502 | PA      | $321487.07    | 0.08%             | 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        |   3465628 | PA      | $3522498.25   | 0.89%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BMIBFPXA8 EATON VANCE                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  15000000 | NC      | $221409.90    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| COOF 1173427005                                   | COOF 1173427005                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-11-15      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AE3P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    475312 | PA      | $484625.91    | 0.12%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR 2019-HQA3                                                                    | CUSIP: 35564XBE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $968740.60    | 0.25%             | 2049-09-25      | Floating      | 12.01%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AFJQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    649456 | PA      | $668461.71    | 0.17%             | 2062-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H02K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125828 | PA      | $88039.95     | 0.02%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3133TGU49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71601 | PA      | $73151.61     | 0.02%             | 2028-11-15      | Fixed         | 6.00%                 | 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        |   4843848 | PA      | $170532.52    | 0.04%             | 2041-08-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382E7X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3030686 | PA      | $356138.68    | 0.09%             | 2049-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383CC40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    448410 | PA      | $306539.45    | 0.08%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618ATZM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1039264.05   | 0.26%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382LXQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15391557 | PA      | $1793467.27   | 0.45%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618A5RD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    629657 | PA      | $645142.84    | 0.16%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 31392BQR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197059 | PA      | $206487.72    | 0.05%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FXMN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7844502 | PA      | $972054.63    | 0.25%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BDC63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9739376 | PA      | $1148228.59   | 0.29%             | 2049-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BGCM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680317 | PA      | $486572.05    | 0.12%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38379GNN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4679576 | PA      | $33241.83     | 0.01%             | 2037-11-20      | Floating      | 0.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities PLC                           | BMIBAB1F8 EATON VANCE                                                                          | CUSIP: 000000000<br>LEI: K6Q0W1PS1L1O4IQL9C32 | N/A              | DIR              |  | US        | -25000000 | NC      | $-11509.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BMO Capital Markets Corp.                         | RRP FNMA 30 YR UMBS REPO                                                                       | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Short            | RA               | CORP              | US        |  -3533711 | PA      | $-3533710.73  | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| COOF 9354865000                                   | COOF 9354865000                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328619 | PA      | $4537.74      | 0.00%             | 2037-04-15      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382XKT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    769237 | PA      | $546409.93    | 0.14%             | 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        |    185090 | PA      | $188215.24    | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | 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   | 0.26%             | 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        |    979199 | PA      | $995879.50    | 0.25%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 9799915005                                   | COOF 9799915005                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949377 | PA      | $32849.77     | 0.01%             | 2037-11-15      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BFCZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130530 | PA      | $75561.13     | 0.02%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR23                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        37 | NC      | $-27166.55    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BMO Capital Markets Corp.                         | RRP FHLMC 30YR UMBS REPO                                                                       | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Short            | RA               | CORP              | US        |  -7512820 | PA      | $-7512820.09  | -1.91%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140QPXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3319451 | PA      | $3345412.58   | 0.85%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Achieve Mortgage                                  | FREED Mortgage Trust 2022-HE1                                                                  | CUSIP: 35634KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1844080 | PA      | $1844412.46   | 0.47%             | 2037-10-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31418EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7638834 | PA      | $7679481.57   | 1.95%             | 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        |   1997955 | PA      | $2052713.51   | 0.52%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust I LLC 2019-1                                                          | CUSIP: 03464MAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $964233.90    | 0.24%             | 2048-11-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FWT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1565735 | PA      | $153200.14    | 0.04%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 36179XLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62109 | PA      | $64189.96     | 0.02%             | 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        |    179129 | PA      | $124179.64    | 0.03%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BG5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1350391 | PA      | $880755.13    | 0.22%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FQFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    638314 | PA      | $439347.20    | 0.11%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FMB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1998198 | PA      | $2077279.62   | 0.53%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FWMH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    811756 | PA      | $462346.74    | 0.12%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136ABV59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795000 | PA      | $616099.12    | 0.16%             | 2043-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BGNY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1599504 | PA      | $1048359.91   | 0.27%             | 2051-08-25      | Fixed         | 2.50%                 | 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    | 0.09%             | 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        |   2675430 | PA      | $1800537.27   | 0.46%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 1132577008                                   | COOF 1132577008                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-12-15      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| COOF 9528795004                                   | COOF 9528795004                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99825 | PA      | $1374.47      | 0.00%             | 2042-07-15      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137B1WD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    540366 | PA      | $485344.90    | 0.12%             | 2043-05-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AEBF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    993243 | PA      | $1026965.50   | 0.26%             | 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        |  19706935 | PA      | $182797.59    | 0.05%             | 2052-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $457242.41    | 0.12%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                           | PNMAC GMSR ISSUER TRUST 2022-GT1                                                               | CUSIP: 69354WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $477838.60    | 0.12%             | 2027-05-25      | Floating      | 8.