# EDGAR Filing Document

**Accession Number:** 0001496998
**File Stem:** 0001145549-23-003432
**Filing Date:** 2023-1
**Character Count:** 301737
**Document Hash:** af1eefaf2970c51936380fa56cab4f04
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-003432.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001145549-23-003432

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 3

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMERICAN FUNDS MORTGAGE FUND
- **CENTRAL INDEX KEY:** 0001496998
- **IRS NUMBER:** 273101898
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22449
- **FILM NUMBER:** 23558133

**BUSINESS ADDRESS:**
- **STREET 1:** 6455 IRVINE CENTER DRIVE
- **CITY:** IRVINE
- **STATE:** CA
- **ZIP:** 92618
- **BUSINESS PHONE:** 213-486-9501

**MAIL ADDRESS:**
- **STREET 1:** 333 S HOPE ST - 55TH FLOOR (GYR)
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071

## Series and Classes Contracts Data

### AMERICAN FUNDS MORTGAGE FUND (Series ID: S000030190)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000092896 | Class A       | MFAAX           |
| C000092897 | Class 529-F-1 | CMFFX           |
| C000092898 | Class R-1     | RMAAX           |
| C000092899 | Class R-2     | RMABX           |
| C000092900 | Class R-3     | RMACX           |
| C000092901 | Class R-4     | RMAEX           |
| C000092902 | Class R-5     | RMAFX           |
| C000092903 | Class R-6     | RMAGX           |
| C000092905 | Class C       | MFACX           |
| C000092906 | Class F-1     | MFAEX           |
| C000092907 | Class F-2     | MFAFX           |
| C000092908 | Class 529-A   | CMFAX           |
| C000092910 | Class 529-C   | CMFCX           |
| C000092911 | Class 529-E   | CMFEX           |
| C000148445 | Class R-2E    | RMBEX           |
| C000164806 | Class R-5E    | RMAHX           |
| C000180009 | Class F-3     | AFFMX           |
| C000189492 | Class 529-T   | TMFMX           |
| C000189493 | Class T       | TFMFX           |
| C000224553 | Class 529-F-2 | FFMFX           |
| C000224554 | Class 529-F-3 | FMMFX           |

## Nport-Ex

![](img98f3ad871.jpg)

#### American Funds Mortgage Fund<sup>®</sup><br>
Investment portfolio

November 30, 2022

unaudited

---

| | | |
|:---|:---|:---|
| **Bonds, notes & other debt instruments 96.87%<br> Mortgage-backed obligations 80.94%<br> Federal agency mortgage-backed obligations 77.25%** | Principal amount<br> (000) | Value<br> (000) |
| Fannie Mae Pool #AY1948 3.50% 1/1/2030<sup>1</sup> | USD47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$47 |
| Fannie Mae Pool #AZ0554 3.50% 10/1/2030<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58 |
| Fannie Mae Pool #BJ4876 3.00% 2/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;398 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;376 |
| Fannie Mae Pool #BJ4856 3.00% 2/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;108 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;102 |
| Fannie Mae Pool #BM3919 3.00% 2/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 |
| Fannie Mae Pool #695412 5.00% 6/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| Fannie Mae Pool #CA2106 3.50% 7/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 |
| Fannie Mae Pool #MA1640 2.50% 9/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;802 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;739 |
| Fannie Mae Pool #AU7556 3.00% 9/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;324 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;291 |
| Fannie Mae Pool #BJ9000 3.50% 11/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;96 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;93 |
| Fannie Mae Pool #BO6247 2.50% 12/1/2034<sup>1</sup> | &nbsp;&nbsp;4967 | &nbsp;&nbsp;&nbsp;&nbsp;4624 |
| Fannie Mae Pool #AD3566 5.00% 10/1/2035<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37 |
| Fannie Mae Pool #AS7224 4.00% 5/1/2036<sup>1</sup> | &nbsp;&nbsp;1442 | &nbsp;&nbsp;&nbsp;&nbsp;1402 |
| Fannie Mae Pool #MA2630 4.00% 5/1/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;290 |
| Fannie Mae Pool #MA2717 4.00% 8/1/2036<sup>1</sup> | &nbsp;&nbsp;1441 | &nbsp;&nbsp;&nbsp;&nbsp;1401 |
| Fannie Mae Pool #MA2746 4.00% 9/1/2036<sup>1</sup> | &nbsp;&nbsp;2414 | &nbsp;&nbsp;&nbsp;&nbsp;2346 |
| Fannie Mae Pool #MA2787 4.00% 10/1/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;604 |
| Fannie Mae Pool #MA2819 4.00% 11/1/2036<sup>1</sup> | &nbsp;&nbsp;1284 | &nbsp;&nbsp;&nbsp;&nbsp;1248 |
| Fannie Mae Pool #MA3099 4.00% 8/1/2037<sup>1</sup> | &nbsp;&nbsp;1813 | &nbsp;&nbsp;&nbsp;&nbsp;1762 |
| Fannie Mae Pool #MA3186 4.00% 11/1/2037<sup>1</sup> | &nbsp;&nbsp;3713 | &nbsp;&nbsp;&nbsp;&nbsp;3608 |
| Fannie Mae Pool #931768 5.00% 8/1/2039<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 |
| Fannie Mae Pool #AC0794 5.00% 10/1/2039<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;121 |
| Fannie Mae Pool #AD1823 5.00% 2/1/2040<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;426 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;424 |
| Fannie Mae Pool #932606 5.00% 2/1/2040<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52 |
| Fannie Mae Pool #AE1248 5.00% 6/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;198 |
| Fannie Mae Pool #MA4387 2.00% 7/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;321 |
| Fannie Mae Pool #AJ1873 4.00% 10/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;201 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;196 |
| Fannie Mae Pool #AE1274 5.00% 10/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61 |
| Fannie Mae Pool #AE1277 5.00% 11/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;109 |
| Fannie Mae Pool #MA4501 2.00% 12/1/2041<sup>1</sup> | 34647 | &nbsp;&nbsp;29474 |
| Fannie Mae Pool #AE1283 5.00% 12/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57 |
| Fannie Mae Pool #MA4540 2.00% 2/1/2042<sup>1</sup> | 31742 | &nbsp;&nbsp;27002 |
| Fannie Mae Pool #AE1290 5.00% 2/1/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107 |
| Fannie Mae Pool #MA4570 2.00% 3/1/2042<sup>1</sup> | 10218 | &nbsp;&nbsp;&nbsp;&nbsp;8692 |
| Fannie Mae Pool #MA4586 2.00% 4/1/2042<sup>1</sup> | &nbsp;&nbsp;2776 | &nbsp;&nbsp;&nbsp;&nbsp;2362 |
| Fannie Mae Pool #AP7553 3.00% 9/1/2042<sup>1</sup> | &nbsp;&nbsp;4171 | &nbsp;&nbsp;&nbsp;&nbsp;3831 |
| Fannie Mae Pool #AR1512 3.50% 1/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140 |
| Fannie Mae Pool #AT0412 3.50% 3/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64 |
| Fannie Mae Pool #AT0300 3.50% 3/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35 |
| Fannie Mae Pool #AT7457 3.025% 4/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;165 |
| Fannie Mae Pool #AT3954 3.50% 4/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58 |
| Fannie Mae Pool #AT7470 2.275% 5/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;108 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92 |
| Fannie Mae Pool #AU0626 2.275% 6/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;142 |
| Fannie Mae Pool #AT5898 3.00% 6/1/2043<sup>1</sup> | &nbsp;&nbsp;6503 | &nbsp;&nbsp;&nbsp;&nbsp;5974 |
| Fannie Mae Pool #AL3829 3.50% 6/1/2043<sup>1</sup> | &nbsp;&nbsp;1312 | &nbsp;&nbsp;&nbsp;&nbsp;1242 |

---

American Funds Mortgage Fund — Page 1 of 14

------

unaudited

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Fannie Mae Pool #AT7161 3.50% 6/1/2043<sup>1</sup> | USD507 | &nbsp;&nbsp;&nbsp;&nbsp;$478 |
| Fannie Mae Pool #AU8120 2.275% 7/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62 |
| Fannie Mae Pool #AU8121 2.275% 8/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;78 |
| Fannie Mae Pool #MA1583 4.00% 9/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2315 | &nbsp;&nbsp;&nbsp;&nbsp;2236 |
| Fannie Mae Pool #AX8521 3.50% 12/1/2044<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97 |
| Fannie Mae Pool #AY1829 3.50% 12/1/2044<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56 |
| Fannie Mae Pool #BE5009 3.50% 1/1/2045<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;371 |
| Fannie Mae Pool #BE5017 3.50% 2/1/2045<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;670 |
| Fannie Mae Pool #FM9416 3.50% 7/1/2045<sup>1</sup> | &nbsp;&nbsp;91679 | &nbsp;&nbsp;85548 |
| Fannie Mae Pool #AS8310 3.00% 11/1/2046<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;847 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;766 |
| Fannie Mae Pool #BD2440 3.50% 1/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;367 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;343 |
| Fannie Mae Pool #BM1179 3.00% 4/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;996 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;900 |
| Fannie Mae Pool #MA3002 4.50% 4/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;683 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;657 |
| Fannie Mae Pool #BE8740 3.50% 5/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;645 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;603 |
| Fannie Mae Pool #BE8742 3.50% 5/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;96 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89 |
| Fannie Mae Pool #BH2846 3.50% 5/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41 |
| Fannie Mae Pool #BH2848 3.50% 5/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37 |
| Fannie Mae Pool #BH2847 3.50% 5/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 |
| Fannie Mae Pool #BH3122 4.00% 6/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 |
| Fannie Mae Pool #BH4101 3.50% 10/1/2047<sup>1</sup> | &nbsp;&nbsp;31188 | &nbsp;&nbsp;29167 |
| Fannie Mae Pool #BJ5015 4.00% 12/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1208 | &nbsp;&nbsp;&nbsp;&nbsp;1173 |
| Fannie Mae Pool #BM2006 4.00% 1/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 |
| Fannie Mae Pool #BJ4901 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;487 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;455 |
| Fannie Mae Pool #BK5232 4.00% 5/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;604 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;587 |
| Fannie Mae Pool #BK6840 4.00% 6/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;805 |
| Fannie Mae Pool #BK9743 4.00% 8/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;234 |
| Fannie Mae Pool #BK9761 4.50% 8/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;118 |
| Fannie Mae Pool #CA2850 4.00% 12/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1492 | &nbsp;&nbsp;&nbsp;&nbsp;1463 |
| Fannie Mae Pool #BF0320 5.50% 1/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2296 | &nbsp;&nbsp;&nbsp;&nbsp;2426 |
| Fannie Mae Pool #FM3280 3.50% 5/1/2049<sup>1</sup> | &nbsp;&nbsp;23997 | &nbsp;&nbsp;22406 |
| Fannie Mae Pool #FM1062 3.50% 6/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4963 | &nbsp;&nbsp;&nbsp;&nbsp;4638 |
| Fannie Mae Pool #BN6708 3.50% 6/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1366 | &nbsp;&nbsp;&nbsp;&nbsp;1271 |
| Fannie Mae Pool #BJ8411 3.50% 8/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1278 | &nbsp;&nbsp;&nbsp;&nbsp;1190 |
| Fannie Mae Pool #CA4151 3.50% 9/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6596 | &nbsp;&nbsp;&nbsp;&nbsp;6186 |
| Fannie Mae Pool #FM1443 3.50% 9/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3687 | &nbsp;&nbsp;&nbsp;&nbsp;3435 |
| Fannie Mae Pool #BO5176 3.00% 11/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4613 | &nbsp;&nbsp;&nbsp;&nbsp;4169 |
| Fannie Mae Pool #CA5338 3.00% 3/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2702 | &nbsp;&nbsp;&nbsp;&nbsp;2414 |
| Fannie Mae Pool #FM2664 3.50% 3/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;5427 | &nbsp;&nbsp;&nbsp;&nbsp;5028 |
| Fannie Mae Pool #CA5496 3.00% 4/1/2050<sup>1</sup> | &nbsp;&nbsp;34330 | &nbsp;&nbsp;31028 |
| Fannie Mae Pool #CA5536 3.00% 4/1/2050<sup>1</sup> | &nbsp;&nbsp;11323 | &nbsp;&nbsp;10187 |
| Fannie Mae Pool #CA5539 3.00% 4/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;7672 | &nbsp;&nbsp;&nbsp;&nbsp;6880 |
| Fannie Mae Pool #CA5540 3.00% 4/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;5398 | &nbsp;&nbsp;&nbsp;&nbsp;4840 |
| Fannie Mae Pool #CA5968 2.50% 6/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;7602 | &nbsp;&nbsp;&nbsp;&nbsp;6621 |
| Fannie Mae Pool #CA6593 2.50% 8/1/2050<sup>1</sup> | &nbsp;&nbsp;51321 | &nbsp;&nbsp;44647 |
| Fannie Mae Pool #BP6715 2.00% 9/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| Fannie Mae Pool #CA7257 2.50% 10/1/2050<sup>1</sup> | &nbsp;&nbsp;11484 | &nbsp;&nbsp;&nbsp;&nbsp;9985 |
| Fannie Mae Pool #BQ3005 2.50% 10/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;7649 | &nbsp;&nbsp;&nbsp;&nbsp;6585 |
| Fannie Mae Pool #MA4208 2.00% 12/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;860 |
| Fannie Mae Pool #CA8828 2.50% 2/1/2051<sup>1</sup> | &nbsp;&nbsp;32119 | &nbsp;&nbsp;27900 |
| Fannie Mae Pool #CA8955 2.50% 2/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6293 | &nbsp;&nbsp;&nbsp;&nbsp;5457 |
| Fannie Mae Pool #CB0290 2.00% 4/1/2051<sup>1</sup> | &nbsp;&nbsp;10234 | &nbsp;&nbsp;&nbsp;&nbsp;8475 |
| Fannie Mae Pool #MA4305 2.00% 4/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 |
| Fannie Mae Pool #CB0041 3.00% 4/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6189 | &nbsp;&nbsp;&nbsp;&nbsp;5557 |
| Fannie Mae Pool #BR1035 2.00% 5/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24 |

---

American Funds Mortgage Fund — Page 2 of 14

------

unaudited

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Fannie Mae Pool #CB0457 2.50% 5/1/2051<sup>1</sup> | USD5,519 | &nbsp;&nbsp;&nbsp;&nbsp;$4752 |
| Fannie Mae Pool #CB0392 2.50% 5/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 |
| Fannie Mae Pool #FM7687 3.00% 6/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;11835 | &nbsp;&nbsp;&nbsp;&nbsp;10595 |
| Fannie Mae Pool #FM7900 2.50% 7/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2429 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2106 |
| Fannie Mae Pool #CB1527 2.50% 9/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;41302 | &nbsp;&nbsp;&nbsp;&nbsp;35509 |
| Fannie Mae Pool #CB1624 2.50% 9/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42 |
| Fannie Mae Pool #BU2001 2.50% 10/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;13000 | &nbsp;&nbsp;&nbsp;&nbsp;11170 |
| Fannie Mae Pool #FS0965 2.00% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;229 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;190 |
| Fannie Mae Pool #FM9492 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;12692 | &nbsp;&nbsp;&nbsp;&nbsp;10983 |
| Fannie Mae Pool #FM9694 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5473 |
| Fannie Mae Pool #FM9764 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2577 |
| Fannie Mae Pool #BU3347 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;119 |
| Fannie Mae Pool #CB2286 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;69789 | &nbsp;&nbsp;&nbsp;&nbsp;60298 |
| Fannie Mae Pool #FS0433 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;37435 | &nbsp;&nbsp;&nbsp;&nbsp;32728 |
| Fannie Mae Pool #CB2371 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;10962 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9486 |
| Fannie Mae Pool #FM9804 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6747 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5846 |
| Fannie Mae Pool #FM9846 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2428 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2086 |
| Fannie Mae Pool #FM9819 3.00% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;81061 | &nbsp;&nbsp;&nbsp;&nbsp;72535 |
| Fannie Mae Pool #FM9976 3.00% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8358 |
| Fannie Mae Pool #CB2544 3.00% 1/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;18841 | &nbsp;&nbsp;&nbsp;&nbsp;16802 |
| Fannie Mae Pool #CB2765 2.00% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9318 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7758 |
| Fannie Mae Pool #FS0523 2.50% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;34762 | &nbsp;&nbsp;&nbsp;&nbsp;30037 |
| Fannie Mae Pool #FS1995 2.50% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2693 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2309 |
| Fannie Mae Pool #CB2867 2.50% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55 |
| Fannie Mae Pool #FS0647 3.00% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1674 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1507 |
| Fannie Mae Pool #BV6763 2.50% 3/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2748 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2359 |
| Fannie Mae Pool #BU8916 2.50% 4/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;14747 | &nbsp;&nbsp;&nbsp;&nbsp;12657 |
| Fannie Mae Pool #CB3665 2.50% 5/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3207 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2749 |
| Fannie Mae Pool #BV7787 2.50% 5/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2485 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2133 |
| Fannie Mae Pool #BV9700 2.50% 6/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4791 |
| Fannie Mae Pool #BV8959 2.50% 6/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1862 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1598 |
| Fannie Mae Pool #BU8730 2.50% 6/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;721 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;619 |
| Fannie Mae Pool #FS2239 2.50% 7/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;84992 | &nbsp;&nbsp;&nbsp;&nbsp;72864 |
| Fannie Mae Pool #MA4743 2.50% 8/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2804 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2404 |
| Fannie Mae Pool #BV8015 2.50% 8/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;815 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;700 |
| Fannie Mae Pool #MA4700 4.00% 8/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;183044 | &nbsp;&nbsp;171389 |
| Fannie Mae Pool #MA4768 2.50% 9/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;16741 | &nbsp;&nbsp;&nbsp;&nbsp;14353 |
| Fannie Mae Pool #BW1149 2.50% 9/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;887 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;760 |
| Fannie Mae Pool #BW7769 4.50% 9/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3729 |
| Fannie Mae Pool #BW7707 4.50% 9/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3076 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2998 |
| Fannie Mae Pool #BW9180 4.50% 9/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;631 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;615 |
| Fannie Mae Pool #BW8981 4.50% 10/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;16805 | &nbsp;&nbsp;&nbsp;&nbsp;16380 |
| Fannie Mae Pool #BX0512 4.50% 10/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3422 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3336 |
| Fannie Mae Pool #BW1309 2.50% 11/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1252 |
| Fannie Mae Pool #MA4803 3.50% 11/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3446 |
| Fannie Mae Pool #MA4804 4.00% 11/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;71949 | &nbsp;&nbsp;&nbsp;&nbsp;67368 |
| Fannie Mae Pool #AS0745 3.50% 8/1/2053<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;877 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;802 |
| Fannie Mae Pool #BF0379 3.50% 4/1/2059<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3686 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3412 |
| Fannie Mae Pool #BM6693 3.50% 8/1/2059<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;61985 | &nbsp;&nbsp;&nbsp;&nbsp;57394 |
| Fannie Mae Pool #BF0481 3.50% 6/1/2060<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2618 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2424 |
| Fannie Mae Pool #BF0480 3.50% 6/1/2060<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1677 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1553 |
| Fannie Mae Pool #BF0497 3.00% 7/1/2060<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1588 |
| Fannie Mae Pool #BF0585 4.50% 12/1/2061<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5007 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4941 |
| Freddie Mac Pool #ZS8675 2.50% 11/1/2032<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 |

