# EDGAR Filing Document

**Accession Number:** 0001336050
**File Stem:** 0001752724-23-002205
**Filing Date:** 2023-1
**Character Count:** 95181
**Document Hash:** 353db769c2dd8c9a2f1f4c6056eb0032
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-002205.hdr.sgml**: 20230117

**ACCESSION NUMBER**: 0001752724-23-002205

**CONFORMED SUBMISSION TYPE**: NPORT-P/A

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20220930

**FILED AS OF DATE**: 20230117

**DATE AS OF CHANGE**: 20230117

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Enhanced Government Fund, Inc.
- **CENTRAL INDEX KEY:** 0001336050
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD

**FILING VALUES:**
- **FORM TYPE:** NPORT-P/A
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21793
- **FILM NUMBER:** 23530868

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Enhanced Government Fund
- **DATE OF NAME CHANGE:** 20051027

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Enhanced Government Income Fund
- **DATE OF NAME CHANGE:** 20050812

## Nport-Ex

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) <br> September 30, 2022 | **BlackRock Enhanced Government Fund, Inc. (EGF)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities** |  |  |  |
|  AMMC CLO 20 Ltd., Series 2017-20A, Class AR, (3 mo. LIBOR US + 0.87%), 3.61%,<br>04/17/29<sup>(a)(b)</sup> | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;144 | $&nbsp;&nbsp;&nbsp;&nbsp;142137 |
|  Birch Grove CLO Ltd., Series 19A, Class CR, (3 mo. LIBOR US + 2.20%), 5.49%,<br>06/15/31<sup>(a)(b)</sup> |  | 300 | 279703 |
|  BlueMountain CLO XXV Ltd., Series 2019-25A, Class BR, (3 mo. LIBOR US + 1.70%), 4.21%, 07/15/36<sup>(a)(b)</sup> |  | 250 | 233668 |
|  Dryden 53 CLO Ltd., Series 2017-53A, Class B, (3 mo. LIBOR US + 1.40%), 3.91%,<br>01/15/31<sup>(a)(b)</sup> |  | 250 | 236604 |
|  Elmwood CLO X Ltd., Series 2021-3A, Class C, (3 mo. LIBOR US + 1.95%), 4.66%,<br>10/20/34<sup>(a)(b)</sup> |  | 500 | 456208 |
|  Neuberger Berman Loan Advisers CLO 35 Ltd., Series 2019-35A, Class C, (3 mo. LIBOR US + 2.60%), 5.34%, 01/19/33<sup>(a)(b)</sup> |  | 250 | 233208 |
|  OCP CLO Ltd., Series 2019-17A, Class BR, (3 mo. LIBOR US + 1.60%), 4.31%,<br>07/20/32<sup>(a)(b)</sup> |  | 250 | 231788 |
|  OHA Credit Funding 4 Ltd., Series 2019-4A, Class CR, (3 mo. LIBOR US + 2.05%), 4.81%, 10/22/36<sup>(a)(b)</sup> |  | 250 | 224770 |
|  Palmer Square CLO Ltd., Series 2015-1A,<br>Class BR4, (3 mo. LIBOR US + 1.85%), 4.83%, 05/21/34<sup>(a)(b)</sup> |  | 250 | 224132 |
|  Securitized Asset-Backed Receivables LLC Trust, Series 2005-OP1, Class M2, (1 mo. LIBOR US + 0.68%), 3.76%, 01/25/35<sup>(a)</sup> |  | 135 | 125094 |
|  Trimaran CAVU Ltd., Series 2019-1A, Class C1, (3 mo. LIBOR US + 3.15%), 5.86%,<br>07/20/32<sup>(a)(b)</sup> |  | 250 | 236022 |
|  **Total Asset-Backed Securities — 6.2%<br>(Cost: $2,802,039)** | **Total Asset-Backed Securities — 6.2%<br>(Cost: $2,802,039)** | **Total Asset-Backed Securities — 6.2%<br>(Cost: $2,802,039)** | &nbsp;&nbsp;&nbsp;&nbsp;2623334 |
|  **Corporate Bonds** |  |  |  |
| **Aerospace & Defense — 0.1%** |  |  |  |
|  Boeing Co., 3.63%, 02/01/31 |  | 50 | 41502 |
| **Beverages — 0.2%** |  |  |  |
|  Anheuser-Busch InBev Worldwide, Inc., 3.50%, 06/01/30 |  | 100 | 89267 |
| **Capital Markets — 0.3%** |  |  |  |
|  Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00%<sup>(a)(c)</sup> |  | 150 | 110188 |
| **Diversified Financial Services — 0.2%** |  |  |  |
|  Morgan Stanley, (1 day SOFR + 3.12%), 3.62%, 04/01/31<sup>(a)</sup> |  | 75 | 64817 |
| **Diversified Telecommunication Services — 0.4%** | **Diversified Telecommunication Services — 0.4%** | **Diversified Telecommunication Services — 0.4%** |  |
|  Verizon Communications, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 01/20/31 |  | 75 | 56247 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 03/21/31 |  | 130 | 103796 |