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                     | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10480000 | PA      | $10743656.36  | 2.72%             | 2053-02-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F64M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98825 | PA      | $50926.34     | 0.01%             | 2050-11-25      | Fixed         | 2.00%                 | 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        |  25000000 | OU      | $5154192.50   | 1.31%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H3PN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    958539 | PA      | $671782.85    | 0.17%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FVR46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2889092 | PA      | $352927.96    | 0.09%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382K4V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4742692 | PA      | $549716.89    | 0.14%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382XTW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3540757 | PA      | $25981.01     | 0.01%             | 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        |    998068 | PA      | $1132319.83   | 0.29%             | 2052-11-20      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AE3R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4026532 | PA      | $4186637.27   | 1.06%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383U4S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1739799 | PA      | $1815171.41   | 0.46%             | 2052-10-20      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140N7CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1997911 | PA      | $2045680.40   | 0.52%             | 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        |   9817392 | PA      | $504987.50    | 0.13%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140N4TL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931856 | PA      | $949011.28    | 0.24%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FYPD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3373571 | PA      | $3451272.23   | 0.88%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382VLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271934 | PA      | $194521.57    | 0.05%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PHZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9235 | PA      | $9326.06      | 0.00%             | 2024-06-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F4ZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1322518 | PA      | $255058.73    | 0.06%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31373HX27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77504 | PA      | $77545.87     | 0.02%             | 2034-08-01      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31300LP90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    475006 | PA      | $483545.97    | 0.12%             | 2036-11-01      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FYPE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    516943 | PA      | $534494.41    | 0.14%             | 2052-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                               | CUSIP: 3132DWEL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8540073 | PA      | $8585515.71   | 2.18%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 9927485002                                   | COOF 9927485002                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488867 | PA      | $38936.39     | 0.01%             | 2042-12-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H1VD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266779 | PA      | $187566.59    | 0.05%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Unison Trust                                      | Unison Trust 2021-1                                                                            | CUSIP: 90919VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9183196 | PA      | $8314851.09   | 2.11%             | 2050-04-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136AYDM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13161063 | PA      | $40937.49     | 0.01%             | 2042-10-25      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| COOF 1446937001                                   | COOF 1446937001                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-12-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                           | PNMAC GMSR ISSUER TRUST 2018-GT1                                                               | CUSIP: 69354WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3933154.00   | 1.00%             | 2023-02-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2022-4                                                      | CUSIP: 268432AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695763 | PA      | $687329.25    | 0.17%             | 2067-09-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| COOF 1792857004                                   | COOF 1792857004                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1918959 | PA      | $186711.93    | 0.05%             | 2043-02-15      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PH32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3621 | PA      | $3650.23      | 0.00%             | 2024-09-17      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COOF 9688795003                                   | COOF 9688795003                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    512948 | PA      | $10489.42     | 0.00%             | 2037-10-15      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BBZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2843698 | PA      | $349612.48    | 0.09%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H1Q33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438204 | PA      | $256561.65    | 0.07%             | 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        |     37237 | PA      | $25286.36     | 0.01%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382WGF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4308253 | PA      | $152601.75    | 0.04%             | 2051-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 9517875009                                   | COOF 9517875009                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51225 | PA      | $1140.90      | 0.00%             | 2042-07-15      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| COOF 1397317006                                   | COOF 1397317006                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-12-15      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137AUH77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373167 | PA      | $277163.28    | 0.07%             | 2042-09-15      | Floating      | 0.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 31358S2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54269 | PA      | $55663.19     | 0.01%             | 2027-03-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137AUH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419075 | PA      | $311185.18    | 0.08%             | 2042-09-15      | Floating      | 0.07%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNMA2 30YR REPO                                                                            | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -2514743 | PA      | $-2514743.47  | -0.64%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FWFL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    841490 | PA      | $744023.07    | 0.19%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BMIBE7FK7 EATON VANCE                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  20000000 | NC      | $41395.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                               | CUSIP: 3133BGRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    496615 | PA      | $499164.44    | 0.13%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618ATX89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1272350 | PA      | $1367327.68   | 0.35%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382XG66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1276656 | PA      | $997914.91    | 0.25%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 9278575004                                   | COOF 9278575004                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-04-15      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AVMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $518694.53    | 0.13%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 3128DHAK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5687 | PA      | $5767.30      | 0.00%             | 2026-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3133THHD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17361 | PA      | $17496.97     | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382UZ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1145567 | PA      | $882979.17    | 0.22%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BMO Capital Markets Corp.                         | RRP FHLMC 30YR UMBS REPO                                                                       | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Short            | RA               | CORP              | US        |  -3334530 | PA      | $-3334529.62  | -0.85%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31283HSU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       171 | PA      | $175.32       | 0.00%             | 2025-06-01      | Fixed         | 9.50%                 | 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    | 0.24%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR23                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       103 | NC      | $183474.52    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BMO Capital Markets Corp.                         | REPO RRP FHLMC 30YR UMBS                                                                       | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Short            | RA               | CORP              | US        |  -8123210 | PA      | $-8123210.40  | -2.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382NRE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    383532 | PA      | $279317.91    | 0.07%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BCEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4545975 | PA      | $564469.61    | 0.14%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes                                                         | CUSIP: 64830YAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315625 | PA      | $283699.67    | 0.07%             | 2026-03-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BBA44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92371 | PA      | $62085.76     | 0.02%             | 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        |   8922107 | PA      | $535759.15    | 0.14%             | 2063-04-16      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| COOF 1438187001                                   | COOF 1438187001                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2043-01-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3133TKDP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44833 | PA      | $45687.01     | 0.01%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BGJX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2957301 | PA      | $1946598.22   | 0.49%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H1RT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1905932 | PA      | $1251036.91   | 0.32%             | 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        |  49236296 | PA      | $443811.05    | 0.11%             | 2052-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2022-NWPT                                                                                 | CUSIP: 12663MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520000 | PA      | $1507198.10   | 0.38%             | 2024-09-09      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FRXZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153597 | PA      | $161095.87    | 0.04%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140N3A74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69727 | PA      | $71193.97     | 0.02%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137B2RP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287036 | PA      | $287987.17    | 0.07%             | 2043-06-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382T5C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    294798 | PA      | $214287.39    | 0.05%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382PY55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2254 | PA      | $1250.02      | 0.00%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382WCF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1378561 | PA      | $1064537.51   | 0.27%             | 2051-07-20      | 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        |     46346 | PA      | $31228.09     | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COOF 1103187010                                   | COOF 1103187010                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-11-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BMIBFPXB6 EATON VANCE                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        | -15000000 | NC      | $-80570.10    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AJWQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1262554 | PA      | $1312756.59   | 0.33%             | 2062-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617LC6W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1160419 | PA      | $1137011.13   | 0.29%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COOF 9368195001                                   | COOF 9368195001                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1207376 | PA      | $8040.70      | 0.00%             | 2037-04-15      | Fixed         | 0.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3133T6J36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6398 | PA      | $6422.37      | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PG66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21399 | PA      | $21606.83     | 0.01%             | 2024-12-17      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382MS34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131949 | PA      | $115359.50    | 0.03%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31378A5Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83566 | PA      | $81457.30     | 0.02%             | 2026-11-01      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| BMO Capital Markets Corp.                         | REPO RRP FHLMC 30YR UMBS                                                                       | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Short            | RA               | CORP              | US        |  -7265964 | PA      | $-7265963.60  | -1.84%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FMCE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $3162412.35   | 0.80%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FDQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    914769 | PA      | $164692.63    | 0.04%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140JPLD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289990 | PA      | $290524.03    | 0.07%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 3128LXEL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42928 | PA      | $43673.19     | 0.01%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31385HJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2449897 | PA      | $2445426.88   | 0.62%             | 2036-07-01      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31402DRD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141709 | PA      | $136018.86    | 0.03%             | 2035-03-01      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.00         | 0.00%             | 2053-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383ACD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    869991 | PA      | $672895.03    | 0.17%             | 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        |   6000000 | OU      | $40505.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BA3H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198681 | PA      | $168492.10    | 0.04%             | 2043-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FMCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2078528.10   | 0.53%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140N5DK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875298 | PA      | $890208.78    | 0.23%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AE6W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1340212 | PA      | $1366473.40   | 0.35%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                               | CUSIP: 3133KQAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    935763 | PA      | $955797.99    | 0.24%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H3V58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    768412 | PA      | $561387.42    | 0.14%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FWTG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    750834 | PA      | $414284.12    | 0.11%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AHYY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257479 | PA      | $265416.07    | 0.07%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H32W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1670504 | PA      | $1108580.56   | 0.28%             | 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        |   1923063 | PA      | $239445.81    | 0.06%             | 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        |   1266257 | PA      | $812333.69    | 0.21%             | 2051-02-25      | Floating      | 0.