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American Funds Mortgage Fund — Page 3 of 14

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Freddie Mac Pool #C91593 2.50% 12/1/2032<sup>1</sup> | &nbsp;&nbsp;USD32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$30 |
| Freddie Mac Pool #ZS8087 2.50% 4/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 |
| Freddie Mac Pool #C91720 2.50% 8/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53 |
| Freddie Mac Pool #ZS8710 3.00% 8/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| Freddie Mac Pool #SB8041 3.00% 4/1/2035<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| Freddie Mac Pool #K93558 4.00% 5/1/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;516 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;502 |
| Freddie Mac Pool #C91877 4.00% 5/1/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;346 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;337 |
| Freddie Mac Pool #C91899 4.00% 9/1/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;547 |
| Freddie Mac Pool #G03699 6.00% 1/1/2038<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57 |
| Freddie Mac Pool #QK1181 2.00% 11/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1819 |
| Freddie Mac Pool #Q05343 4.00% 11/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;266 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;261 |
| Freddie Mac Pool #RB5138 2.00% 12/1/2041<sup>1</sup> | &nbsp;&nbsp;29619 | &nbsp;&nbsp;&nbsp;&nbsp;25197 |
| Freddie Mac Pool #RB5145 2.00% 2/1/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;8935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7601 |
| Freddie Mac Pool #RB5148 2.00% 3/1/2042<sup>1</sup> | 152868 | &nbsp;&nbsp;130040 |
| Freddie Mac Pool #RB5153 2.00% 4/1/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2702 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2295 |
| Freddie Mac Pool #Q15874 4.00% 2/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 |
| Freddie Mac Pool #Q17696 3.50% 4/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;172 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;162 |
| Freddie Mac Pool #Q18236 3.50% 5/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;454 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;429 |
| Freddie Mac Pool #Q19133 3.50% 6/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;182 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;172 |
| Freddie Mac Pool #Q28558 3.50% 9/1/2044<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1601 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1508 |
| Freddie Mac Pool #760012 3.113% 4/1/2045<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;627 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;610 |
| Freddie Mac Pool #760013 3.208% 4/1/2045<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;350 |
| Freddie Mac Pool #760014 2.745% 8/1/2045<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2693 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2607 |
| Freddie Mac Pool #G60238 3.50% 10/1/2045<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;5168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4858 |
| Freddie Mac Pool #Q40896 4.50% 4/1/2046<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;523 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;520 |
| Freddie Mac Pool #G67700 3.50% 8/1/2046<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1799 |
| Freddie Mac Pool #T65389 3.50% 9/1/2046<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46 |
| Freddie Mac Pool #760015 2.557% 1/1/2047<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;973 |
| Freddie Mac Pool #Q45650 3.50% 1/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;7562 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7151 |
| Freddie Mac Pool #Q47615 3.50% 4/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;529 |
| Freddie Mac Pool #T65448 4.00% 9/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;787 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;735 |
| Freddie Mac Pool #Q51622 3.50% 10/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;684 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;640 |
| Freddie Mac Pool #Q52069 3.50% 11/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;876 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;820 |
| Freddie Mac Pool #Q54701 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;645 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;604 |
| Freddie Mac Pool #Q55056 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;595 |
| Freddie Mac Pool #Q54709 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;634 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;593 |
| Freddie Mac Pool #Q54700 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;427 |
| Freddie Mac Pool #Q54782 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;380 |
| Freddie Mac Pool #Q54781 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;190 |
| Freddie Mac Pool #Q54831 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;183 |
| Freddie Mac Pool #Q54699 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;118 |
| Freddie Mac Pool #Q54698 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;78 |
| Freddie Mac Pool #G67711 4.00% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;14528 | &nbsp;&nbsp;&nbsp;&nbsp;14126 |
| Freddie Mac Pool #Q55060 3.50% 4/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71 |
| Freddie Mac Pool #Q55469 5.00% 4/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;841 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;849 |
| Freddie Mac Pool #Q55971 4.00% 5/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;585 |
| Freddie Mac Pool #Q56175 4.00% 5/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;553 |
| Freddie Mac Pool #Q55970 4.00% 5/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;292 |
| Freddie Mac Pool #Q56590 3.50% 6/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;289 |
| Freddie Mac Pool #Q56591 3.50% 6/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;212 |
| Freddie Mac Pool #Q56589 3.50% 6/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;93 |
| Freddie Mac Pool #Q56599 4.00% 6/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;874 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;849 |
| Freddie Mac Pool #Q57242 4.50% 7/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;123 |
| Freddie Mac Pool #Q58411 4.50% 9/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1236 |

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American Funds Mortgage Fund — Page 4 of 14

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Freddie Mac Pool #Q58436 4.50% 9/1/2048<sup>1</sup> | USD652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$648 |
| Freddie Mac Pool #Q58378 4.50% 9/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;476 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;472 |
| Freddie Mac Pool #QA0284 3.50% 6/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2229 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2076 |
| Freddie Mac Pool #SD7503 3.50% 8/1/2049<sup>1</sup> | &nbsp;&nbsp;32033 | &nbsp;&nbsp;&nbsp;&nbsp;29909 |
| Freddie Mac Pool #RA1339 3.00% 9/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;8752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7848 |
| Freddie Mac Pool #QA2748 3.50% 9/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;582 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;543 |
| Freddie Mac Pool #RA1580 3.50% 10/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4614 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4329 |
| Freddie Mac Pool #RA1463 3.50% 10/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4220 |
| Freddie Mac Pool #QA4673 3.00% 11/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5707 |
| Freddie Mac Pool #SD0187 3.00% 1/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2958 |
| Freddie Mac Pool #RA1996 3.50% 1/1/2050<sup>1</sup> | &nbsp;&nbsp;12469 | &nbsp;&nbsp;&nbsp;&nbsp;11552 |
| Freddie Mac Pool #SD7512 3.00% 2/1/2050<sup>1</sup> | &nbsp;&nbsp;12942 | &nbsp;&nbsp;&nbsp;&nbsp;11655 |
| Freddie Mac Pool #RA2319 3.00% 3/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4312 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3853 |
| Freddie Mac Pool #RA2596 2.50% 5/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;924 |
| Freddie Mac Pool #SD8106 2.00% 11/1/2050<sup>1</sup> | &nbsp;&nbsp;55742 | &nbsp;&nbsp;&nbsp;&nbsp;46209 |
| Freddie Mac Pool #SD8128 2.00% 2/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140 |
| Freddie Mac Pool #SD8134 2.00% 3/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;233 |
| Freddie Mac Pool #RA5288 2.00% 5/1/2051<sup>1</sup> | &nbsp;&nbsp;29430 | &nbsp;&nbsp;&nbsp;&nbsp;24392 |
| Freddie Mac Pool #RA5259 2.50% 5/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;5408 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4656 |
| Freddie Mac Pool #QC4006 2.50% 6/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58 |
| Freddie Mac Pool #RA5759 2.50% 9/1/2051<sup>1</sup> | &nbsp;&nbsp;29000 | &nbsp;&nbsp;&nbsp;&nbsp;24867 |
| Freddie Mac Pool #SD7545 2.50% 9/1/2051<sup>1</sup> | &nbsp;&nbsp;14187 | &nbsp;&nbsp;&nbsp;&nbsp;12342 |
| Freddie Mac Pool #RA5971 3.00% 9/1/2051<sup>1</sup> | &nbsp;&nbsp;15040 | &nbsp;&nbsp;&nbsp;&nbsp;13458 |
| Freddie Mac Pool #RA6406 2.00% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;7099 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5893 |
| Freddie Mac Pool #SD7548 2.50% 11/1/2051<sup>1</sup> | 119042 | &nbsp;&nbsp;103569 |
| Freddie Mac Pool #QD0384 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;15000 | &nbsp;&nbsp;&nbsp;&nbsp;12904 |
| Freddie Mac Pool #SD1385 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5711 |
| Freddie Mac Pool #QD1523 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;866 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;744 |
| Freddie Mac Pool #QC9788 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92 |
| Freddie Mac Pool #QD3561 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;13421 | &nbsp;&nbsp;&nbsp;&nbsp;11529 |
| Freddie Mac Pool #QD2521 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2767 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2380 |
| Freddie Mac Pool #RA6495 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 |
| Freddie Mac Pool #SD7552 2.50% 1/1/2052<sup>1</sup> | &nbsp;&nbsp;36330 | &nbsp;&nbsp;&nbsp;&nbsp;31392 |
| Freddie Mac Pool #SD7550 3.00% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;37349 | &nbsp;&nbsp;&nbsp;&nbsp;33628 |
| Freddie Mac Pool #SD0873 3.50% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;36065 | &nbsp;&nbsp;&nbsp;&nbsp;33487 |
| Freddie Mac Pool #QD7089 3.50% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;676 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;620 |
| Freddie Mac Pool #SD1449 2.50% 3/1/2052<sup>1</sup> | &nbsp;&nbsp;36166 | &nbsp;&nbsp;&nbsp;&nbsp;31297 |
| Freddie Mac Pool #SD1450 2.50% 3/1/2052<sup>1</sup> | &nbsp;&nbsp;18093 | &nbsp;&nbsp;&nbsp;&nbsp;15669 |
| Freddie Mac Pool #QD9176 2.50% 3/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1975 |
| Freddie Mac Pool #QE1480 2.50% 3/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;861 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;741 |
| Freddie Mac Pool #QD8381 2.50% 3/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34 |
| Freddie Mac Pool #SD7553 3.00% 3/1/2052<sup>1</sup> | 242992 | &nbsp;&nbsp;217707 |
| Freddie Mac Pool #QD9911 2.50% 4/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2667 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2287 |
| Freddie Mac Pool #QE2352 2.50% 5/1/2052<sup>1</sup> | &nbsp;&nbsp;12029 | &nbsp;&nbsp;&nbsp;&nbsp;10312 |
| Freddie Mac Pool #8D0226 2.521% 5/1/2052<sup>1,2</sup> | &nbsp;&nbsp;15573 | &nbsp;&nbsp;&nbsp;&nbsp;14016 |
| Freddie Mac Pool #SD8219 2.50% 6/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1373 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1177 |
| Freddie Mac Pool #RA7556 4.50% 6/1/2052<sup>1</sup> | &nbsp;&nbsp;14753 | &nbsp;&nbsp;&nbsp;&nbsp;14398 |
| Freddie Mac Pool #QE6097 2.50% 7/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;867 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;744 |
| Freddie Mac Pool #QE5132 4.50% 7/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3543 |
| Freddie Mac Pool #QE6806 4.50% 7/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3426 |
| Freddie Mac Pool #RA7747 2.50% 8/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2233 |
| Freddie Mac Pool #SD8237 4.00% 8/1/2052<sup>1</sup> | 141635 | &nbsp;&nbsp;132706 |
| Freddie Mac Pool #SD8244 4.00% 9/1/2052<sup>1</sup> | &nbsp;&nbsp;94493 | &nbsp;&nbsp;&nbsp;&nbsp;88536 |
| Freddie Mac Pool #RA7938 5.00% 9/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;9270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9245 |

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American Funds Mortgage Fund — Page 5 of 14

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Freddie Mac Pool #SD8256 4.00% 10/1/2052<sup>1</sup> | USD68,597 | &nbsp;&nbsp;$64967 |
| Freddie Mac Pool #QF2182 4.50% 10/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3962 |
| Freddie Mac Pool #SD8283 2.50% 11/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3456 |
| Freddie Mac Pool #SD8291 2.50% 11/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2331 |
| Freddie Mac Pool #SD8273 3.50% 11/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11636 | &nbsp;&nbsp;&nbsp;&nbsp;10567 |
| Freddie Mac Pool #SD8287 4.50% 12/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;119925 | &nbsp;&nbsp;116889 |
| Freddie Mac, Series K032, Class A2, Multi Family, 3.31% 5/25/2023<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2378 |
| Freddie Mac, Series K052, Class A2, Multi Family, 3.151% 11/25/2025<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2404 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Class HA, 3.00% 1/25/2056<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5813 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5473 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class MT, 3.00% 7/25/2056<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11470 | &nbsp;&nbsp;&nbsp;&nbsp;10034 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class HA, 3.25% 7/25/2056<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10516 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9964 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class HT, 3.25% 7/25/2056<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1866 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class MA, 3.00% 8/25/2056<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4952 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4633 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HA, 3.00% 8/25/2056<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4906 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4615 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-1, Class HT, 3.00% 5/25/2057<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12200 | &nbsp;&nbsp;&nbsp;&nbsp;10855 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50% 8/25/2057<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3647 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MT, 3.50% 11/25/2057<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1583 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1430 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT, 3.50% 7/25/2058<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1306 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MA, 3.50% 7/25/2058<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;648 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;617 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA, 3.50% 8/25/2058<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2349 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2232 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MT, 3.50% 8/26/2058<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1218 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1100 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MT, 3.50% 10/25/2058<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;754 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;681 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2018-1, Class A1, 3.50% 6/25/2028<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8830 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2022-1, Class A1, 3.50% 5/25/2032<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42957 | &nbsp;&nbsp;&nbsp;&nbsp;41710 |
| Government National Mortgage Assn. 4.00% 12/1/2052<sup>1,3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57092 | &nbsp;&nbsp;&nbsp;&nbsp;54512 |
| Government National Mortgage Assn. 4.50% 12/1/2052<sup>1,3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;195389 | &nbsp;&nbsp;191428 |
| Government National Mortgage Assn. 5.00% 12/1/2052<sup>1,3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;690890 | &nbsp;&nbsp;690458 |
| Government National Mortgage Assn. 2.00% 1/1/2053<sup>1,3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19350 | &nbsp;&nbsp;&nbsp;&nbsp;16490 |
| Government National Mortgage Assn. 2.50% 1/1/2053<sup>1,3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6548 |
| Government National Mortgage Assn. 3.00% 1/1/2053<sup>1,3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29808 | &nbsp;&nbsp;&nbsp;&nbsp;26956 |
| Government National Mortgage Assn. 3.50% 1/1/2053<sup>1,3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40007 | &nbsp;&nbsp;&nbsp;&nbsp;37176 |
| Government National Mortgage Assn. 5.50% 1/1/2053<sup>1,3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;104417 | &nbsp;&nbsp;105623 |
| Government National Mortgage Assn. Pool #778205 4.00% 3/20/2032<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;329 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;329 |
| Government National Mortgage Assn. Pool #778208 4.00% 5/20/2032<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;464 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;465 |
| Government National Mortgage Assn. Pool #796771 6.50% 10/20/2032<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;378 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;389 |
| Government National Mortgage Assn. Pool #AD0867 4.25% 4/20/2034<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;633 |
| Government National Mortgage Assn. Pool #AH5896 3.75% 7/20/2034<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;692 |
| Government National Mortgage Assn. Pool #AH5904 3.25% 2/20/2035<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;983 |
| Government National Mortgage Assn. Pool #AH5907 3.25% 4/20/2035<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;862 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;810 |
| Government National Mortgage Assn. Pool #AH5908 3.25% 5/20/2035<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1231 |
| Government National Mortgage Assn. Pool #AC2887 5.00% 7/20/2035<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;176 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;176 |
| Government National Mortgage Assn. Pool #417292 3.25% 8/20/2035<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1974 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1855 |
| Government National Mortgage Assn. Pool #AA7288 3.75% 6/20/2037<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300 |
| Government National Mortgage Assn. Pool #AA4803 6.50% 10/20/2038<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52 |
| Government National Mortgage Assn. Pool #773549 6.50% 12/20/2038<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134 |
| Government National Mortgage Assn. Pool #783690 6.00% 9/20/2039<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1107 |
| Government National Mortgage Assn. Pool #AH5905 3.25% 1/20/2040<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;802 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;744 |
| Government National Mortgage Assn. Pool #783689 5.50% 2/20/2040<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1239 |
| Government National Mortgage Assn. Pool #AH5909 3.25% 5/20/2040<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;429 |
| Government National Mortgage Assn. Pool #AH5912 3.25% 8/20/2040<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;519 |
| Government National Mortgage Assn. Pool #AC2904 4.50% 5/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;377 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;372 |
| Government National Mortgage Assn. Pool #783688 5.00% 6/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;855 |
| Government National Mortgage Assn. Pool #MA0274 4.50% 7/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;204 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;201 |
| Government National Mortgage Assn. Pool #005158 5.00% 8/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;528 |