|  |  |  | 160043 |
| **Health Care Providers & Services — 0.1%** | **Health Care Providers & Services — 0.1%** | **Health Care Providers & Services — 0.1%** |  |
|  Elevance Health, Inc., 2.55%, 03/15/31 |  | 75 | 60469 |
| **Media — 0.2%** |  |  |  |
|  Comcast Corp., 3.40%, 04/01/30 |  | 120 | 105542 |
| **Pharmaceuticals — 0.3%** |  |  |  |
|  AbbVie, Inc., 2.95%, 11/21/26 |  | 125 | 114520 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Par<br>(000)* | *Value* |
| **Software — 0.2%** |  |  |  |
|  Oracle Corp., 2.88%, 03/25/31 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;125 | $98583 |
|  **Total Corporate Bonds — 2.0%<br>(Cost: $966,097)** | **Total Corporate Bonds — 2.0%<br>(Cost: $966,097)** | **Total Corporate Bonds — 2.0%<br>(Cost: $966,097)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;844931 |
|  **Foreign Agency Obligations** |  |  |  |
| **Supranational — 0.8%** |  |  |  |
|  International Bank for Reconstruction & Development, Series C, 0.00%, 09/17/30<sup>(d)</sup> |  | 500 | 357736 |
|  **Total Foreign Agency Obligations — 0.8%<br>(Cost: $443,865)** | **Total Foreign Agency Obligations — 0.8%<br>(Cost: $443,865)** | **Total Foreign Agency Obligations — 0.8%<br>(Cost: $443,865)** | 357736 |
|  **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations — 5.9%** | **Collateralized Mortgage Obligations — 5.9%** | **Collateralized Mortgage Obligations — 5.9%** |  |
|  Angel Oak Mortgage Trust, Class A1, 2.88%, 12/25/66<sup>(b)</sup>  |  | 71 | 61405 |
|  Bank of America Mortgage Trust, Series 2003-J, Class 2A1, 2.49%, 11/25/33<sup>(a)</sup> |  | 19 | 17048 |
|  BRAVO Residential Funding Trust, Series 2021-NQM1, Class A1, 0.94%, 02/25/49<sup>(a)(b)</sup> |  | 64 | 58527 |
|  Chase Home Lending Mortgage Trust, Class A12, 6.50%, 04/25/49<sup>(a)(b)</sup> |  | 41 | 39106 |
|  COLT Mortgage Loan Trust<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class A1, 5.16%, 04/25/67 |  | 242 | 234991 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 4.55%, 04/25/67<sup>(a)</sup> |  | 108 | 102514 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 2.99%, 02/25/67 |  | 134 | 118650 |
|  Credit Suisse Mortgage Capital Certificates Trust, Class A, 2.87%, 01/25/67<sup>(a)(b)</sup> |  | 134 | 123964 |
|  Ellington Financial Mortgage Trust, Series 2022-1, Class A1, 2.21%, 01/25/67<sup>(a)(b)</sup> |  | 251 | 211362 |
|  GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ2, Class A4, 2.50%,<br>06/25/52<sup>(a)(b)</sup> |  | 94 | 74530 |
|  GS Mortgage-Backed Securities Trust<sup>(a)(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 11/25/51 |  | 88 | 70065 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-PJ7, Class A2, 2.50%, 01/25/52 |  | 177 | 140962 |
|  JP Morgan Mortgage Trust, Series 2022-INV3, Class A3B, 3.00%, 09/25/52<sup>(a)(b)</sup> |  | 94 | 77256 |
|  Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A3, 3.00%, 04/25/52<sup>(a)(b)</sup> |  | 97 | 79686 |
|  MFA Trust<sup>(a)(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-NQM1, Class A1, 1.48%, 03/25/65 |  | 80 | 76964 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM1, Class M1, 2.31%, 04/25/65 |  | 250 | 225785 |
|  OBX Trust, Series 2022-INC3, Class A1, 3.00%, 02/25/52<sup>(a)(b)</sup> |  | 95 | 78503 |
|  RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, 02/25/52<sup>(a)(b)</sup> |  | 95 | 78292 |
|  STAR Trust, Series 2021-1, Class M1, 2.36%, 05/25/65<sup>(a)(b)</sup> |  | 200 | 185308 |
|  TRK Trust, Series 2021-INV2, Class A1, 1.97%, 11/25/56<sup>(a)(b)</sup> |  | 157 | 136497 |
|  Verus Securitization Trust<sup>(b)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class A1, 5.15%, 07/25/67 |  | 146 | 144075 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 2.72%, 01/25/67 |  | 92 | 81269 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class A1, 4.13%, 02/25/67 |  | 93 | 84948 |
|  |  |  | 2501707 |