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382W2D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750400 | PA      | $536110.57    | 0.14%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38381TP41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3838257 | PA      | $411479.55    | 0.10%             | 2049-04-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                                      | CUSIP: 3136FENW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870724 | PA      | $696769.26    | 0.18%             | 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        |    322852 | PA      | $271619.32    | 0.07%             | 2043-06-25      | Floating      | 0.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H1T30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    984147 | PA      | $622607.43    | 0.16%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383AHG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    465548 | PA      | $314385.81    | 0.08%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31386YTU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5260 | PA      | $5283.47      | 0.00%             | 2026-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31378RTG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2500 | PA      | $2575.69      | 0.00%             | 2025-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 31358UJN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2908 | PA      | $2907.40      | 0.00%             | 2023-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31375GUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11831 | PA      | $11840.92     | 0.00%             | 2024-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140MR3X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1990865 | PA      | $2008084.37   | 0.51%             | 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        |  15374586 | PA      | $1899729.92   | 0.48%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31385XEA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1947 | PA      | $1994.79      | 0.00%             | 2030-04-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H32X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183890 | PA      | $112942.07    | 0.03%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12151 | PA      | $12140.50     | 0.00%             | 2024-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FQTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    496588 | PA      | $501827.85    | 0.13%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                           | PNMAC GMSR ISSUER TRUST 2018-GT2                                                               | CUSIP: 69354WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430000 | PA      | $419705.28    | 0.11%             | 2025-08-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AFAN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    673837 | PA      | $689777.78    | 0.17%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42894 | PA      | $42911.65     | 0.01%             | 2028-06-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AP6N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1629176 | PA      | $1676852.24   | 0.43%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617XR6C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2982679 | PA      | $3009492.46   | 0.76%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       690 | NC      | $-224782.66   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| COOF 9509215010                                   | COOF 9509215010                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-07-15      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AMBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1297389 | PA      | $1329297.65   | 0.34%             | 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        |   1588635 | PA      | $1601878.98   | 0.41%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31387UDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59181 | PA      | $59788.06     | 0.02%             | 2030-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382LPC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8963316 | PA      | $1089559.17   | 0.28%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H1R32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2043348 | PA      | $1319620.55   | 0.33%             | 2051-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 31392BWG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3062 | PA      | $3060.04      | 0.00%             | 2023-07-25      | Fixed         | 7.00%                 | 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        |  10000000 | OU      | $2024193.00   | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 36179XNJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  42021444 | PA      | $43429686.03  | 11.01%            | 2052-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COOF 9598975005                                   | COOF 9598975005                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81465 | PA      | $2798.69      | 0.00%             | 2037-08-15      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust              | Deephaven Residential Mortgage Trust 2020-2                                                    | CUSIP: 24380NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $946293.90    | 0.24%             | 2065-05-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| COOF 7768185009                                   | COOF 7768185009                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126157 | PA      | $7996.92      | 0.00%             | 2042-11-15      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137B4AK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319322 | PA      | $178893.75    | 0.05%             | 2043-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AGHS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139881 | PA      | $146929.25    | 0.04%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F3E59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    654028 | PA      | $120310.19    | 0.03%             | 2048-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PHH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6734 | PA      | $6760.94      | 0.00%             | 2024-05-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H27D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4086608 | PA      | $2714285.32   | 0.69%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31381DZY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1047 | PA      | $1073.90      | 0.00%             | 2030-07-15      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                               | CUSIP: 3133KQJL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2065630.80   | 0.52%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 9695815005                                   | COOF 9695815005                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2037-11-15      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382VNE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35757 | PA      | $21685.75     | 0.01%             | 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        |   4485952 | PA      | $187481.84    | 0.05%             | 2050-12-25      | Floating      | 0.08%                 | No            |                  2 | On Loan: No      |
| COOF 1397437007                                   | COOF 1397437007                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-12-15      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383LCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1991880 | PA      | $2121275.48   | 0.54%             | 2052-11-20      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| COOF 1363297004                                   | COOF 1363297004                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2037-12-15      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382URP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5469039 | PA      | $785223.87    | 0.20%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F8JG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151658 | PA      | $103106.87    | 0.03%             | 2050-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F6JC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1208238 | PA      | $787689.56    | 0.20%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AMBL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    698715 | PA      | $725058.10    | 0.18%             | 2052-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 31359G5C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18669 | PA      | $18708.62     | 0.00%             | 2024-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136AAZX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304660 | PA      | $275448.99    | 0.07%             | 2042-12-25      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F3NP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    969620 | PA      | $178368.40    | 0.05%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                     | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -13100000 | PA      | $-13313592.23 | -3.38%            | 2053-02-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 9785105008                                   | COOF 9785105008                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2037-12-15      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137BSLH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259275 | PA      | $173442.43    | 0.04%             | 2046-10-15      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382WAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3758496 | PA      | $541212.08    | 0.14%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FYPB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445674 | PA      | $452604.84    | 0.11%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                               | CUSIP: 3133BNSW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14394621 | PA      | $14659623.99  | 3.72%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 9375765004                                   | COOF 9375765004                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-05-15      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| COOF 9649935005                                   | COOF 9649935005                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3053092 | PA      | $190249.71    | 0.05%             | 2042-09-15      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BA2V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5562198 | PA      | $767267.98    | 0.19%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 9681975006                                   | COOF 9681975006                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3333586 | PA      | $236577.82    | 0.06%             | 2042-10-15      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BA3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3514143 | PA      | $502156.21    | 0.13%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | BEV54SXW2 EATON VANCE                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        | -20000000 | NC      | $-0.60        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BEV55NVR5 EATON VANCE                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  25000000 | NC      | $1531444.25   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140N4TK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1187703 | PA      | $1211201.25   | 0.31%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383CGN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485384 | PA      | $362012.69    | 0.09%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PEE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1556 | PA      | $1588.24      | 0.00%             | 2025-05-17      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AP6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3098390 | PA      | $3159102.07   | 0.80%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 1736877005                                   | COOF 1736877005                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566611 | PA      | $11610.51     | 0.00%             | 2038-01-15      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                              | CUSIP: 36241KMJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10811 | PA      | $10955.78     | 0.00%             | 2025-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FFUD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    487884 | PA      | $298478.44    | 0.08%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FY4G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    539201 | PA      | $311596.88    | 0.08%             | 2051-03-25      | Fixed         | 2.00%                 | 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     | 0.01%             | 2027-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| COOF 9376465010                                   | COOF 9376465010                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-05-15      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F6QR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179196 | PA      | $109083.61    | 0.03%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 31359B6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3630 | PA      | $3631.37      | 0.00%             | 2023-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COOF 1347477010                                   | COOF 1347477010                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-12-15      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BMIBE7FE1 EATON VANCE                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        | -20000000 | NC      | $-21754.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618A87D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1997663 | PA      | $2036806.28   | 0.52%             | 2062-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                               | CUSIP: 3133JL7G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4978737 | PA      | $4922769.18   | 1.25%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FWU65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200372 | PA      | $148648.60    | 0.04%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31402BGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11203 | PA      | $11517.64     | 0.00%             | 2025-05-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BJD85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719686 | PA      | $519969.66    | 0.13%             | 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        |   1998054 | PA      | $2082977.26   | 0.53%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BMO Capital Markets Corp.                         | RRP FNMA 30 YR REPO                                                                            | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Short            | RA               | CORP              | US        |  -9556345 | PA      | $-9556345.01  | -2.42%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FMB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1191827 | PA      | $1216298.00   | 0.31%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383DSE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8990212 | PA      | $122574.35    | 0.03%             | 2051-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AEBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1458254 | PA      | $1491840.77   | 0.38%             | 2052-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 31359D6L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8007 | PA      | $8006.49      | 0.00%             | 2023-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140QANN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653896 | PA      | $655507.51    | 0.17%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOF 1072867009                                   | COOF 1072867009                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196349 | PA      | $2633.42      | 0.00%             | 2037-12-15      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FWTA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1068976 | PA      | $646505.29    | 0.16%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382KXR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5914304 | PA      | $648605.20    | 0.16%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618A5NA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1380384 | PA      | $1414334.21   | 0.36%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BGKB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1043996 | PA      | $668317.84    | 0.17%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H16E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108044 | PA      | $63139.02     | 0.02%             | 2051-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3133THYV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145867 | PA      | $147758.69    | 0.04%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 9330015009                                   | COOF 9330015009                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113693 | PA      | $1525.16      | 0.00%             | 2042-06-15      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FVW40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2858648 | PA      | $349863.70    | 0.09%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31283HG58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1263 | PA      | $1295.71      | 0.00%             | 2027-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617M7BU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461038 | PA      | $438251.24    | 0.11%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COOF 9663115002                                   | COOF 9663115002                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-09-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| COOF 1104487008                                   | COOF 1104487008                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-11-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F9ZV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237857 | PA      | $141162.80    | 0.04%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2019-R04                                                   | CUSIP: 20753TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2960714 | PA      | $3090245.52   | 0.78%             | 2039-06-25      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137AUH51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208334 | PA      | $154736.09    | 0.04%             | 2042-09-15      | Floating      | 0.07%                 | No            |                  2 | On Loan: No      |