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American Funds Mortgage Fund — Page 6 of 14

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Government National Mortgage Assn. Pool #005165 6.50% 8/20/2041<sup>1</sup> | &nbsp;&nbsp;USD44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$45 |
| Government National Mortgage Assn. Pool #MA0273 4.00% 9/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;566 |
| Government National Mortgage Assn. Pool #AB3621 4.50% 9/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200 |
| Government National Mortgage Assn. Pool #AE5743 5.00% 9/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1357 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1364 |
| Government National Mortgage Assn. Pool #MA0310 4.50% 10/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;442 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;437 |
| Government National Mortgage Assn. Pool #783687 4.50% 12/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;606 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;604 |
| Government National Mortgage Assn. Pool #793043 2.75% 1/15/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;273 |
| Government National Mortgage Assn. Pool #799829 2.75% 2/15/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;176 |
| Government National Mortgage Assn. Pool #AB2159 4.50% 3/20/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;534 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;532 |
| Government National Mortgage Assn. Pool #770241 4.00% 5/20/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;298 |
| Government National Mortgage Assn. Pool #AA0526 2.75% 6/15/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85 |
| Government National Mortgage Assn. Pool #792276 3.50% 6/15/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;256 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;244 |
| Government National Mortgage Assn. Pool #770242 4.00% 6/20/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;462 |
| Government National Mortgage Assn. Pool #AC2872 4.00% 6/20/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;191 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;185 |
| Government National Mortgage Assn. Pool #799343 3.50% 7/15/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;348 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;331 |
| Government National Mortgage Assn. Pool #AB1330 2.75% 8/15/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;210 |
| Government National Mortgage Assn. Pool #AB1591 2.75% 9/15/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;189 |
| Government National Mortgage Assn. Pool #AG5105 3.50% 9/20/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;457 |
| Government National Mortgage Assn. Pool #AG5106 4.00% 9/20/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;381 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;370 |
| Government National Mortgage Assn. Pool #AA7306 3.50% 11/20/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;688 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;649 |
| Government National Mortgage Assn. Pool #AH5880 3.75% 5/20/2044<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1083 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1037 |
| Government National Mortgage Assn. Pool #AH5881 4.25% 5/20/2044<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;448 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;437 |
| Government National Mortgage Assn. Pool #MA3727 4.00% 6/20/2046<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;987 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;934 |
| Government National Mortgage Assn. Pool #MA4511 4.00% 6/20/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3675 |
| Government National Mortgage Assn. Pool #MA6041 4.50% 7/20/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;312 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;309 |
| Government National Mortgage Assn. Pool #MA6042 5.00% 7/20/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 |
| Government National Mortgage Assn. Pool #773441 5.20% 4/20/2062<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| Government National Mortgage Assn. Pool #AG8235 5.20% 12/20/2064<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>4</sup> |
| Government National Mortgage Assn. Pool #AI2366 4.469% 3/20/2065<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 |
| Government National Mortgage Assn. Pool #AQ8290 4.881% 2/20/2066<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 |
| Government National Mortgage Assn. Pool #AQ8292 5.137% 2/20/2066<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| Government National Mortgage Assn., Series 2016-H13, Class IO, interest only, 0.505% 5/20/2066<sup>1,2</sup> | &nbsp;&nbsp;33561 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;297 |
| Uniform Mortgage-Backed Security 2.50% 12/1/2037<sup>1,3</sup> | &nbsp;&nbsp;35486 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32797 |
| Uniform Mortgage-Backed Security 4.00% 12/1/2037<sup>1,3</sup> | &nbsp;&nbsp;11000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10756 |
| Uniform Mortgage-Backed Security 2.00% 12/1/2052<sup>1,3</sup> | 187476 | &nbsp;&nbsp;&nbsp;&nbsp;154499 |
| Uniform Mortgage-Backed Security 2.50% 12/1/2052<sup>1,3</sup> | 202700 | &nbsp;&nbsp;&nbsp;&nbsp;173483 |
| Uniform Mortgage-Backed Security 3.00% 12/1/2052<sup>1,3</sup> | &nbsp;&nbsp;52672 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46637 |
| Uniform Mortgage-Backed Security 3.50% 12/1/2052<sup>1,3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4132 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3784 |
| Uniform Mortgage-Backed Security 4.00% 12/1/2052<sup>1,3</sup> | 139502 | &nbsp;&nbsp;&nbsp;&nbsp;131955 |
| Uniform Mortgage-Backed Security 4.50% 12/1/2052<sup>1,3</sup> | 282050 | &nbsp;&nbsp;&nbsp;&nbsp;274603 |
| Uniform Mortgage-Backed Security 5.00% 12/1/2052<sup>1,3</sup> | 258739 | &nbsp;&nbsp;&nbsp;&nbsp;257526 |
| Uniform Mortgage-Backed Security 5.50% 12/1/2052<sup>1,3</sup> | 128467 | &nbsp;&nbsp;&nbsp;&nbsp;129966 |
| Uniform Mortgage-Backed Security 4.50% 1/1/2053<sup>1,3</sup> | &nbsp;&nbsp;53666 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52253 |
| Uniform Mortgage-Backed Security 5.00% 1/1/2053<sup>1,3</sup> | &nbsp;&nbsp;97200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;96729 |
| Uniform Mortgage-Backed Security 5.50% 1/1/2053<sup>1,3</sup> | 362100 | &nbsp;&nbsp;&nbsp;&nbsp;366126 |
| Uniform Mortgage-Backed Security 6.00% 1/1/2053<sup>1,3</sup> | 269513 | &nbsp;&nbsp;&nbsp;&nbsp;275386 |
| Uniform Mortgage-Backed Security 6.50% 1/1/2053<sup>1,3</sup> | 445525 | &nbsp;&nbsp;&nbsp;&nbsp;457983 |
|  |  | &nbsp;&nbsp;6401623 |
| **Collateralized mortgage-backed obligations (privately originated) 2.07%** |  |  |
| Arroyo Mortgage Trust, Series 2021-1R, Class A1, 1.175% 10/25/2048<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3544 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2815 |
| Arroyo Mortgage Trust, Series 2019-1, Class A1, 3.805% 1/25/2049<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65 |
| BRAVO Residential Funding Trust, Series 2022-RPL1, Class A1, 2.75% 9/25/2061<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3061 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2738 |
| Cascade Funding Mortgage Trust, Series 2020-HB4, Class A, 0.946% 12/26/2030<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;7066 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6848 |

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Collateralized mortgage-backed obligations (privately originated) (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Cascade Funding Mortgage Trust, Series 2021-HB7, Class A, 1.151% 10/27/2031<sup>1,2,5</sup> | USD9,079 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$8526 |
| Cascade Funding Mortgage Trust, Series 2021-HB6, Class A, 0.898% 6/25/2036<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;29156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27595 |
| CIM Trust, Series 2022-R2, Class A1, 3.75% 12/25/2061<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;18233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17173 |
| COLT Mortgage Loan Trust, Series 2021-5, Class A1, 1.726% 11/26/2066<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1248 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1025 |
| Credit Suisse Mortgage Trust, Series 2019-RPL1, Class A1A, 3.65% 7/25/2058<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1640 |
| Credit Suisse Mortgage Trust, Series 2017-RPL3, Class A1, 2.00% 1/25/2060<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;12325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10564 |
| Flagstar Mortgage Trust, Series 2021-10INV, Class A3, 2.50% 10/25/2051<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1378 |
| GCAT Trust, Series 2021-NQM6, Class A1, 1.855% 8/25/2066<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5961 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5037 |
| GS Mortgage-Backed Securities Trust, Series 2022-PJ5, Class A4, 2.50% 10/25/2052<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;19389 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15631 |
| Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1, 1.75% 4/25/2061<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3910 |
| Mello Warehouse Securitization Trust, Series 2021-3, Class A,<br> (1-month USD-LIBOR + 0.85%) 4.894% 11/25/2055<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;16000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15464 |
| Mill City Mortgage Trust, Series 15-1, Class M2, 3.662% 6/25/2056<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3546 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3507 |
| Mill City Mortgage Trust, Series 2018-1, Class A1, 3.25% 5/25/2062<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;279 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;268 |
| NewRez Warehouse Securitization Trust, Series 2021-1, Class A,<br> (1-month USD-LIBOR + 0.75%) 4.794% 5/25/2055<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4676 |
| Onslow Bay Financial Mortgage Loan Trust, Series 2022-J1, Class A2, 2.50% 2/25/2052<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;12560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10219 |
| Reverse Mortgage Investment Trust, Series 2021-HB1, Class A, 1.259% 11/25/2031<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8749 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8324 |
| Towd Point Mortgage Trust, Series 2015-3, Class M2, 4.00% 3/25/2054<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6841 |
| Towd Point Mortgage Trust, Series 2015-4, Class M2, 3.75% 4/25/2055<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6680 |
| Towd Point Mortgage Trust, Series 2015-4, Class M1, 3.75% 4/25/2055<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1038 |
| Towd Point Mortgage Trust, Series 2016-2, Class M1, 3.00% 8/25/2055<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5493 |
| Towd Point Mortgage Trust, Series 2016-5, Class A1, 2.50% 10/25/2056<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;363 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;357 |
| Towd Point Mortgage Trust, Series 2017-5, Class A1, 4.616% 2/25/2057<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;369 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;363 |
| Towd Point Mortgage Trust, Series 2017-3, Class A1, 2.75% 7/25/2057<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1086 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1058 |
| Towd Point Mortgage Trust, Series 2017-6, Class A1, 2.75% 10/25/2057<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1693 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1617 |
| Towd Point Mortgage Trust, Series 2018-5, Class A1A, 3.25% 7/25/2058<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;604 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;578 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;171428 |
| **Commercial mortgage-backed securities 1.62%** |  |  |
| BOCA Commercial Mortgage Trust, Series 2022-BOCA, Class A,<br> (1-month USD CME Term SOFR + 1.77%) 5.564% 5/15/2039<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6857 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6654 |
| BPR Trust, Series 2022-OANA, Class A, (1-month USD CME Term SOFR + 1.898%) 5.692% 4/15/2037<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7487 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7303 |
| BX Trust, Series 2022-CSMO, Class A, (1-month USD CME Term SOFR + 2.115%) 5.909% 6/15/2027<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7809 |
| BX Trust, Series 2021-VOLT, Class A, (1-month USD-LIBOR + 0.70%) 4.575% 9/15/2036<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;26900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25788 |
| BX Trust, Series 2021-ARIA, Class A, (1-month USD-LIBOR + 0.899%) 4.774% 10/15/2036<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;19921 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18740 |
| BX Trust, Series 2021-RISE, Class A, (1-month USD-LIBOR + 0.74%) 4.623% 11/15/2036<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6673 |
| BX Trust, Series 2021-SOAR, Class A, (1-month USD-LIBOR + 0.67%) 4.545% 6/15/2038<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;17263 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16554 |
| Extended Stay America Trust, Series 2021-ESH, Class A, (1-month USD-LIBOR + 1.08%) 4.955% 7/15/2038<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9254 |
| LUXE Commercial Mortgage Trust, Series 2021-TRIP, Class A,<br> (1-month USD-LIBOR + 1.05%) 4.925% 10/15/2038<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7483 |
| MHC Commercial Mortgage Trust, CMO, Series 2021-MHC, Class A,<br> (1-month USD-LIBOR + 0.801%) 4.676% 4/15/2026<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6394 |
| SREIT Trust, Series 2021-MFP, Class A, (1-month USD-LIBOR + 0.731%) 4.606% 11/15/2038<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;23078 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22090 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;134742 |
| **Total mortgage-backed obligations** |  | &nbsp;&nbsp;6707793 |
| **U.S. Treasury bonds & notes 13.13%<br> U.S. Treasury inflation-protected securities 10.82%** |  |  |
| U.S. Treasury Inflation-Protected Security 0.125% 1/15/2023<sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;60883 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60812 |
| U.S. Treasury Inflation-Protected Security 0.625% 4/15/2023<sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;32878 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32623 |
| U.S. Treasury Inflation-Protected Security 0.375% 7/15/2023<sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;51012 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50472 |
| U.S. Treasury Inflation-Protected Security 0.625% 1/15/2024<sup>6</sup> | &nbsp;&nbsp;&nbsp;324817 | &nbsp;&nbsp;&nbsp;&nbsp;318851 |

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **U.S. Treasury bonds & notes (continued)<br> U.S. Treasury inflation-protected securities (continued)** | Principal amount<br> (000) | Value<br> (000) |
| U.S. Treasury Inflation-Protected Security 0.50% 4/15/2024<sup>6</sup> | USD153,772 | &nbsp;&nbsp;&nbsp;$150107 |
| U.S. Treasury Inflation-Protected Security 0.125% 7/15/2024<sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107851 | &nbsp;&nbsp;&nbsp;&nbsp;104808 |
| U.S. Treasury Inflation-Protected Security 0.125% 10/15/2024<sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8873 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8594 |
| U.S. Treasury Inflation-Protected Security 0.125% 1/15/2031<sup>6,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;114010 | &nbsp;&nbsp;&nbsp;&nbsp;103471 |
| U.S. Treasury Inflation-Protected Security 2.125% 2/15/2041<sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;651 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;707 |
| U.S. Treasury Inflation-Protected Security 0.75% 2/15/2042<sup>6,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39817 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34321 |
| U.S. Treasury Inflation-Protected Security 1.00% 2/15/2049<sup>6,7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35855 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31480 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;896246 |
| **U.S. Treasury 2.31%** |  |  |
| U.S. Treasury 3.00% 7/31/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43947 |
| U.S. Treasury 0.875% 9/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8024 |
| U.S. Treasury 1.50% 1/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27249 |
| U.S. Treasury 1.25% 5/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3324 |
| U.S. Treasury 1.25% 6/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16585 |
| U.S. Treasury 1.50% 11/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3513 |
| U.S. Treasury 1.375% 12/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2617 |
| U.S. Treasury 1.75% 1/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19566 |
| U.S. Treasury 1.625% 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5139 |
| U.S. Treasury 1.25% 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4950 |
| U.S. Treasury 1.875% 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8628 |
| U.S. Treasury 2.875% 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5822 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5465 |
| U.S. Treasury 1.375% 11/15/2040<sup>7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2107 |
| U.S. Treasury 1.875% 2/15/2041<sup>7</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25446 |
| U.S. Treasury 1.875% 2/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7666 |
| U.S. Treasury 2.00% 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7492 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;191718 |
| **Total U.S. Treasury bonds & notes** |  | &nbsp;&nbsp;1087964 |
| **Asset-backed obligations 2.80%** |  |  |
| AGL CLO, Ltd., Series 2022-18A, Class A1, (3-month USD CME Term SOFR + 1.32%) 5.308% 4/21/2031<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10625 |
| Allegro CLO, Ltd., Series 2017-1A, Class AR, (3-month USD-LIBOR + 0.95%) 5.029% 10/16/2030<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1523 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1496 |
| Ballyrock CLO, Ltd., Series 2019-2A, Class A1AR, (3-month USD-LIBOR + 1.00%) 5.675% 11/20/2030<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3689 |
| Bankers Healthcare Group Securitization Trust, Series 2021-A, Class A, 1.42% 11/17/2033<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1069 |
| Bankers Healthcare Group Securitization Trust, Series 2021-B, Class A, 0.90% 10/17/2034<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;921 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;865 |
| Capital One Multi-Asset Execution Trust, Series 2022-A3, Class A, 4.95% 10/15/2027<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50262 |
| Carvana Auto Receivables Trust, Series 2021-P1, Class A3, 0.54% 12/10/2025<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3927 |
| Cent CLO, Ltd., Series 2014-21A, Class AR,<br> (3-month USD-LIBOR + 0.97%) 5.328% 7/27/2030<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4641 |
| CF Hippolyta, LLC, Series 2020-1, Class A1, 1.69% 7/15/2060<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14255 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12636 |
| CF Hippolyta, LLC, Series 2020-1, Class A2, 1.99% 7/15/2060<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1906 |
| CF Hippolyta, LLC, Series 2021-1, Class A1, 1.53% 3/15/2061<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16625 |
| Cloud Pass-Through Trust, Series 2019-1A, Class CLOU, 3.554% 12/5/2022<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>4</sup> |
| CPS Auto Receivables Trust, Series 2022-B, Class A, 2.88% 6/15/2026<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3938 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3856 |
| CPS Auto Receivables Trust, Series 2022-C, Class A, 4.18% 4/15/2030<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4016 |
| Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.00% 5/15/2030<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6440 |
| Marathon CLO, Ltd., Series 2017-9A, Class A1AR, (3-month USD-LIBOR + 1.15%) 5.229% 4/15/2029<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2515 |
| Navient Student Loan Trust, Series 2021-A, Class A, 0.84% 5/15/2069<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2953 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2524 |
| Navient Student Loan Trust, Series 2021-C, Class A, 1.06% 10/15/2069<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4997 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4321 |
| Nelnet Student Loan Trust, Series 2021-C, Class AFX, 1.32% 4/20/2062<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7798 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6871 |
| Nelnet Student Loan Trust, Series 2021-A, Class APT1, 1.36% 4/20/2062<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9873 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8706 |
| Nelnet Student Loan Trust, Series 2021-B, Class AFX, 1.42% 4/20/2062<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24059 |
| Nelnet Student Loan Trust, Series 2021-C, Class AFL, (1-month USD-LIBOR + 0.74%) 4.679% 4/20/2062<sup>1,2,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14179 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13639 |

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| | | | |
|:---|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Asset-backed obligations (continued)** |  | Principal amount<br> (000) | Value<br> (000) |
| New Economy Assets Phase 1 Issuer, LLC, Series 2021-1, Class A1, 1.91% 10/20/2061<sup>1,5</sup> | New Economy Assets Phase 1 Issuer, LLC, Series 2021-1, Class A1, 1.91% 10/20/2061<sup>1,5</sup> | &nbsp;&nbsp;USD30,250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$25634 |
| PFS Financing Corp., Series 2022-D, Class A, 4.27% 8/16/2027<sup>1,5</sup> | PFS Financing Corp., Series 2022-D, Class A, 4.27% 8/16/2027<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3068 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2968 |
| Santander Drive Auto Receivables Trust, Series 2022-5, Class A2, 3.98% 1/15/2025<sup>1</sup> | Santander Drive Auto Receivables Trust, Series 2022-5, Class A2, 3.98% 1/15/2025<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7006 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6955 |
| Santander Drive Auto Receivables Trust, Series 2022-6, Class A2, 4.37% 5/15/2025<sup>1</sup> | Santander Drive Auto Receivables Trust, Series 2022-6, Class A2, 4.37% 5/15/2025<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3174 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3155 |
| Santander Drive Auto Receivables Trust, Series 2022-6, Class A3, 4.49% 11/16/2026<sup>1</sup> | Santander Drive Auto Receivables Trust, Series 2022-6, Class A3, 4.49% 11/16/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6916 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6812 |
| SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.07% 1/15/2053<sup>1,5</sup> | SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.07% 1/15/2053<sup>1,5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1639 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;231851 |
| **Total bonds, notes & other debt instruments (cost: $8,161,418,000)** |  |  | &nbsp;&nbsp;&nbsp;&nbsp;8027608 |
| Short-term securities 52.60%<br> **Money market investments 28.60%** |  | Shares |  |
| Capital Group Central Cash Fund 3.94%<sup>8,9</sup> | Capital Group Central Cash Fund 3.94%<sup>8,9</sup> | &nbsp;&nbsp;23703684 | &nbsp;&nbsp;&nbsp;&nbsp;2370131 |
| **Federal agency bills & notes 21.66%** | Weighted<br> average yield<br> at acquisition | Principal amount<br> (000) |  |
| Federal Home Loan Bank 12/2/2022 | 2.993% | USD200,000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;199979 |
| Federal Home Loan Bank 12/6/2022 | 1.528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49973 |
| Federal Home Loan Bank 12/9/2022 | 3.053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99914 |
| Federal Home Loan Bank 12/23/2022 | 3.492 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;249402 |
| Federal Home Loan Bank 12/28/2022 | 3.864 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99706 |
| Federal Home Loan Bank 12/30/2022 | 3.883 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79747 |
| Federal Home Loan Bank 1/4/2023 | 3.557 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49815 |
| Federal Home Loan Bank 1/12/2023 | 3.608 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;199068 |
| Federal Home Loan Bank 1/17/2023 | 3.644 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49737 |
| Federal Home Loan Bank 1/27/2023 | 4.024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;198697 |
| Federal Home Loan Bank 2/3/2023 | 4.060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23825 |
| Federal Home Loan Bank 2/7/2023 | 4.095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;148826 |
| Federal Home Loan Bank 2/15/2023 | 4.164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99107 |
| Federal Home Loan Bank 2/24/2023 | 4.042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;197963 |
| Federal Home Loan Bank 2/28/2023 | 4.203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49467 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;1795226 |
| **U.S. Treasury bills 2.34%** |  |  |  |
| U.S. Treasury 12/1/2022 | 1.573 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49996 |
| U.S. Treasury 12/15/2022 | 2.196 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;144200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;144025 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;194021 |
| **Total short-term securities (cost: $4,359,439,000)** |  |  | &nbsp;&nbsp;&nbsp;&nbsp;4359378 |
| **Total investment securities 149.47% (cost: $12,520,857,000)** |  |  | &nbsp;&nbsp;12386986 |
| **Other assets less liabilities (49.47)%** |  |  | &nbsp;&nbsp;&nbsp;(4099855) |
| **Net assets 100.00%** |  |  | &nbsp;&nbsp;$8287131 |

---

American Funds Mortgage Fund — Page 10 of 14

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Futures contracts

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Contracts | Type | Number of<br> contracts | Expiration | Notional<br> amount<br> (000) | Value and<br> unrealized<br> appreciation<br> (depreciation)<br> at 11/30/2022<br> (000) |
| 3 Month SOFR Futures | Short | 1244 | June 2023 | USD(295714) | &nbsp;&nbsp;$5102 |
| 2 Year U.S. Treasury Note Futures | Short | 1424 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(292432) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(765) |
| 5 Year U.S. Treasury Note Futures | Long | 13086 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;1420751 | &nbsp;&nbsp;&nbsp;&nbsp;6852 |
| 10 Year Ultra U.S. Treasury Note Futures | Long | 3635 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;434951 | &nbsp;&nbsp;&nbsp;&nbsp;1379 |
| 10 Year U.S. Treasury Note Futures | Long | 452 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;262 |
| 20 Year U.S. Treasury Bond Futures | Long | 1638 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;208026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;98 |
| 30 Year Ultra U.S. Treasury Bond Futures | Long | 876 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;119382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;938 |
|  |  |  |  |  | $13866 |

---

Swap contracts

------

#### Interest rate swaps

#### Centrally cleared interest rate swaps

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Receive | Receive | Pay | Pay | Expiration<br> date | Notional<br> amount<br> (000) | Value at<br> 11/30/2022<br> (000) | Upfront<br> premium<br> received<br> (000) | Unrealized<br> (depreciation)<br> appreciation<br> at 11/30/2022<br> (000) |
| Rate | &nbsp;&nbsp;&nbsp;&nbsp;Payment<br> frequency | Rate | Payment<br> frequency | Expiration<br> date | Notional<br> amount<br> (000) | Value at<br> 11/30/2022<br> (000) | Upfront<br> premium<br> received<br> (000) | Unrealized<br> (depreciation)<br> appreciation<br> at 11/30/2022<br> (000) |
| 3.52647% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | 6/16/2024 | USD153,802 | $(2606) | &nbsp;&nbsp;&nbsp;$— | $(2606) |
| 3.5291% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | 6/16/2024 | 166198 | &nbsp;&nbsp;&nbsp;(2810) | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(2810) |
| 3-month USD-LIBOR | &nbsp;&nbsp;&nbsp;Quarterly | 0.81% | Semi-annual | 7/28/2045 | 161600 | &nbsp;&nbsp;69298 | &nbsp;&nbsp;(96) | &nbsp;&nbsp;69394 |
|  |  |  |  |  |  | $63882 | $(96) | $63978 |

---

Investments in affiliates<sup>9</sup>

------

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Value of<br> affiliate at<br> 9/1/2022<br> (000) | &nbsp;&nbsp;Additions<br> (000) | &nbsp;&nbsp;Reductions<br> (000) | &nbsp;&nbsp;Net<br> realized<br> gain<br> (000) | &nbsp;&nbsp;Net<br> unrealized<br> appreciation<br> (000) | &nbsp;&nbsp;Value of<br> affiliate at<br> 11/30/2022<br> (000) | &nbsp;&nbsp;Dividend<br> income<br> (000) |
| **Short-term securities 28.60%** | **Short-term securities 28.60%** | **Short-term securities 28.60%** | **Short-term securities 28.60%** | **Short-term securities 28.60%** | **Short-term securities 28.60%** | **Short-term securities 28.60%** | **Short-term securities 28.60%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Money market investments 28.60%** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital Group Central Cash Fund 3.94%<sup>8</sup> | $1416134 | &nbsp;&nbsp;$2902736 | &nbsp;&nbsp;$1949002 | &nbsp;&nbsp;$105 | &nbsp;&nbsp;$158 | &nbsp;&nbsp;$2370131 | &nbsp;&nbsp;$18625 |

---

<sup>1</sup> Principal payments may be made periodically. Therefore, the effective maturity date may be earlier than the stated maturity date.

<sup>2</sup> Coupon rate may change periodically. Reference rate and spread are as of the most recent information available. Some coupon rates are determined by the issuer or agent based on current market conditions; therefore, the reference rate and spread are not available.

<sup>3</sup> Purchased on a TBA basis.

<sup>4</sup> Amount less than one thousand.

<sup>5</sup> Acquired in a transaction exempt from registration under Rule 144A or, for commercial paper, Section 4(a)(2) of the Securities Act of 1933. May be resold in the U.S. in transactions exempt from registration, normally to qualified institutional buyers. The total value of all such securities was $466,910,000, which represented 5.63% of the net assets of the fund.

<sup>6</sup> Index-linked bond whose principal amount moves with a government price index.

<sup>7</sup> All or a portion of this security was pledged as collateral. The total value of pledged collateral was $53,176,000, which represented .64% of the net assets of the fund.

<sup>8</sup> Rate represents the seven-day yield at 11/30/2022.

<sup>9</sup> Part of the same "group of investment companies" as the fund as defined under the Investment Company Act of 1940, as amended.

American Funds Mortgage Fund — Page 11 of 14

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Valuation disclosures

------

Capital Research and Management Company ("CRMC"), the fund's investment adviser, values the fund's investments at fair value as defined by accounting principles generally accepted in the United States of America. The net asset value per share is calculated once daily as of the close of regular trading on the New York Stock Exchange, normally 4 p.m. New York time, each day the New York Stock Exchange is open. Security transactions are recorded by the fund as of the date the trades are executed with brokers.

**Methods and inputs — The fund's investment adviser uses the following methods and inputs to establish the fair value of the fund's assets and liabilities. Use of particular methods and inputs may vary over time based on availability and relevance as market and economic conditions evolve.**

Fixed-income securities, including short-term securities, are generally valued at evaluated prices obtained from third-party pricing vendors. Vendors value such securities based on one or more of the inputs described in the following table. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed-income securities in which the fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income security.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;**Fixed-income class** | &nbsp;&nbsp;&nbsp;**Examples of standard inputs** |
| &nbsp;&nbsp;&nbsp;&nbsp;All | &nbsp;&nbsp;&nbsp;Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as "standard inputs") |
| &nbsp;&nbsp;&nbsp;&nbsp;Corporate bonds, notes & loans; convertible securities | &nbsp;&nbsp;&nbsp;Standard inputs and underlying equity of the issuer |
| &nbsp;&nbsp;&nbsp;&nbsp;Bonds & notes of governments & government agencies | &nbsp;&nbsp;&nbsp;Standard inputs and interest rate volatilities |
| &nbsp;&nbsp;&nbsp;&nbsp;Mortgage-backed; asset-backed obligations | &nbsp;&nbsp;&nbsp;Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information |

---

The Capital Group Central Cash Fund ("CCF"), a fund within the Capital Group Central Fund Series ("Central Funds"), is valued based upon a floating net asset value, which fluctuates with changes in the value of CCF's portfolio securities. The underlying securities are valued based on the policies and procedures in CCF's statement of additional information. Exchange-traded futures are generally valued at the official settlement price of the exchange or market on which such instruments are traded, as of the close of business on the day the futures are being valued. The average month-end notional amount of futures contracts while held was $2,749,710,000. Swaps are generally valued using evaluated prices obtained from third-party pricing vendors who calculate these values based on market inputs that may include the yields of the indices referenced in the instrument and the relevant curve, dealer quotes, default probabilities and recovery rates, other reference data, and terms of the contract. The average month-end notional amounts of interest rate swaps while held were $577,750,000.

Securities and other assets for which representative market quotations are not readily available or are considered unreliable by the fund's investment adviser are fair valued as determined in good faith under fair valuation guidelines adopted by the fund's investment adviser and approved by the board of trustees as further described. The investment adviser follows fair valuation guidelines, consistent with U.S. Securities and Exchange Commission rules and guidance, to consider relevant principles and factors when making fair value determinations. The investment adviser considers relevant indications of value that are reasonably and timely available to it in determining the fair value to be assigned to a particular security, such as the type and cost of the security, contractual or legal restrictions on resale of the security, relevant financial or business developments of the issuer, actively traded similar or related securities, dealer or broker quotes, conversion or exchange rights on the security, related corporate actions, significant events occurring after the close of trading in the security, and changes in overall market conditions. In addition, the closing prices of equity securities that trade in markets outside U.S. time zones may be adjusted to reflect significant events that occur after the close of local trading but before the net asset value of each share class of the fund is determined. Fair valuations of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.

American Funds Mortgage Fund — Page 12 of 14

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**Processes and structure — The fund's board of trustees has designated the fund's investment adviser to make fair value determinations, subject to board oversight. The investment adviser has established a Joint Fair Valuation Committee (the "Fair Valuation Committee") to administer, implement and oversee the fair valuation process, and to make fair value decisions. The Fair Valuation Committee regularly reviews its own fair value decisions, as well as decisions made under its standing instructions to the investment adviser's valuation team. The Fair Valuation Committee reviews changes in fair value measurements from period to period and may, as deemed appropriate, update the fair valuation guidelines to better reflect the results of back testing and address new or evolving issues. The Fair Valuation Committee reports any changes to the fair valuation guidelines to the board of trustees. The fund's board and audit committee also regularly review reports that describe fair value determinations and methods.**

The fund's investment adviser has also established a Fixed-Income Pricing Review Group to administer and oversee the fixed-income valuation process, including the use of fixed-income pricing vendors. This group regularly reviews pricing vendor information and market data. Pricing decisions, processes and controls over security valuation are also subject to additional internal reviews facilitated by the investment adviser's global risk management group.

**Classifications — The fund's investment adviser classifies the fund's assets and liabilities into three levels based on the inputs used to value the assets or liabilities. Level 1 values are based on quoted prices in active markets for identical securities. Level 2 values are based on significant observable market inputs, such as quoted prices for similar securities and quoted prices in inactive markets. Certain securities trading outside the U.S. may transfer between Level 1 and Level 2 due to valuation adjustments resulting from significant market movements following the close of local trading. Level 3 values are based on significant unobservable inputs that reflect the investment adviser's determination of assumptions that market participants might reasonably use in valuing the securities. The valuation levels are not necessarily an indication of the risk or liquidity associated with the underlying investment. For example, U.S. government securities are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market. The following tables present the fund's valuation levels as of November 30, 2022 (dollars in thousands):**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Investment securities | Investment securities | Investment securities | Investment securities |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bonds, notes & other debt instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mortgage-backed obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;$6707793 | $— | &nbsp;&nbsp;$6707793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury bonds & notes | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;1087964 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;1087964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Asset-backed obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;231851 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;231851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Short-term securities | &nbsp;&nbsp;&nbsp;2370131 | &nbsp;&nbsp;&nbsp;&nbsp;1989247 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;4359378 |
| Total | $2370131 | $10016855 | $— | $12386986 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Other investments\* | Other investments\* | Other investments\* | Other investments\* |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized appreciation on futures contracts | $14631 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | $— | $14631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized appreciation on centrally cleared interest rate swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;69394 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;69394 |
| **Liabilities:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized depreciation on futures contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(765) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(765) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized depreciation on centrally cleared interest rate swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(5416) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(5416) |
| Total | $13866 | $63978 | $— | $77844 |

---

\* Futures contracts and interest rate swaps are not included in the fund's investment portfolio.

American Funds Mortgage Fund — Page 13 of 14

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---

| |
|:---|
| **Key to abbreviations** |
| Assn. = Association |
| CLO = Collateralized Loan Obligations |
| CME = CME Group |
| CMO = Collateralized Mortgage Obligations |
| EFFR = Effective Federal Funds Rate |
| LIBOR = London Interbank Offered Rate |
| SOFR = Secured Overnight Financing Rate |
| TBA = To be announced |
| USD = U.S. dollars |

---

#### Investments are not FDIC-insured, nor are they deposits of or guaranteed by a bank or any other entity, so they may lose value.
**Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the fund prospectus and summary prospectus, which can be obtained from your financial professional and should be read carefully before investing. You may also call American Funds Service Company (AFS) at (800) 421-4225 or visit the Capital Group website at capitalgroup.com.**

All Capital Group trademarks mentioned are owned by The Capital Group Companies, Inc., an affiliated company or fund. All other company and product names mentioned are the property of their respective companies.