| COOF 1357127003                                   | COOF 1357127003                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2043-01-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BEV55NVS3 EATON VANCE                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        | -25000000 | NC      | $-280.50      | -0.00%            |  |  |  | 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        |  15069589 | NS      | $15069588.59  | 3.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AE6F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    467817 | PA      | $477129.95    | 0.12%             | 2062-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H0ZK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55862 | PA      | $40596.40     | 0.01%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FYPC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1696189 | PA      | $1714087.83   | 0.43%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COOF 9612175009                                   | COOF 9612175009                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283742 | PA      | $7775.79      | 0.00%             | 2037-09-15      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PG33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       156 | PA      | $156.27       | 0.00%             | 2023-05-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                               | CUSIP: 3133KPZA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11506562 | PA      | $11589365.27  | 2.94%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618A5NB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1098670 | PA      | $1140091.30   | 0.29%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10778 | PA      | $10837.79     | 0.00%             | 2024-04-17      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F9BF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    332655 | PA      | $205367.22    | 0.05%             | 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      | $414837.01    | 0.11%             | 2038-05-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 31359HC77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23115 | PA      | $23381.17     | 0.01%             | 2024-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COOF 1450137000                                   | COOF 1450137000                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-12-15      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382T5V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7374673 | PA      | $852020.34    | 0.22%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382W5G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1878499 | PA      | $1436875.10   | 0.36%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                               | CUSIP: 3133KP6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7805781 | PA      | $7935131.56   | 2.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 31397T3D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1298704 | PA      | $1046546.63   | 0.27%             | 2038-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382DQJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3707523 | PA      | $530845.31    | 0.13%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136B1TS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2615444 | PA      | $466970.57    | 0.12%             | 2048-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BMO Capital Markets Corp.                         | RRP FHLMC 30YR UMBS REPO                                                                       | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Short            | RA               | CORP              | US        |  -2834806 | PA      | $-2834805.71  | -0.72%            |  |  |  | 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        |  17500000 | OU      | $-215792.15   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 31358UPF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2014 | PA      | $2012.80      | 0.00%             | 2023-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COOF 1051897008                                   | COOF 1051897008                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2037-11-15      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F6BM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2042382 | PA      | $1332234.81   | 0.34%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H44M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    527632 | PA      | $364993.27    | 0.09%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                     | Radnor RE 2022-1 Ltd                                                                           | CUSIP: 75049XAA0<br>LEI: 254900YVLP8CB4GC2O97 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2991056.40   | 0.76%             | 2032-09-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BDQ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7125855 | PA      | $984080.59    | 0.25%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31402RH51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179751 | PA      | $177227.21    | 0.04%             | 2044-04-01      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382XH24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1142939 | PA      | $858147.30    | 0.22%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137F6JE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    761092 | PA      | $420409.40    | 0.11%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31368HFY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7500 | PA      | $7495.04      | 0.00%             | 2023-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31381D6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14395 | PA      | $14485.56     | 0.00%             | 2025-09-15      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                              | CUSIP: 36225BC22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2112 | PA      | $2175.65      | 0.00%             | 2025-07-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136AJWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1193012 | PA      | $881163.65    | 0.22%             | 2044-04-25      | None          | 0.00%                 | 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    | 0.06%             | 2049-02-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382KWY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11100766 | PA      | $1244029.57   | 0.32%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AECC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1622760 | PA      | $1660135.81   | 0.42%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6025452 | PA      | $699856.29    | 0.18%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140MMFG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496632 | PA      | $490678.51    | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                     | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1500000 | PA      | $-1537737.08  | -0.39%            | 2053-02-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31375ABV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        28 | PA      | $27.47        | 0.00%             | 2025-04-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PHJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7596 | PA      | $7669.45      | 0.00%             | 2024-12-17      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618A53X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    559393 | PA      | $570354.41    | 0.14%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BMIBM2Y69                                         | BMIBM2Y69                                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $187512.00    | 0.05%             | 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        |   9667370 | PA      | $599979.19    | 0.15%             | 2063-05-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137AUH69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    499584 | PA      | $370967.67    | 0.09%             | 2042-09-15      | Floating      | 0.07%                 | No            |                  2 | On Loan: No      |