American Funds Distributors, Inc., member FINRA.© 2023 Capital Group. All rights reserved.

MFGEFP1-042-0123O-S89758 American Funds Mortgage Fund — Page 14 of 14

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** American Funds Mortgage Fund

- **b. Investment Company Act file number:** 811-22449

- **c. CIK number of Registrant:** 0001496998

- **d. LEI of Registrant:** C5033DWGZLEAE8CW5708

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

  - **Street Address 1:** 6455 Irvine Center Drive

  - **City:** Irvine

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92618-4518

  - **Telephone number:** 9499755000

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

- **a. Name of Series:** American Funds Mortgage Fund

- **b. EDGAR series identifier (if any):** S000030190

- **c. LEI of Series:** C5033DWGZLEAE8CW5708

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

- **a. Date of fiscal year-end:** 2023-08-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $15167084742.26

**Total Liabilities:** $6897842805.97

**Net Assets:** $8269241936.29

**Cash Not Reported:** $2864928.98

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3553.440000000000 | **1-Year:** -42049.820000000000 | **5-Year:** -51610.340000000000 | **10-Year:** -14729.180000000000 | **30-Year:** -2717.850000000000

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

- **3-Month:** -1822.630000000000 | **1-Year:** -12883.150000000000 | **5-Year:** -18340.290000000000 | **10-Year:** -10246.190000000000 | **30-Year:** -1847.310000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000092896 | -4.71%               | -1.20%               | 3.77%                |
| Class ID C000092897 | -4.69%               | -1.19%               | 3.79%                |
| Class ID C000092898 | -4.82%               | -1.28%               | 3.63%                |
| Class ID C000092899 | -4.71%               | -1.39%               | 3.75%                |
| Class ID C000092900 | -4.74%               | -1.23%               | 3.76%                |
| Class ID C000092901 | -4.81%               | -1.20%               | 3.77%                |
| Class ID C000092902 | -4.67%               | -1.28%               | 3.80%                |
| Class ID C000092903 | -4.78%               | -1.17%               | 3.80%                |
| Class ID C000092905 | -4.71%               | -1.39%               | 3.75%                |
| Class ID C000092906 | -4.81%               | -1.20%               | 3.77%                |
| Class ID C000092907 | -4.68%               | -1.29%               | 3.79%                |
| Class ID C000092908 | -4.71%               | -1.32%               | 3.77%                |
| Class ID C000092910 | -4.73%               | -1.40%               | 3.75%                |
| Class ID C000092911 | -4.72%               | -1.34%               | 3.75%                |
| Class ID C000148445 | -4.75%               | -1.24%               | 3.75%                |
| Class ID C000164806 | -4.69%               | -1.18%               | 3.79%                |
| Class ID C000180009 | -4.67%               | -1.27%               | 3.80%                |
| Class ID C000189492 | -4.69%               | -1.30%               | 3.79%                |
| Class ID C000189493 | -4.69%               | -1.18%               | 3.79%                |
| Class ID C000224553 | -4.68%               | -1.29%               | 3.79%                |
| Class ID C000224554 | -4.67%               | -1.28%               | 3.80%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-117812922.02           | $-493873438.02                             |
| Month 2  | $-231262588.37           | $149405092.13                              |
| Month 3  | $4373367.29              | $227819262.58                              |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Mortgage Backed Securities Index