| COOF 9675225008                                   | COOF 9675225008                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546723 | PA      | $11180.09     | 0.00%             | 2037-10-15      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31385JP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132011 | PA      | $137191.73    | 0.03%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 9196595006                                   | COOF 9196595006                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1079876 | PA      | $14880.15     | 0.00%             | 2037-03-15      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618A9EW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2049189.50   | 0.52%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AQ2V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1497333 | PA      | $1530415.71   | 0.39%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FUZD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1128689 | PA      | $1156448.90   | 0.29%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 1552247010                                   | COOF 1552247010                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354528 | PA      | $22175.95     | 0.01%             | 2043-01-15      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31374J6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51903 | PA      | $51341.25     | 0.01%             | 2025-04-01      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FVS60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5002635 | PA      | $612264.47    | 0.16%             | 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        |    521037 | PA      | $375513.83    | 0.10%             | 2051-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617XR5T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4880263 | PA      | $4924135.43   | 1.25%             | 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        |   2263086 | PA      | $282819.46    | 0.07%             | 2050-02-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618A8QA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1061126 | PA      | $1101131.72   | 0.28%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AGHR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275826 | PA      | $281230.74    | 0.07%             | 2062-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383CB74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9184302 | PA      | $73941.90     | 0.02%             | 2051-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AUC55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1667618 | PA      | $1703421.13   | 0.43%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FUYY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2497782 | PA      | $2656738.95   | 0.67%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNMA2 30YR REPO                                                                            | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -3270747 | PA      | $-3270747.18  | -0.83%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                             | CUSIP: 3128HWPJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1364097 | PA      | $1135131.25   | 0.29%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382KAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11539171 | PA      | $1511215.94   | 0.38%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38380GWN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1027955 | PA      | $1007711.82   | 0.26%             | 2047-09-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 36179XQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25816459 | PA      | $26681631.79  | 6.77%             | 2053-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H3KU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1003779 | PA      | $719576.91    | 0.18%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 3128CUKA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10295 | PA      | $10413.34     | 0.00%             | 2025-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FVPY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3511800 | PA      | $433273.63    | 0.11%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COOF 9293795009                                   | COOF 9293795009                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43839 | PA      | $918.04       | 0.00%             | 2037-03-15      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | BEV54P6R9 EATON VANCE                                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        | -10000000 | NC      | $-0.40        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383FCW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1032992 | PA      | $800509.45    | 0.20%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                              | CHNGE Mortgage Trust 2022-4                                                                    | CUSIP: 12551SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3837573 | PA      | $3780854.32   | 0.96%             | 2057-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout                    | Finance of America HECM Buyout 2022-HB2                                                        | CUSIP: 317380AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $689024.30    | 0.17%             | 2032-08-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140QQL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9901505 | PA      | $10063987.52  | 2.55%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3140N7KF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1350524 | PA      | $1376906.78   | 0.35%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                          | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21200000 | PA      | $21784656.78  | 5.52%             | 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        | -20000000 | NC      | $-24.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618ALQ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173132 | PA      | $181585.18    | 0.05%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FMCF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1272480 | PA      | $1347187.24   | 0.34%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382NXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7519988 | PA      | $965344.62    | 0.24%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H2BB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1342203 | PA      | $865738.61    | 0.22%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                              | CUSIP: 3617AUBH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    383872 | PA      | $384410.89    | 0.10%             | 2047-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FUXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1997906 | PA      | $2052663.42   | 0.52%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas Securities Corp.                      | RRP FHLMC 30YR REPO                                                                            | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | Short            | RA               | CORP              | US        |   -474211 | PA      | $-474210.93   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H1P91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165515 | PA      | $133244.50    | 0.03%             | 2050-04-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FXFJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       547 | PA      | $304.84       | 0.00%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AA3U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1981292 | PA      | $2020114.65   | 0.51%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 313615S56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15773 | PA      | $15762.62     | 0.00%             | 2023-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                               | CUSIP: 3133KP7B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2961793 | PA      | $2996989.48   | 0.76%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PGF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21322 | PA      | $21441.76     | 0.01%             | 2024-09-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COOF 9807345001                                   | COOF 9807345001                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2043-01-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                               | CUSIP: 3133BQEX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1143268 | PA      | $1180892.52   | 0.30%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 3138AFUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111690 | PA      | $110886.16    | 0.03%             | 2027-09-01      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| COOF 9844775000                                   | COOF 9844775000                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2037-11-15      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BGL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118064 | PA      | $712696.67    | 0.18%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FCT20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    826316 | PA      | $153124.24    | 0.04%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BDQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7220443 | PA      | $1010615.83   | 0.26%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31335PLX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23531 | PA      | $23607.06     | 0.01%             | 2024-03-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COOF 9845655001                                   | COOF 9845655001                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    596846 | PA      | $8050.91      | 0.00%             | 2037-11-15      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust              | Deephaven Residential Mortgage Trust 2020-2                                                    | CUSIP: 24380NAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $484910.25    | 0.12%             | 2065-05-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618A85F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1498335 | PA      | $1554824.21   | 0.39%             | 2052-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                               | CUSIP: 3133BF5J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99210 | PA      | $100575.36    | 0.03%             | 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        |    409779 | PA      | $284981.94    | 0.07%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211233 | PA      | $199216.82    | 0.05%             | 2033-03-01      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AQ4X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    695159 | PA      | $708997.70    | 0.18%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                           | BEV54SXU6 EATON VANCE                                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  20000000 | NC      | $1349709.40   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AE4A9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653449 | PA      | $672571.87    | 0.17%             | 2062-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOF 1472927002                                   | COOF 1472927002                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2043-01-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137H22P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1758559 | PA      | $1136223.16   | 0.29%             | 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        |  10000000 | OU      | $2069879.00   | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31402QZJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191160 | PA      | $186018.56    | 0.05%             | 2036-10-01      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FVUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3910863 | PA      | $481940.38    | 0.12%             | 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        |    699095 | PA      | $695597.69    | 0.18%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BMO Capital Markets Corp.                         | RRP FHLMC 30YR UMBS REPO                                                                       | CUSIP: 000000000<br>LEI: RUC0QBLBRPRCU4W1NE59 | Short            | RA               | CORP              | US        |  -3165304 | PA      | $-3165303.67  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618APGM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1891265 | PA      | $1937780.19   | 0.49%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 9672055010                                   | COOF 9672055010                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145369 | PA      | $1951.75      | 0.00%             | 2037-09-15      | Fixed         | 0.48%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                            | Cascade MH Asset Trust 2022-MH1                                                                | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    979458 | PA      | $877791.22    | 0.22%             | 2054-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AVMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1000000 | PA      | $1046637.45   | 0.27%             | 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        |   1398384 | PA      | $67481.70     | 0.02%             | 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        |    650326 | PA      | $633057.99    | 0.16%             | 2035-01-01      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FYLK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        67 | PA      | $43.05        | 0.00%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31374TZL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34478 | PA      | $34802.94     | 0.01%             | 2036-05-01      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                          | CUSIP: 31296QC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36022 | PA      | $37870.05     | 0.01%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AUDD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2136722 | PA      | $2187938.63   | 0.55%             | 2052-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                     | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1470000 | PA      | $1504111.28   | 0.38%             | 2053-03-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AP6P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    791038 | PA      | $829660.63    | 0.21%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | GNMA LOAN PARTICIPATION                                                                        | CUSIP: 000000000<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |  19841036 | PA      | $19872523.33  | 5.04%             | 2023-09-05      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| MUFG Securities EMEA PLC                          | RRP GNMA II REPO                                                                               | CUSIP: 000000000<br>LEI: U7M81AY481YLIOR75625 | Short            | RA               | CORP              | US        |  -2992915 | PA      | $-2992915.11  | -0.76%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3617FWVH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    423335 | PA      | $432291.30    | 0.11%             | 2062-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COOF 1475317002                                   | COOF 1475317002                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2769157 | PA      | $292684.36    | 0.07%             | 2042-12-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38383CB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18338777 | PA      | $144317.01    | 0.04%             | 2051-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| COOF 9266635001                                   | COOF 9266635001                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209027 | PA      | $1076.73      | 0.00%             | 2042-03-15      | Fixed         | 0.16%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                        | FHLMC-GNMA                                                                                     | CUSIP: 3133T42F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2437 | PA      | $2441.93      | 0.00%             | 2024-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AMAH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102706 | PA      | $108137.49    | 0.03%             | 2062-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                | CUSIP: 31371Y2S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120808 | PA      | $114868.68    | 0.03%             | 2033-12-01      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                             | CUSIP: 3618AECE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2067278.10   | 0.52%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                                      | CUSIP: 31346AJT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157967 | PA      | $156762.23    | 0.04%             | 2034-12-01      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                             | CUSIP: 3137FVYJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8826077 | PA      | $1080204.17   | 0.27%             | 2050-09-25      | 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        |  15000000 | OU      | $-60585.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NewRez Warehouse Securitization Trust             | NewRez Warehouse Securitization Trust 2021-1                                                   | CUSIP: 65246PAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400000 | PA      | $4269342.44   | 1.08%             | 2055-05-25      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| COOF 9412265007                                   | COOF 9412265007                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147430 | PA      | $760.59       | 0.00%             | 2042-05-15      | Fixed         | 0.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38381DRX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9186576 | PA      | $530056.28    | 0.13%             | 2063-04-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| COOF 9607195010                                   | COOF 9607195010                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    618239 | PA      | $21338.55     | 0.01%             | 2037-10-15      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                              | CUSIP: 3136BDYN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185733 | PA      | $111214.37    | 0.03%             | 2051-02-25      | Fixed         | 2.50%                 | 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        |  50000000 | OU      | $600800.00    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                       | CUSIP: 38382NTK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218361 | PA      | $152221.96    | 0.04%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COOF 9544415006                                   | COOF 9544415006                                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2042-07-15      | Fixed         | 2.86%                 | 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