- **Index Identifier:** LUMSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD8219 06-01-52                             | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1373303 | PA      | $1177219.79    | 0.01%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BW8981 10-01-52                             | CUSIP: 3140N16T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16805142 | PA      | $16379669.35   | 0.20%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BW1309 11-01-52                             | CUSIP: 3140MSN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1460288 | PA      | $1251769.10    | 0.02%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.0 SD8256 10-01-52                             | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  68596521 | PA      | $64966599.32   | 0.79%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 SD8287 01-01-53                             | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 119925290 | PA      | $116889021.51  | 1.41%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCR 4.0 MA1583 09-01-43                                  | CUSIP: 31418AXM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2315155 | PA      | $2235770.75    | 0.03%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCK 5.0 AD1823 02-01-40                                  | CUSIP: 31418PAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    426127 | PA      | $424324.06     | 0.01%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.275 AT7470 05-01-43                           | CUSIP: 3138WVJQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    107717 | PA      | $91833.61      | 0.00%             | 2043-05-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.275 AU0626 06-01-43                           | CUSIP: 3138WZVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    165922 | PA      | $141497.34     | 0.00%             | 2043-06-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.275 AU8120 07-01-43                           | CUSIP: 3138X8AW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     72869 | PA      | $62165.73      | 0.00%             | 2043-07-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.275 AU8121 08-01-43                           | CUSIP: 3138X8AX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     91937 | PA      | $78390.41      | 0.00%             | 2043-08-01      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 3.025 AT7457 04-01-43                           | CUSIP: 3138WVJB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    179576 | PA      | $165211.67     | 0.00%             | 2043-04-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.5 MA1640 09-01-33                             | CUSIP: 31418AZE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    801974 | PA      | $738522.39     | 0.01%             | 2033-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCZ AS0745 08-01-53                                      | CUSIP: 3138W9ZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    876913 | PA      | $801854.96     | 0.01%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCK 3.0 AU7556 09-01-33                                  | CUSIP: 3138X7ME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    324282 | PA      | $290596.90     | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 AT5898 06-01-43                             | CUSIP: 3138WTRU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6502936 | PA      | $5974006.28    | 0.07%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 3.25 AH5911 85K MAX 08-20-35                        | CUSIP: 36182NR88<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1974324 | PA      | $1854751.35    | 0.02%             | 2035-08-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 3.25 AH5912 110K MAX 08-20-40                       | CUSIP: 36182NR96<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    555293 | PA      | $519358.98     | 0.01%             | 2040-08-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2RF 4.881 AQ8290 02-20-66                                | CUSIP: 36190VF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5765 | PA      | $5709.43       | 0.00%             | 2066-02-20      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2RF 5.15 AQ8292 02-20-66                                 | CUSIP: 36190VF91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2963 | PA      | $2930.97       | 0.00%             | 2066-02-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2RF 4.469 AI2366 03-20-65                                | CUSIP: 36198NTX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     17543 | PA      | $17409.54      | 0.00%             | 2065-03-20      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2RF 5.2 773441 04-20-62                                  | CUSIP: 36176RBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       738 | PA      | $730.19        | 0.00%             | 2062-04-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2RF 5.2 AG8235 12-20-64                                  | CUSIP: 36182DEG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       514 | PA      | $485.54        | 0.00%             | 2064-12-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION              | GNR 16-H13 IO FRN 05-20-66                                | CUSIP: 38376RUW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  33561060 | PA      | $297283.87     | 0.00%             | 2066-05-20      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2JM 4.0 MA3727 06-20-46                                  | CUSIP: 36179SD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    987268 | PA      | $934370.51     | 0.01%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.0 MA4511 06-20-47                                  | CUSIP: 36179TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3789667 | PA      | $3675041.29    | 0.04%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 MA6041 07-20-49                                  | CUSIP: 36179UWA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    312468 | PA      | $309424.63     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.0 MA6042 07-20-49                                  | CUSIP: 36179UWB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9225 | PA      | $9343.83       | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 6.5 773549 12-20-38                                  | CUSIP: 36176REW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    135268 | PA      | $134185.26     | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2 5.0 005158 08-20-41                                    | CUSIP: 36202FWT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    519972 | PA      | $527921.95     | 0.01%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2 6.5 005165 08-20-41                                    | CUSIP: 36202FW28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     44428 | PA      | $44671.90      | 0.00%             | 2041-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 4.0 778205 03-20-32                                 | CUSIP: 36176WKS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    328553 | PA      | $329226.30     | 0.00%             | 2032-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 6.5 AA4803 10-20-38                                  | CUSIP: 36178CKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     49372 | PA      | $52361.40      | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2 4.0 MA0273 09-20-41                                    | CUSIP: 36179MJS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    605143 | PA      | $566148.54     | 0.01%             | 2041-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.0 770241 05-20-42                                  | CUSIP: 36176MP23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    303665 | PA      | $298077.89     | 0.00%             | 2042-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 4.0 778208 05-20-32                                 | CUSIP: 36176WKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    463660 | PA      | $464624.42     | 0.01%             | 2032-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2 4.5 MA0274 07-20-41                                    | CUSIP: 36179MJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    204048 | PA      | $201441.65     | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.0 770242 06-20-42                                  | CUSIP: 36176MP31<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    470191 | PA      | $461539.13     | 0.01%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 3.75 AA7288 06-20-37                                | CUSIP: 36178FCZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    310393 | PA      | $299848.93     | 0.00%             | 2037-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                     | GNSF 792276 06-15-42                                      | CUSIP: 36177LQ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    256495 | PA      | $243964.39     | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                     | GNSF 3.5 799343 85K MAX 07-15-42                          | CUSIP: 36177ULZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347539 | PA      | $330566.59     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 6.5 796771 10-20-32                                  | CUSIP: 36177RQZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    378167 | PA      | $388522.57     | 0.00%             | 2032-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2 4.5 MA0310 10-20-41                                    | CUSIP: 36179MKX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    442219 | PA      | $436601.30     | 0.01%             | 2041-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.5 783689 02-20-40                                  | CUSIP: 3622A2C26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1160888 | PA      | $1239406.21    | 0.01%             | 2040-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 6.0 783690 09-20-39                                  | CUSIP: 3622A2C34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1040712 | PA      | $1106990.78    | 0.01%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.0 783688 06-20-41                                  | CUSIP: 3622A2CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    825929 | PA      | $855324.66     | 0.01%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FS0523 02-01-52                             | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  34761657 | PA      | $30036678.98   | 0.36%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNMDI4 4.5 BF0585 12-01-61                                | CUSIP: 3140FXUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5007089 | PA      | $4940775.39    | 0.06%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CB2286 12-01-51                             | CUSIP: 3140QMRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  69788502 | PA      | $60297893.60   | 0.73%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CA6593 08-01-50                             | CUSIP: 3140QEKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  51320545 | PA      | $44646615.63   | 0.54%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 FS0965 11-01-51                             | CUSIP: 3140XGCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    229470 | PA      | $190476.22     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 BR1035 05-01-51                             | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     28717 | PA      | $23762.24      | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 BP6715 09-01-50                             | CUSIP: 3140KEN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      1570 | PA      | $1301.25       | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CA8955 02-01-51                             | CUSIP: 3140QG5R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6293496 | PA      | $5456605.67    | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD8283 11-01-52                             | CUSIP: 3132DWFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4031433 | PA      | $3455772.92    | 0.04%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD8291 11-01-52                             | CUSIP: 3132DWF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2718776 | PA      | $2330559.26    | 0.03%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BV8959 06-01-52                             | CUSIP: 3140MN5V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1861568 | PA      | $1597696.71    | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QD2521 12-01-51                             | CUSIP: 3133AYYS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2766863 | PA      | $2380213.03    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QD1523 11-01-51                             | CUSIP: 3133AXVQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    866490 | PA      | $744331.36     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BU8916 04-01-52                             | CUSIP: 3140MA4A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14747179 | PA      | $12656913.45   | 0.15%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BX0512 10-01-52                             | CUSIP: 3140N4SA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3422392 | PA      | $3336100.05    | 0.04%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BW7769 09-01-52                             | CUSIP: 3140N0T39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3826301 | PA      | $3729430.80    | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 QF2182 10-01-52                             | CUSIP: 3133BPM70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4065372 | PA      | $3962453.31    | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BW7707 09-01-52                             | CUSIP: 3140N0R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3075548 | PA      | $2997684.50    | 0.04%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BW9180 09-01-52                             | CUSIP: 3140N2FW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    630692 | PA      | $614723.66     | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 QE5132 07-01-52                             | CUSIP: 3133BEVZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3635486 | PA      | $3543449.89    | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 QE6806 07-01-52                             | CUSIP: 3133BGR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3514646 | PA      | $3425665.59    | 0.04%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BU2001 10-01-51                             | CUSIP: 3140M3GK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13000004 | PA      | $11169954.44   | 0.14%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BU8730 06-01-52                             | CUSIP: 3140MAVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    721351 | PA      | $618569.00     | 0.01%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QD0384 11-01-51                             | CUSIP: 3133AWM92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15000002 | PA      | $12903931.53   | 0.16%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QD3561 12-01-51                             | CUSIP: 3133B05W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13421300 | PA      | $11529084.86   | 0.14%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BU3347 11-01-51                             | CUSIP: 3140M4WH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    138811 | PA      | $119212.61     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 RA6495 12-01-51                             | CUSIP: 3133KNGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     26893 | PA      | $23101.77      | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QC4006 06-01-51                             | CUSIP: 3133ANNX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     67488 | PA      | $58036.83      | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CB2867 02-01-52                             | CUSIP: 3140QNFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     63809 | PA      | $54777.45      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BW1149 09-01-52                             | CUSIP: 3140MSH32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    886923 | PA      | $760360.18     | 0.01%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QE1480 03-01-52                             | CUSIP: 3133BAUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    861189 | PA      | $740639.22     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 RA7747 08-01-52                             | CUSIP: 3133KPTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2605310 | PA      | $2233305.86    | 0.03%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QD9176 03-01-52                             | CUSIP: 3133B7FR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2299772 | PA      | $1975209.56    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QD9911 04-01-52                             | CUSIP: 3133B8AL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2666969 | PA      | $2286814.18    | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BV7787 05-01-52                             | CUSIP: 3140MMUM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2485278 | PA      | $2133005.16    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QD8381 03-01-52                             | CUSIP: 3133B6J27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     39993 | PA      | $34332.10      | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FS2239 07-01-52                             | CUSIP: 3140XHPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  84991565 | PA      | $72863609.03   | 0.88%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CB0392 05-01-51                             | CUSIP: 3140QKNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     34675 | PA      | $29822.58      | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CB1624 09-01-51                             | CUSIP: 3140QLYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     49251 | PA      | $42372.64      | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QC9788 11-01-51                             | CUSIP: 3133AU2V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    106599 | PA      | $91548.62      | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BV8015 08-01-52                             | CUSIP: 3140MM3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    815329 | PA      | $699997.18     | 0.01%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BV6763 03-01-52                             | CUSIP: 3140MLQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2747863 | PA      | $2358609.04    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BV9700 06-01-52                             | CUSIP: 3140MPX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5585213 | PA      | $4790493.26    | 0.06%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 MA4768 09-01-52                             | CUSIP: 31418EJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16741491 | PA      | $14352496.68   | 0.17%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FM9764 11-01-51                             | CUSIP: 3140XDZ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3000001 | PA      | $2577039.88    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QE2352 05-01-52                             | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12028908 | PA      | $10311901.94   | 0.12%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 RA5759 09-01-51                             | CUSIP: 3133KMMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29000000 | PA      | $24867093.86   | 0.30%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 MA4743 08-01-52                             | CUSIP: 31418EHV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2803631 | PA      | $2403648.02    | 0.03%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 QE6097 07-01-52                             | CUSIP: 3133BFX21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    867201 | PA      | $744456.66     | 0.01%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FS1995 02-01-52                             | CUSIP: 3140XHGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2693430 | PA      | $2308819.06    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CB3665 05-01-52                             | CUSIP: 3140QPCB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3206743 | PA      | $2748912.86    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 783687 12-20-41                                  | CUSIP: 3622A2CY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    606145 | PA      | $603595.44     | 0.01%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 AB3621 09-20-41                                  | CUSIP: 36178QAW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    202315 | PA      | $200116.91     | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.0 AC2872 06-20-42                                  | CUSIP: 36179CFM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    191104 | PA      | $184881.64     | 0.00%             | 2042-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.0 AC2887 07-20-35                                  | CUSIP: 36179CF49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    175926 | PA      | $176401.82     | 0.00%             | 2035-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 AC2904 05-20-41                                  | CUSIP: 36179CGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    377134 | PA      | $372421.70     | 0.00%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 AB2159 03-20-42                                  | CUSIP: 36178MMG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    534413 | PA      | $531756.81     | 0.01%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.5 AG5105 09-20-43                                  | CUSIP: 36181YU65<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    497230 | PA      | $457422.18     | 0.01%             | 2043-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.0 AG5106 09-20-43                                  | CUSIP: 36181YU73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    380522 | PA      | $370301.58     | 0.00%             | 2043-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                     | GNSF 2.75 793043 150K MAX 01-15-42                        | CUSIP: 36177MLZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302257 | PA      | $272951.48     | 0.00%             | 2042-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                     | GNSF 2.75 799829 110K MAX 02-15-42                        | CUSIP: 36177U4P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195214 | PA      | $176008.41     | 0.00%             | 2042-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                     | GNSF 2.75 AA0526 06-15-42                                 | CUSIP: 36177WSP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94527 | PA      | $84812.15      | 0.00%             | 2042-06-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                     | GNSF 2.75 AB1330 175K MAX 08-15-42                        | CUSIP: 36178LPP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233029 | PA      | $210140.65     | 0.00%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                     | GNSF 2.75 AB1591 175K MAX 09-15-42                        | CUSIP: 36178LXU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210194 | PA      | $188585.31     | 0.00%             | 2042-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.5 AA7306 11-20-43                                  | CUSIP: 36178FDK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    688102 | PA      | $649383.04     | 0.01%             | 2043-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST GCAT_21-NQM6                               | GCAT 21-NQM6 A1 144A FRN 08-25-66                         | CUSIP: 36167KAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5961068 | PA      | $5037269.23    | 0.06%             | 2066-08-25      | Variable      | 1.85%                 | Yes           |                  2 | On Loan: No      |
| GS MORTGAGEBACKED SECURITIES TRUST GSMBS_22-PJ5       | GSMBS 22-PJ5 A4 144A FRN 10-25-52/01-26-43                | CUSIP: 362925AE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19388558 | PA      | $15630474.13   | 0.19%             | 2052-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.0 TBA 12-01-52                                     | CUSIP: 21H0506C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 690890000 | PA      | $690458193.75  | 8.35%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.0 TBA 12-01-52                                     | CUSIP: 21H0406C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  57092341 | PA      | $54512052.65   | 0.66%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.5 TBA 12-01-52                                     | CUSIP: 21H0426C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        | 195389045 | PA      | $191427922.89  | 2.31%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.5 TBA 12-01-52                                     | CUSIP: 21H0526C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  30282687 | PA      | $30651287.87   | 0.37%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.5 TBA 01-01-53                                     | CUSIP: 21H052611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  74134497 | PA      | $74990528.04   | 0.91%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 2.0 TBA 01-01-53                                     | CUSIP: 21H020618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  19349659 | PA      | $16489547.20   | 0.20%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.5 TBA 01-01-53                                     | CUSIP: 21H032613<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  40007491 | PA      | $37175720.78   | 0.45%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 2.5 TBA 01-01-53                                     | CUSIP: 21H022614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7439633 | PA      | $6547747.48    | 0.08%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.0 TBA 01-01-53                                     | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  29808220 | PA      | $26956318.55   | 0.33%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 4.25 AD0867 85K MAX 04-20-34                        | CUSIP: 36180B6C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    615210 | PA      | $633109.30     | 0.01%             | 2034-04-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 4.25 AH5881 05-20-44                                 | CUSIP: 36182NRA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    447908 | PA      | $437094.90     | 0.01%             | 2044-05-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.75 AH5880 05-20-44                                 | CUSIP: 36182NQ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1083453 | PA      | $1036669.58    | 0.01%             | 2044-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 3.75 AH5896 85K MAX 07-20-34                        | CUSIP: 36182NRR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    697100 | PA      | $691504.26     | 0.01%             | 2034-07-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 5.0 AE5743 09-20-41                                  | CUSIP: 36180YLY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1356796 | PA      | $1364264.19    | 0.02%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.25 AH5905 01-20-40                                 | CUSIP: 36182NR21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    802327 | PA      | $743775.99     | 0.01%             | 2040-01-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2SF 3.25 AH5904 02-20-35                                 | CUSIP: 36182NRZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1046812 | PA      | $983431.07     | 0.01%             | 2035-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 3.25 AH5907 85K MAX 04-20-35                        | CUSIP: 36182NR47<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    862354 | PA      | $810294.96     | 0.01%             | 2035-04-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 3.25 AH5909 150K MAX 05-20-40                       | CUSIP: 36182NR62<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    458675 | PA      | $428789.01     | 0.01%             | 2040-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                    | G2MHD 3.25 AH5908 110K MAX 05-20-35                       | CUSIP: 36182NR54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1309842 | PA      | $1230515.35    | 0.01%             | 2035-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST LMAT_21-GS2               | LMAT 21-GS2 A1 144A FRN 04-25-61                          | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4327476 | PA      | $3909541.30    | 0.05%             | 2061-04-25      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| LUXE COMMERCIAL MORTGAGE TRUST LUXE_21-TRIP           | LUXE 21-TRIP A 144A FRN (L+105) 10-15-38/24               | CUSIP: 55066WAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7875194 | PA      | $7482867.41    | 0.09%             | 2038-10-15      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| MILL CITY MORTGAGE TRUST MCMLT_18-1                   | MCMLT 18-1 A1 144A FRN 05-25-62                           | CUSIP: 59980VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    279092 | PA      | $268373.24     | 0.00%             | 2062-05-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| MELLO WAREHOUSE SECURITIZATION TRUST MWST_21-3        | MWST 21-3 A 144A FRN (L+85) 11-25-55                      | CUSIP: 58552FAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16000000 | PA      | $15463664.00   | 0.19%             | 2055-11-25      | Variable      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST MCMLT_15-1              | MCMLT 15-1 M2 144A FRN 06-25-56/10-25-30                  | CUSIP: 599809CE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3546316 | PA      | $3507093.69    | 0.04%             | 2056-06-25      | Variable      | 3.66%                 | Yes           |                  2 | On Loan: No      |
| NEWREZ WAREHOUSE SECURITIZATION TRUST NEWZ_21-1       | NEWZ 21-1 A 144A FRN (L+75) 05-25-55                      | CUSIP: 65246PAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4769217 | PA      | $4675993.12    | 0.06%             | 2055-05-25      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST OBX_22-J1                                   | OBX 22-J1 A2 144A FRN 02-25-52                            | CUSIP: 67116WAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12559906 | PA      | $10219430.08   | 0.12%             | 2052-02-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST RBIT_21-HB1                 | RBIT 21-HB1 A 144A FRN 11-25-31                           | CUSIP: 74969TAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8749413 | PA      | $8324086.51    | 0.10%             | 2031-11-25      | Variable      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1               | SCRT 17-1 HA FRN 01-25-56                                 | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   5812705 | PA      | $5472975.53    | 0.07%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2               | SCRT 17-2 HA FRN 08-25-56                                 | CUSIP: 35563PBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4905977 | PA      | $4615484.03    | 0.06%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2               | SCRT 17-2 MA 3.0% 08-25-56                                | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   4952388 | PA      | $4632607.28    | 0.06%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO LTD ASTAT_22-18                               | ASTAT 22-18A A1 CLO 144A FRN (TSFR3M+132) 04-21-31        | CUSIP: 00850BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10750000 | PA      | $10625364.53   | 0.13%             | 2031-04-21      | Variable      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| ALLEGRO CLO I LTD ALLEG_17-1A                         | ALLEG 17-1A AR 144A CLO FRN (L+95) 10-16-30               | CUSIP: 01748RAL9<br>LEI: 254900TYK5TGNAFE3053 | Long             | ABS-O            | CORP              | US        |   1523000 | PA      | $1495669.77    | 0.02%             | 2030-10-16      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST BHG_21-A                     | BHG 21-A A 144A 1.42% 11-17-33                            | CUSIP: 08861YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1153446 | PA      | $1068687.75    | 0.01%             | 2033-11-17      | Fixed         | 1.42%                 | Yes           |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST BHG_21-B                     | BHG 21-B A 144A 0.9% 10-17-34                             | CUSIP: 08862BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    921368 | PA      | $865534.21     | 0.01%             | 2034-10-17      | Fixed         | 0.90%                 | Yes           |                  2 | On Loan: No      |
| BALLYROCK LTD BALLY_19-2A                             | BALLY 19-2A A1AR CLO 144A FRN (L+100) 11-20-30            | CUSIP: 05875MAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3740000 | PA      | $3688896.64    | 0.04%             | 2030-11-20      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TRUST CAALT_21-3          | CAALT 21-3A A 144A 1.0% 05-15-30/07-15-24                 | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6825000 | PA      | $6439537.65    | 0.08%             | 2030-05-15      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST CPS_22-B                   | CPS 22-B A 144A 2.88% 06-15-26/02-15-24                   | CUSIP: 12663BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3937928 | PA      | $3855900.70    | 0.05%             | 2026-06-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST CPS_22-C                   | CPS 22-C A 144A 4.18% 04-15-30/02-15-24                   | CUSIP: 12664DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4059540 | PA      | $4015899.58    | 0.05%             | 2030-04-15      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST COMET_22-A3   | COMET 22-A3 A 4.95% 10-15-27/25                           | CUSIP: 14041NGB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  50000000 | PA      | $50261550.00   | 0.61%             | 2027-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CLOUD PASS-THROUGH TRUST CPTT_19-1                    | CLOUD 19-1A CLOU 144A FRN 12-05-22/32                     | CUSIP: 18913AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        85 | PA      | $84.78         | 0.00%             | 2032-12-05      | Variable      | 3.55%                 | Yes           |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST CRVNA_21-P1            | CRVNA 21-P1 A3 0.54% 12-10-25/04-10-24                    | CUSIP: 14687BAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4048224 | PA      | $3926765.42    | 0.05%             | 2025-12-10      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |
| CENT CLO LP CECLO_14-21A                              | CECLO 14-21A A1R3 144A FRN (L+97) 07-27-30                | CUSIP: 15137EBN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   4718819 | PA      | $4641241.91    | 0.06%             | 2030-07-27      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| MHC COMMERCIAL MORTGAGE TRUST MHC_21-MHC              | MHC 21-MHC A 144A FRN (L+80.1) 04-15-26                   | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6615000 | PA      | $6393496.73    | 0.08%             | 2026-04-15      | Variable      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| MARATHON CLO LTD MCLO_17-9A                           | MCLO 17-9A A1AR 144A FRN (L+115) 04-15-29                 | CUSIP: 56577PAL3<br>LEI: 5493008SBRQGMZFP2M89 | Long             | ABS-O            | CORP              | KY        |   2543306 | PA      | $2514770.19    | 0.03%             | 2029-04-15      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-A                   | NSLT 21-A APT1 144A 1.36% 04-20-62                        | CUSIP: 64035DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9872511 | PA      | $8705629.37    | 0.11%             | 2062-04-20      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST NAVSL_21-C       | NAVSL 21-C A 144A 1.06% 10-15-69/09-15-28                 | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4997363 | PA      | $4320635.01    | 0.05%             | 2069-10-15      | Fixed         | 1.06%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-B                   | NSLT 21-B AFX 144A 1.42% 04-20-62                         | CUSIP: 64034QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27298168 | PA      | $24058667.46   | 0.29%             | 2062-04-20      | Fixed         | 1.42%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-C                   | NSLT 21-CA AFX 144A 1.32% 04-20-62                        | CUSIP: 64035GAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7798461 | PA      | $6870802.58    | 0.08%             | 2062-04-20      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST NSLT_21-C                   | NSLT 21-CA AFL 144A FRN (L+74) 04-20-62                   | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14179019 | PA      | $13639351.74   | 0.16%             | 2062-04-20      | Variable      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST NAVSL_21-A                 | NAVSL 21-A A 144A 0.84% 05-15-69/03-15-29                 | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2953473 | PA      | $2524481.38    | 0.03%             | 2069-05-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| PFS FINANCING CORP PFSFC_22-D                         | PFSFC 22-D A 144A 4.27% 08-16-27/08-15-25                 | CUSIP: 69335PEP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3068000 | PA      | $2967903.43    | 0.04%             | 2027-08-16      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-5     | SDART 22-5 A2 3.98% 01-15-25/09-15-23                     | CUSIP: 80287HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7006000 | PA      | $6955423.69    | 0.08%             | 2025-01-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-6     | SDART 22-6 A3 4.49% 11-16-26/12-16-24                     | CUSIP: 802918AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6916000 | PA      | $6811976.44    | 0.08%             | 2026-11-16      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST SDART_22-6     | SDART 22-6 A2 4.37% 05-15-25/11-15-23                     | CUSIP: 802918AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3174000 | PA      | $3155533.67    | 0.04%             | 2025-05-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-4               | SCRT 18-4 MT 3.5% 03-15-57                                | CUSIP: 35563PHE2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1583413 | PA      | $1429546.01    | 0.02%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_20-1                     | SORT 20-1 A1 144A 1.69% 07-15-60/25                       | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14254894 | PA      | $12635794.97   | 0.15%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_20-1                     | SORT 20-1 A2 144A 1.99% 07-15-60/27                       | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2290408 | PA      | $1906300.04    | 0.02%             | 2060-07-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST SMB_21-A             | SMB 21-A APT2 144A 1.07% 01-15-53                         | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1949802 | PA      | $1639131.95    | 0.02%             | 2053-01-15      | Fixed         | 1.07%                 | Yes           |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC SORT_21-1                     | SORT 21-1 A1 144A 1.53% 03-15-61/03-16-26                 | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19242829 | PA      | $16625361.95   | 0.20%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_15-4                   | TPMT 15-4 M1 144A FRN 04-25-55/05-25-22                   | CUSIP: 89171UAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1040887 | PA      | $1038021.49    | 0.01%             | 2055-04-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_15-4                   | TPMT 15-4 M2 144A FRN 04-25-55/01-25-27                   | CUSIP: 89171UAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6900000 | PA      | $6679648.50    | 0.08%             | 2055-04-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_15-3                   | TPMT 15-3 M2 144A FRN 03-25-54/09-27-27                   | CUSIP: 89172HAD9<br>LEI: 549300ZHISOOIT5VZP03 | Long             | ABS-CBDO         | CORP              | US        |   7000000 | PA      | $6840785.00    | 0.08%             | 2054-03-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_16-5                   | TPMT 16-5 A1 144A 2.5% 10-25-56                           | CUSIP: 89173CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    363124 | PA      | $356958.31     | 0.00%             | 2056-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_17-3                   | TPMT 17-3 A1 144A FRN 07-25-57                            | CUSIP: 89169DAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1086022 | PA      | $1058047.36    | 0.01%             | 2057-07-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_18-5                   | TPMT 18-5 A1A 144A FRN 07-25-58                           | CUSIP: 89176VAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    603510 | PA      | $577882.98     | 0.01%             | 2058-07-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| NEW ECONOMY ASSETS - PHASE I ISSUER LLC USRE_21-1     | USRE 21-1 A1 144A 1.91% 10-20-61/26                       | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  30250000 | PA      | $25633940.75   | 0.31%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 12/2/2022                                 | CUSIP: 313385R65<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 200000000 | PA      | $199978500.00  | 2.42%             | 2022-12-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 12/6/2022                                 | CUSIP: 313385S23<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  50000000 | PA      | $49973060.00   | 0.60%             | 2022-12-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 12/23/2022                                | CUSIP: 313385U38<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 250000000 | PA      | $249402375.00  | 3.02%             | 2022-12-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 12/9/2022                                 | CUSIP: 313385S56<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 100000000 | PA      | $99913820.00   | 1.21%             | 2022-12-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 12/28/2022                                | CUSIP: 313385U87<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 100000000 | PA      | $99706040.00   | 1.21%             | 2022-12-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 12/30/2022                                | CUSIP: 313385V29<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  80000000 | PA      | $79747472.00   | 0.96%             | 2022-12-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 1/4/2023                                  | CUSIP: 313384AD1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  50000000 | PA      | $49815055.00   | 0.60%             | 2023-01-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 1/12/2023                                 | CUSIP: 313384AM1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 200000000 | PA      | $199067540.00  | 2.41%             | 2023-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 1/17/2023                                 | CUSIP: 313384AS8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  50000000 | PA      | $49736570.00   | 0.60%             | 2023-01-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                          | SCRT 17-3 HA FRN 07-25-56                                 | CUSIP: 35563PBY4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  10515564 | PA      | $9964474.45    | 0.12%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 1/27/2023                                 | CUSIP: 313384BC2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 200000000 | PA      | $198697220.00  | 2.40%             | 2023-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 2/3/2023                                  | CUSIP: 313384BK4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  24000000 | PA      | $23825023.20   | 0.29%             | 2023-02-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOAN STRUCTURED TRANSACTION SLST_18-1        | SLST 18-1 A1 3.5% 06-25-28                                | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   9200132 | PA      | $8829569.02    | 0.11%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2               | SCRT 19-2 MA 3.5% 08-25-58                                | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2349489 | PA      | $2232237.65    | 0.03%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1               | SCRT 19-1 MA 3.5% 07-25-58                                | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    647629 | PA      | $616621.50     | 0.01%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-3               | SCRT 19-3 MT 3.5% 10-25-58                                | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    753807 | PA      | $681223.73     | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 2/7/2023                                  | CUSIP: 313384BP3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 150000000 | PA      | $148825890.00  | 1.80%             | 2023-02-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 2/24/2023                                 | CUSIP: 313384CG2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 200000000 | PA      | $197962900.00  | 2.39%             | 2023-02-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 2/15/2023                                 | CUSIP: 313384BX6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        | 100000000 | PA      | $99107150.00   | 1.20%             | 2023-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                               | FED HM LN BK BD 2/28/2023                                 | CUSIP: 313384CL1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  50000000 | PA      | $49467010.00   | 0.60%             | 2023-02-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2               | SCRT 19-2 MT 3.5% 08-25-58                                | CUSIP: 35563PKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1217726 | PA      | $1099617.37    | 0.01%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1               | SCRT 19-1 MT 3.5% 07-25-58                                | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   1449513 | PA      | $1305571.85    | 0.02%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SREIT TRUST SREIT_21-MFP                              | SREIT 21-MFP A 144A FRN (L+73.08) 11-15-38/11-16-26       | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23078000 | PA      | $22090053.90   | 0.27%             | 2038-11-15      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_22-1 | SLST 22-1 A1 3.5% 05-25-32                                | CUSIP: 35564CLZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  42956520 | PA      | $41709492.60   | 0.50%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_17-5                   | TPMT 17-5 A1 144A 2.55969% 02-25-57                       | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    369034 | PA      | $363243.92     | 0.00%             | 2057-02-25      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_17-6                   | TPMT 17-6 A1 144A FRN 10-25-57                            | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1693294 | PA      | $1617046.79    | 0.02%             | 2057-10-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST TPMT_16-2                   | TPMT 16-2 M1 144A FRN 08-25-55/02-25-28                   | CUSIP: 89172PAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5800000 | PA      | $5493313.40    | 0.07%             | 2055-08-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 5.5 UMBS TBA 12-01-52                                | CUSIP: 01F0526C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 128467218 | PA      | $129965788.10  | 1.57%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 3.5 UMBS TBA 12-01-52                                | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18820323 | PA      | $17232358.25   | 0.21%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 4.5 UMBS TBA 12-01-52                                | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 282050447 | PA      | $274602622.90  | 3.32%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 4.0 UMBS TBA 12-01-52                                | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 630526899 | PA      | $596414132.71  | 7.21%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | UMBS  30YR TBA(REG A) 3.0 UMBS TBA 12-01-52               | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  52672345 | PA      | $46637095.04   | 0.56%             | 2052-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 2.0 UMBS TBA 12-01-52                                | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 187475872 | PA      | $154499241.07  | 1.87%             | 2052-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 5.0 UMBS TBA 12-01-52                                | CUSIP: 01F0506C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 258738951 | PA      | $257526241.54  | 3.11%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 2.5 UMBS TBA 12-01-52                                | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 202700000 | PA      | $173482619.30  | 2.10%             | 2052-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCI 2.5 UMBS TBA 12-01-37                                | CUSIP: 01F0224C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  35486000 | PA      | $32796658.00   | 0.40%             | 2037-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCI 4.0 UMBS TBA 12-01-37                                | CUSIP: 01F0404C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11000000 | PA      | $10755943.00   | 0.13%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 6.0 UMBS TBA 01-01-53                                | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 269513114 | PA      | $275386074.27  | 3.33%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 6.5 UMBS TBA 01-01-53                                | CUSIP: 01F062614<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 445524593 | PA      | $457982797.19  | 5.54%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 5.5 UMBS TBA 01-01-53                                | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 362100000 | PA      | $366125827.80  | 4.43%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 4.5 UMBS TBA 01-01-53                                | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  53666403 | PA      | $52253473.94   | 0.63%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                           | FNCL 5.0 UMBS TBA 01-01-53                                | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  97200000 | PA      | $96729163.20   | 1.17%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL GROUP CENTRAL CASH FUND                       | CAPITAL GROUP CENTRAL CASH FUND                           | CUSIP: 14020B102<br>LEI: 549300YD0SRETB6WWP29 | Long             | STIV             | RF                | US        |  23625821 | NS      | $2362345804.79 | 28.57%            |  |  |  | No            |                  1 | On Loan: No      |
| RISKLESS ISSUER                                       | IRS PAYFIX USD 0.81% 07-28-15/07-28-45 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $68646775.04   | 0.83%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 3.52647% 06-16-22/06-16-24 LCH             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-2537950.93   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                       | OIS RECFIX USD 3.5291% 06-16-22/06-16-24 LCH              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $-2736065.21   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | SOFR 90DAY FUT SFRH3 06-20-23                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1244 | NC      | $5101764.36    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 10YR FUT ULTRA UXYH3 03-22-23                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      3635 | NC      | $1378621.30    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 20YR FUT USH3 03-22-23                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1638 | NC      | $97828.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 10YR FUT TYH3 03-22-23                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       452 | NC      | $261906.14     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 30YR FUT ULTRA WNH3 03-22-23                          | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       876 | NC      | $937731.48     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 5YR FUT FVH3 03-31-23                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     13086 | NC      | $6852601.61    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                       | UST 2YR FUT TUH3 03-31-23                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      1424 | NC      | $-764508.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BE5017 02-01-45                             | CUSIP: 3140FQSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    713537 | PA      | $669866.11     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.5 Q58378 09-01-48                                 | CUSIP: 3132Y2JY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    475706 | PA      | $471721.82     | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 AY1829 12-01-44                             | CUSIP: 3138YFA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     58907 | PA      | $55554.45      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 AT0412 03-01-43                             | CUSIP: 3138WMN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     67689 | PA      | $63810.94      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q51622 10-01-47                                 | CUSIP: 3132XTYU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    684037 | PA      | $640269.22     | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q47615 04-01-47                                 | CUSIP: 3132WMN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    565199 | PA      | $529093.37     | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 AT3954 04-01-43                             | CUSIP: 3138WRMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     61544 | PA      | $58108.76      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 Q56599 06-01-48                                 | CUSIP: 3132Y0KM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    873527 | PA      | $849321.80     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q18236 05-01-43                                 | CUSIP: 3132J9S25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    453593 | PA      | $428747.76     | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BE8740 05-01-47                             | CUSIP: 3140FUWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    644718 | PA      | $603412.28     | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54782 03-01-48                                 | CUSIP: 3132XXJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    406394 | PA      | $380263.16     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.5 Q57242 07-01-48                                 | CUSIP: 3132Y1BL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    123764 | PA      | $122964.26     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.5 Q58411 09-01-48                                 | CUSIP: 3132Y2KZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1242197 | PA      | $1236289.45    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 Q55970 05-01-48                                 | CUSIP: 3132XYT49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    299656 | PA      | $292001.99     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q17696 04-01-43                                 | CUSIP: 3132J87J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    171850 | PA      | $162438.15     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 AJ1873 10-01-41                             | CUSIP: 3138ATCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    201274 | PA      | $196393.79     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q55060 04-01-48                                 | CUSIP: 3132XXTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     76498 | PA      | $71420.76      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54698 03-01-48                                 | CUSIP: 3132XXGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     82884 | PA      | $77537.89      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 AL3829 06-01-43                             | CUSIP: 3138ELHF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1311724 | PA      | $1241673.78    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.5 Q58436 09-01-48                                 | CUSIP: 3132Y2LS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    652291 | PA      | $648058.19     | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                          | SCRT 17-3 HT 3.25% 07-25-56                               | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2047105 | PA      | $1865815.00    | 0.02%             | 2056-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                          | SCRT 17-3 MT 3.0% 07-25-56                                | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  11470206 | PA      | $10033780.92   | 0.12%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_18-1SC                              | SCRT 18-1 HT 3.0% 05-25-57                                | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |  12199521 | PA      | $10854694.48   | 0.13%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BN6708 06-01-49                             | CUSIP: 3140JPN27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1365651 | PA      | $1271352.85    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 3.5 AY1948 01-01-30                             | CUSIP: 3138YFEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     47453 | PA      | $46590.30      | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 3.5 AZ0554 10-01-30                             | CUSIP: 3138YRTL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     59310 | PA      | $58229.79      | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 MA4208 12-01-50                             | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1037634 | PA      | $860325.28     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.0 MA4387 07-01-41                             | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    375329 | PA      | $321152.36     | 0.00%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BH4101 10-01-47                             | CUSIP: 3140GSRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  31187643 | PA      | $29166901.71   | 0.35%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q45650 01-01-47                                 | CUSIP: 3132WKH43<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7561984 | PA      | $7150786.03    | 0.09%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNMDI3 5.5 BF0320 01-01-49                                | CUSIP: 3140FXLA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2295505 | PA      | $2426187.59    | 0.03%             | 2049-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 CA5496 04-01-50                             | CUSIP: 3140QDDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  34329973 | PA      | $31028390.39   | 0.38%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.0 SD0187 01-01-50                             | CUSIP: 3132DMF42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3273159 | PA      | $2958281.24    | 0.04%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 CA5536 04-01-50                             | CUSIP: 3140QDEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11322592 | PA      | $10187082.87   | 0.12%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS SD7512 02-01-50                                 | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12942352 | PA      | $11655196.60   | 0.14%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 AP7553 09-01-42                             | CUSIP: 3138MBMB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4170523 | PA      | $3831405.04    | 0.05%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 FM2664 03-01-50                             | CUSIP: 3140X56A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5427175 | PA      | $5028375.47    | 0.06%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 CA5540 04-01-50                             | CUSIP: 3140QDEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5398284 | PA      | $4840338.88    | 0.06%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 CA5539 04-01-50                             | CUSIP: 3140QDEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7671873 | PA      | $6879682.80    | 0.08%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.0 RA1339 09-01-49                             | CUSIP: 3133KGPY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8752059 | PA      | $7848400.20    | 0.09%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 RA1996 01-01-50                             | CUSIP: 3133KHGD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  12468518 | PA      | $11551982.20   | 0.14%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 CA5338 03-01-50                             | CUSIP: 3140QC4Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2702163 | PA      | $2414050.08    | 0.03%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.0 RA2319 03-01-50                             | CUSIP: 3133KHSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4312207 | PA      | $3853038.51    | 0.05%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS RA2596 05-01-50                                 | CUSIP: 3133KH3D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1062696 | PA      | $923732.43     | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 4.0 MA3099 08-01-37                             | CUSIP: 31418CNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1813056 | PA      | $1762130.51    | 0.02%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 6.0 G03699 01-01-38                                 | CUSIP: 3128M5NQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     54291 | PA      | $57240.86      | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNMDI6 3.0 BF0497 07-01-60                                | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1796958 | PA      | $1588205.79    | 0.02%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 G67700 08-01-46                                 | CUSIP: 3132XCRV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1909824 | PA      | $1799077.36    | 0.02%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 G60238 10-01-45                                 | CUSIP: 31335AHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5167911 | PA      | $4858115.46    | 0.06%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNMDI4 3.5 BF0481 06-01-60                                | CUSIP: 3140FXRB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2617569 | PA      | $2423651.50    | 0.03%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNMDI4 3.5 BF0379 04-01-59                                | CUSIP: 3140FXM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3685831 | PA      | $3412474.66    | 0.04%             | 2059-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST FSMT_21-10INV                 | FSMT 21-10INV A3 144A FRN 10-25-51                        | CUSIP: 33851RAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1696500 | PA      | $1378338.71    | 0.02%             | 2051-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNMDI4 3.5 BM6693 08-01-59                                | CUSIP: 3140JBNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  61985192 | PA      | $57393639.09   | 0.69%             | 2059-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CB2371 12-01-51                             | CUSIP: 3140QMT53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10962124 | PA      | $9485558.51    | 0.11%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD7545 09-01-51                             | CUSIP: 3132DVL29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14186988 | PA      | $12342097.62   | 0.15%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FM9492 11-01-51                             | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12692339 | PA      | $10982769.36   | 0.13%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FM9804 12-01-51                             | CUSIP: 3140XD3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6746984 | PA      | $5845512.85    | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FM9694 11-01-51                             | CUSIP: 3140XDXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6308763 | PA      | $5472719.43    | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.0 RA5971 09-01-51                             | CUSIP: 3133KMT47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15039624 | PA      | $13457711.37   | 0.16%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 CB0041 04-01-51                             | CUSIP: 3140QKBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6189283 | PA      | $5556905.25    | 0.07%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNMDI4 3.5 BF0480 06-01-60                                | CUSIP: 3140FXRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1676905 | PA      | $1552677.76    | 0.02%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 BM1179 04-01-47                             | CUSIP: 3140J5JZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    995613 | PA      | $899874.84     | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 AS8310 11-01-46                             | CUSIP: 3138WJGU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    846866 | PA      | $766283.64     | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 CB2544 01-01-52                             | CUSIP: 3140QMZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18841345 | PA      | $16802485.53   | 0.20%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 2.0 RB5145 02-01-42                             | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8934880 | PA      | $7600679.07    | 0.09%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 2.0 RB5148 03-01-42                             | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 152867719 | PA      | $130040441.30  | 1.57%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.0 MA4540 02-01-42                             | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  31742481 | PA      | $27002471.53   | 0.33%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.0 MA4570 03-01-42                             | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10218012 | PA      | $8692156.27    | 0.11%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 2.0 RB5153 04-01-42                             | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2701997 | PA      | $2295165.43    | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.0 MA4586 04-01-42                             | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2776416 | PA      | $2361863.88    | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD7548 11-01-51                             | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 119042292 | PA      | $103569174.69  | 1.25%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FS0433 12-01-51                             | CUSIP: 3140XFPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  37434950 | PA      | $32728478.03   | 0.40%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.0 SD7550 02-01-52                             | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  37349495 | PA      | $33627954.22   | 0.41%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 FM9976 12-01-51                             | CUSIP: 3140XECN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9280994 | PA      | $8358073.14    | 0.10%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 SD0873 02-01-52                             | CUSIP: 3132DM6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  36065420 | PA      | $33487283.91   | 0.40%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 FM9819 12-01-51                             | CUSIP: 3140XD4D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  81060779 | PA      | $72534643.96   | 0.88%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 FM7687 06-01-51                             | CUSIP: 3140XBRH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11835102 | PA      | $10594996.57   | 0.13%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.0 SD7553 03-01-52                             | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        | 242991964 | PA      | $217706706.62  | 2.63%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 2.0 MA4501 12-01-41                             | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  34647271 | PA      | $29474086.88   | 0.36%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 2.0 RB5138 12-01-41                             | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29619477 | PA      | $25196963.16   | 0.30%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCT UMBS 2.0 QK1181 11-01-41                             | CUSIP: 3133D4J20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2138731 | PA      | $1819400.98    | 0.02%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 MA4305 04-01-51                             | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     48629 | PA      | $40263.72      | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.0 SD8128 02-01-51                             | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    169190 | PA      | $140249.62     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.0 SD8134 03-01-51                             | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    281347 | PA      | $232993.38     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.0 SD8106 11-01-50                             | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  55741503 | PA      | $46209204.29   | 0.56%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 Q05343 11-01-41                                 | CUSIP: 3132GLS88<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    266051 | PA      | $261411.34     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FM9846 12-01-51                             | CUSIP: 3140XD5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2427749 | PA      | $2085975.68    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHARM FRN 8D0226 05-01-52                                 | CUSIP: 3142BNHB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  15573348 | PA      | $14016137.64   | 0.17%             | 2052-05-01      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CB0457 05-01-51                             | CUSIP: 3140QKQK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5519128 | PA      | $4752140.51    | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 RA5259 05-01-51                             | CUSIP: 3133KLZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5408200 | PA      | $4655827.75    | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CA8828 02-01-51                             | CUSIP: 3140QGY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  32119477 | PA      | $27900166.23   | 0.34%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 FS0647 02-01-52                             | CUSIP: 3140XFWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1673983 | PA      | $1507177.73    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.0 RA6406 11-01-51                             | CUSIP: 3133KNDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7098981 | PA      | $5892814.24    | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 5.0 RA7938 09-01-52                             | CUSIP: 3133KPZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9269517 | PA      | $9244591.46    | 0.11%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 FM9416 07-01-45                             | CUSIP: 3140XDPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  91679191 | PA      | $85548053.77   | 1.03%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 FM3280 05-01-49                             | CUSIP: 3140X6UE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  23997483 | PA      | $22405970.07   | 0.27%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CA5968 06-01-50                             | CUSIP: 3140QDT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7602169 | PA      | $6620979.97    | 0.08%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 CB2765 02-01-52                             | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9318431 | PA      | $7757696.58    | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD7552 01-01-52                             | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  36330456 | PA      | $31392383.82   | 0.38%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 4.5 RA7556 06-01-52                             | CUSIP: 3133KPMD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  14753012 | PA      | $14397788.49   | 0.17%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD1449 03-01-52                             | CUSIP: 3132DNTE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  36165912 | PA      | $31296859.01   | 0.38%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD1450 03-01-52                             | CUSIP: 3132DNTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  18092956 | PA      | $15669060.46   | 0.19%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.0 RA5288 05-01-51                             | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  29429950 | PA      | $24391572.13   | 0.29%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.0 CB0290 04-01-51                             | CUSIP: 3140QKKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10233826 | PA      | $8475173.82    | 0.10%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 QD7089 02-01-52                             | CUSIP: 3133B42W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    675531 | PA      | $620234.03     | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 BQ3005 10-01-50                             | CUSIP: 3140KNKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7648824 | PA      | $6585117.44    | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 2.5 SD1385 11-01-51                             | CUSIP: 3132DNRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6594759 | PA      | $5711305.40    | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CB1527 09-01-51                             | CUSIP: 3140QLVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  41302437 | PA      | $35509357.56   | 0.43%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 FM7900 07-01-51                             | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2429247 | PA      | $2106077.12    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 2.5 CA7257 10-01-50                             | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11484385 | PA      | $9985270.79    | 0.12%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS AE1283 12-01-41                                 | CUSIP: 31419BM93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     56616 | PA      | $57225.96      | 0.00%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.5 BK9761 08-01-48                             | CUSIP: 3140HPZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    117993 | PA      | $117946.17     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AE1274 10-01-41                             | CUSIP: 31419BMY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     59117 | PA      | $60509.74      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54701 03-01-48                                 | CUSIP: 3132XXGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    644681 | PA      | $603831.87     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q52069 11-01-47                                 | CUSIP: 3132XUJP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    876188 | PA      | $820491.01     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BJ8411 08-01-49                             | CUSIP: 3140HAKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1278249 | PA      | $1189863.10    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AE1277 11-01-41                             | CUSIP: 31419BM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    107017 | PA      | $109246.95     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BJ5015 12-01-47                             | CUSIP: 3140H6SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1207759 | PA      | $1173013.34    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BJ4901 03-01-48                             | CUSIP: 3140H6NT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    487144 | PA      | $455416.75     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BK9743 08-01-48                             | CUSIP: 3140HPZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    241201 | PA      | $233533.17     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AE1290 02-01-42                             | CUSIP: 31419BNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    104866 | PA      | $106743.70     | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BH2848 05-01-47                             | CUSIP: 3140GREW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     39435 | PA      | $37039.65      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 CA2850 12-01-48                             | CUSIP: 3140QAEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1492367 | PA      | $1462532.93    | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BE8742 05-01-47                             | CUSIP: 3140FUWC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     95586 | PA      | $89429.48      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 FM1443 09-01-49                             | CUSIP: 3140X4S98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3687443 | PA      | $3435321.18    | 0.04%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 FM1062 06-01-49                             | CUSIP: 3140X4FC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4962553 | PA      | $4638210.41    | 0.06%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 931768 08-01-39                             | CUSIP: 31412QFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     32486 | PA      | $33251.53      | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS AT0300 03-01-43                                 | CUSIP: 3138WMKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     37437 | PA      | $35302.39      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BH2847 05-01-47                             | CUSIP: 3140GREV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     30148 | PA      | $28174.51      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AD3566 10-01-35                             | CUSIP: 31418Q6C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     36542 | PA      | $36964.76      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BH2846 05-01-47                             | CUSIP: 3140GREU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     44104 | PA      | $41230.84      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q56591 06-01-48                                 | CUSIP: 3132Y0KD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    226653 | PA      | $212030.91     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 695412 06-01-33                             | CUSIP: 31400RR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      3228 | PA      | $3324.44       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54700 03-01-48                                 | CUSIP: 3132XXGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    456402 | PA      | $427292.39     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q19133 06-01-43                                 | CUSIP: 3132JASX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    181797 | PA      | $171612.17     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BK5232 05-01-48                             | CUSIP: 3140HJY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    604268 | PA      | $586882.62     | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 Q56175 05-01-48                                 | CUSIP: 3132XY2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    569670 | PA      | $553311.71     | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 AT7161 06-01-43                             | CUSIP: 3138WU5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    507186 | PA      | $478342.92     | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q55056 03-01-48                                 | CUSIP: 3132XXTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    636172 | PA      | $595465.67     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 RA1463 10-01-49                             | CUSIP: 3133KGTU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4495659 | PA      | $4219517.65    | 0.05%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54781 03-01-48                                 | CUSIP: 3132XXJ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    203497 | PA      | $190433.06     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54699 03-01-48                                 | CUSIP: 3132XXGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    125771 | PA      | $117671.06     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54831 03-01-48                                 | CUSIP: 3132XXLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    195079 | PA      | $182495.38     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BK6840 06-01-48                             | CUSIP: 3140HLS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    830029 | PA      | $805034.81     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AC0794 10-01-39                             | CUSIP: 31417J3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    118070 | PA      | $120725.45     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 AX8521 12-01-44                             | CUSIP: 3138YAPF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    102847 | PA      | $96535.19      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 QA2748 09-01-49                             | CUSIP: 31339SBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    581662 | PA      | $542554.81     | 0.01%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q28558 09-01-44                                 | CUSIP: 3132M9E75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1600533 | PA      | $1507575.50    | 0.02%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 Q55971 05-01-48                                 | CUSIP: 3132XYT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    602108 | PA      | $585221.62     | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 AR1512 01-01-43                             | CUSIP: 3138NXVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    148620 | PA      | $140328.87     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q54709 03-01-48                                 | CUSIP: 3132XXGT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    633618 | PA      | $593139.94     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q56590 06-01-48                                 | CUSIP: 3132Y0KC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    309332 | PA      | $289440.30     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 5.0 AE1248 06-01-41                             | CUSIP: 31419BL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    193688 | PA      | $198251.85     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 Q56589 06-01-48                                 | CUSIP: 3132Y0KB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     98944 | PA      | $92591.52      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 CA4151 09-01-49                             | CUSIP: 3140QBTH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6596121 | PA      | $6186205.14    | 0.07%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 Q15874 02-01-43                                 | CUSIP: 3132J66L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25464 | PA      | $24996.13      | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST CFMT_21-HB7            | CFMT 21-HB7 A 144A FRN 10-27-31/06-25-24                  | CUSIP: 12530BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9078583 | PA      | $8526341.70    | 0.10%             | 2031-10-27      | Variable      | 1.15%                 | Yes           |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-5                    | COLT 21-5 A1 144A FRN 11-26-66                            | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1247712 | PA      | $1024575.96    | 0.01%             | 2066-11-26      | Variable      | 1.73%                 | Yes           |                  2 | On Loan: No      |
| CIM TRUST CIM_22-R2                                   | CIM 22-R2 A1 144A FRN 12-25-61                            | CUSIP: 12567NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18233131 | PA      | $17172746.80   | 0.21%             | 2061-12-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST ESA_21-ESH                | ESA 21-ESH A 144A FRN (L+108) 07-15-38/26                 | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9604755 | PA      | $9254239.31    | 0.11%             | 2038-07-15      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.5 Q40896 04-01-46                                 | CUSIP: 3132WD7J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    522636 | PA      | $520223.68     | 0.01%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 4.0 AS7224 05-01-36                             | CUSIP: 3138WHA28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1442099 | PA      | $1401606.34    | 0.02%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 4.0 MA2630 05-01-36                             | CUSIP: 31418B4Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    298045 | PA      | $289677.76     | 0.00%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGTW 4.0 C91877 05-01-36                                  | CUSIP: 3128P8CN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    346148 | PA      | $336799.96     | 0.00%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGTW 4.0 K93558 05-01-36                                  | CUSIP: 3132LPZX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    516428 | PA      | $502480.07     | 0.01%             | 2036-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 4.0 MA2717 08-01-36                             | CUSIP: 31418CAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1441228 | PA      | $1400761.11    | 0.02%             | 2036-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 4.0 MA2746 09-01-36                             | CUSIP: 31418CBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2414213 | PA      | $2346424.71    | 0.03%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 4.0 MA2787 10-01-36                             | CUSIP: 31418CCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    621846 | PA      | $604385.71     | 0.01%             | 2036-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 3.5 T65389 09-01-46                                 | CUSIP: 31322Y7A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50013 | PA      | $45698.65      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGTW 4.0 C91899 09-01-36                                  | CUSIP: 3128P8DC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    568723 | PA      | $547337.02     | 0.01%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 4.0 MA2819 11-01-36                             | CUSIP: 31418CDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1283884 | PA      | $1247836.01    | 0.02%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K052   | FHMS K052 A2 (MF) 3.151% 11-25-25                         | CUSIP: 3137BMTX4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   2500000 | PA      | $2403825.00    | 0.03%             | 2025-11-25      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGTW 2.5 C91720 08-01-33                                  | CUSIP: 3128P74D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     57493 | PA      | $52999.84      | 0.00%             | 2033-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGTW 2.5 C91593 12-01-32                                  | CUSIP: 3128P7XW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     32495 | PA      | $29956.79      | 0.00%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHARM FRN 760014 08-01-45                                 | CUSIP: 31342WAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2692755 | PA      | $2606821.16    | 0.03%             | 2045-08-01      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 T65448 09-01-47                                 | CUSIP: 31323ABR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    786707 | PA      | $735105.43     | 0.01%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCK 4.5 MA3002 04-01-47                                  | CUSIP: 31418CKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    682773 | PA      | $656928.89     | 0.01%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCT UMBS 4.0 MA3186 11-01-37                             | CUSIP: 31418CRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3712719 | PA      | $3608421.01    | 0.04%             | 2037-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 5.0 Q55469 FICO 04-01-48                            | CUSIP: 3132XYCF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    840586 | PA      | $848730.99     | 0.01%             | 2048-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BD2440 01-01-47                             | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    366602 | PA      | $343077.10     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS BM2006 01-01-48                                 | CUSIP: 3140J6GQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     17524 | PA      | $16961.58      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 3.0 BJ4876 02-01-33                             | CUSIP: 3140H6M22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    398298 | PA      | $376396.78     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 3.5 CA2106 07-01-33                             | CUSIP: 3140Q9KU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     13945 | PA      | $13486.43      | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 3.5 BJ9000 11-01-33                             | CUSIP: 3140HBAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     95891 | PA      | $92531.43      | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 3.0 BJ4856 02-01-33                             | CUSIP: 3140H6ME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    107700 | PA      | $101780.55     | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 3.0 BM3919 02-01-33                             | CUSIP: 3140J8K93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      9816 | PA      | $9398.92       | 0.00%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCI UMBS 3.0 ZS8710 08-01-33                             | CUSIP: 3132A9VB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      1304 | PA      | $1232.89       | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHLMC POOL #760015 ARH5 FRN 01-01-47                      | CUSIP: 31342WAQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1022462 | PA      | $973076.93     | 0.01%             | 2047-01-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHARM FRN 760012 04-01-45                                 | CUSIP: 31342WAM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    626869 | PA      | $610189.66     | 0.01%             | 2045-04-01      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHARM FRN 760013 04-01-45                                 | CUSIP: 31342WAN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    358750 | PA      | $349869.99     | 0.00%             | 2045-04-01      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-3               | SCRT 18-3 MA 3.5% 08-25-57                                | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   3821335 | PA      | $3647055.65    | 0.04%             | 2057-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 SD7503 08-01-49                             | CUSIP: 3132DVKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  32033362 | PA      | $29908685.36   | 0.36%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.0 BO5176 11-01-49                             | CUSIP: 3140K0XE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4612730 | PA      | $4169294.82    | 0.05%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.0 QA4673 11-01-49                             | CUSIP: 31346YFN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6314385 | PA      | $5706947.72    | 0.07%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCI UMBS 2.5 BO6247 12-01-34                             | CUSIP: 3140K15H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4966777 | PA      | $4624303.17    | 0.06%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCI UMBS 2.5 ZS8087 04-01-33                             | CUSIP: 3132A86Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     24043 | PA      | $22728.76      | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCI UMBS 2.5 ZS8675 11-01-32                             | CUSIP: 3132A9T80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      8041 | PA      | $7601.99       | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCI UMBS 3.0 SB8041 04-01-35                             | CUSIP: 3132D55A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |       669 | PA      | $633.49        | 0.00%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                | FGLMC 4.0 G67711 03-01-48                                 | CUSIP: 3132XCR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14528063 | PA      | $14125519.67   | 0.17%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 RA1580 10-01-49                             | CUSIP: 3133KGXH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   4614062 | PA      | $4328991.40    | 0.05%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FNCL UMBS 3.5 QA0284 06-01-49                             | CUSIP: 31334WJ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2229213 | PA      | $2076171.27    | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 932606 02-01-40                                 | CUSIP: 31412RDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     51383 | PA      | $51996.88      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 3.5 BE5009 01-01-45                             | CUSIP: 3140FQR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    394845 | PA      | $371176.03     | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                 | FNCL UMBS 4.0 BH3122 06-01-47                             | CUSIP: 3140GRPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     39649 | PA      | $38651.50      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                       | FHMS K032 A2 (MF) 3.31% 05-25-23                          | CUSIP: 3137B4GY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   2400000 | PA      | $2377800.00    | 0.03%             | 2023-05-25      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.625% 04-15-23                       | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32880494 | PA      | $32623431.27   | 0.39%             | 2023-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 1.0% 02-15-49                         | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35857408 | PA      | $31480081.60   | 0.38%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.5% 04-15-24                         | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 153783802 | PA      | $150107386.29  | 1.82%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 10-15-24                           | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8873502 | PA      | $8593432.92    | 0.10%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.625% 01-15-24                       | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 324839720 | PA      | $318851361.06  | 3.86%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.375% 11-15-40                          | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3168400 | PA      | $2106712.88    | 0.03%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 01-15-31                           | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 114018000 | PA      | $103471300.00  | 1.25%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.875% 02-15-51                          | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11600000 | PA      | $7666492.20    | 0.09%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.875% 02-15-41                          | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35112400 | PA      | $25446072.15   | 0.31%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 0.875% 09-30-26                          | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9000000 | PA      | $8024022.90    | 0.10%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 1.375% 12-31-28                          | CUSIP: 91282CDP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2616619.20    | 0.03%             | 2028-12-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.75% 01-31-29                           | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22000000 | PA      | $19565937.60   | 0.24%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 1.875% 02-15-32                          | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $8628281.00    | 0.10%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 3.0% 07-31-24                            | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45000000 | PA      | $43947058.50   | 0.53%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L FRN 0.125% 07-15-24                       | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 107859125 | PA      | $104808092.36  | 1.27%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | U S TREASURY BILL 12/1/2022                               | CUSIP: 912796P94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50000000 | PA      | $49995985.00   | 0.60%             | 2022-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | U S TREASURY BILL 12/15/2022                              | CUSIP: 912796X79<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 144200000 | PA      | $144024551.86  | 1.74%             | 2022-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 2.125% 02-15-41                           | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    650563 | PA      | $706466.40     | 0.01%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.75% 02-15-42                            | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39819965 | PA      | $34320793.79   | 0.42%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.125% 01-15-23                           | CUSIP: 912828UH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  60887745 | PA      | $60811840.42   | 0.74%             | 2023-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY I/L 0.375% 07-15-23                           | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51016000 | PA      | $50472200.00   | 0.61%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 1.5% 01-31-27                            | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $27249207.00   | 0.33%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 1.625% 05-15-31                          | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $5139496.80    | 0.06%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 1.25% 05-31-28                           | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3800000 | PA      | $3323678.36    | 0.04%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 1.25% 06-30-28                           | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19000000 | PA      | $16584558.50   | 0.20%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.0% 08-15-51                            | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $7491768.90    | 0.09%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 1.25% 08-15-31                           | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $4950063.00    | 0.06%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY NOTE 1.50% 11-30-28                           | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $3513501.20    | 0.04%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                | US TREASURY BOND 2.875% 05-15-32                          | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5822000 | PA      | $5464746.36    | 0.07%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST ARRW_19-1                       | ARRW 19-1 A1 144A FRN 01-25-49                            | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     70176 | PA      | $64811.24      | 0.00%             | 2049-01-25      | Variable      | 3.81%                 | Yes           |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST ARRW_21-1R                      | ARRW 21-1R A1 144A FRN 10-25-48                           | CUSIP: 042853AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3543809 | PA      | $2814762.48    | 0.03%             | 2048-10-25      | Variable      | 1.18%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-SOAR               | BX 21-SOAR A 144A FRN (L+67) 06-15-38/23                  | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17263228 | PA      | $16553743.43   | 0.20%             | 2038-06-15      | Variable      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST BX_21-VOLT               | BX 21-VOLT A 144A FRN (L+70) 09-15-36/23                  | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26900000 | PA      | $25788115.40   | 0.31%             | 2036-09-15      | Variable      | 4.58%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST BX_21-ARIA                                   | BX 21-ARIA A 144A FRN (L+89.91) 10-15-36/26               | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19921000 | PA      | $18740242.49   | 0.23%             | 2036-10-15      | Variable      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| BX TRUST BX_21-RISE                                   | BX 21-RISE A 144A FRN (L+74.75) 11-15-36/23               | CUSIP: 12434EAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7000000 | PA      | $6673331.00    | 0.08%             | 2036-11-15      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_22-RPL1         | BRAVO 22-RPL1 A1 144A 2.75% 09-25-61                      | CUSIP: 10569XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3060791 | PA      | $2737494.92    | 0.03%             | 2061-09-25      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| BPR TRUST BPR_22-OANA                                 | BPR 22-OANA A 144A FRN (TSFR1M+189.8) 04-15-37/24         | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7487000 | PA      | $7302894.67    | 0.09%             | 2037-04-15      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| BOCA COMMERCIAL MORTGAGE TRUST 22-BOCA                | BOCA 22-BOCA A 144A FRN (TSFR1M+176.96) 05-15-39/05-17-27 | CUSIP: 05592LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6857000 | PA      | $6654478.51    | 0.08%             | 2039-05-15      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-CSMO                | BX 22-CSMO A 144A FRN (TSFR1M+211.48) 06-15-27            | CUSIP: 05610MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7875000 | PA      | $7808999.63    | 0.09%             | 2027-06-15      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST CSMC_19-RPL1  | CSMC 19-RPL1 A1A 144A FRN 07-25-58                        | CUSIP: 12596MAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1722353 | PA      | $1639570.11    | 0.02%             | 2058-07-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST CFMT_20-HB4            | CFMT 20-HB4 A 144A FRN 12-26-30/04-25-23                  | CUSIP: 12529LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7065770 | PA      | $6848278.45    | 0.08%             | 2030-12-26      | Variable      | 0.95%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST CSMC_21-RPL3             | CSMC 21-RPL3 A1 144A FRN 01-25-60                         | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12325240 | PA      | $10564382.45   | 0.13%             | 2060-01-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST CFMT_21-HB6            | CFMT 21-HB6 A 144A FRN 06-25-36                           | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  29156384 | PA      | $27595322.01   | 0.33%             | 2036-06-25      | Variable      | 0.90%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-26

**Name of Applicant:** American Funds Mortgage Fund

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Analyst