---

1<br>

------

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued)<br> September 30, 2022 | **BlackRock Enhanced Government Fund, Inc. (EGF)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Value* |
| **Interest Only Collateralized Mortgage Obligations — 0.0%** | **Interest Only Collateralized Mortgage Obligations — 0.0%** | **Interest Only Collateralized Mortgage Obligations — 0.0%** |
|  CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37 | $72 | $12895 |
|  **Total Non-Agency Mortgage-Backed Securities — 5.9%<br>(Cost: $2,779,146)** | **Total Non-Agency Mortgage-Backed Securities — 5.9%<br>(Cost: $2,779,146)** | 2514602 |
|  **Preferred Securities** |  |  |
| **Capital Trusts — 3.2%<sup>(a)</sup>** |  |  |
| **Banks<sup>(c)</sup> — 0.7%** |  |  |
|  U.S. Bancorp, 3.70% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;180 | 135873 |
|  Wells Fargo & Co., Series U, 5.88% | 160 | 152328 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;288201 |
| **Capital Markets — 0.3%** |  |  |
|  Bank of New York Mellon Corp.,<br>Series I, 3.75%<sup>(c)</sup> | 175 | 135187 |
| **Diversified Financial Services<sup>(c)</sup> — 1.6%** |  |  |
|  Bank of America Corp., Series FF, 5.88% | 360 | 308700 |
|  JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series FF, 5.00% | 175 | 157806 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series KK, 3.65% | 265 | 214600 |
|  |  | 681106 |
| **Electric Utilities — 0.6%** |  |  |
|  PPL Capital Funding, Inc., Series A, 6.34%, 03/30/67 | 285 | 238395 |
|  |  | 1342889 |
|  **Total Preferred Securities — 3.2%<br>(Cost: $1,637,449)** | **Total Preferred Securities — 3.2%<br>(Cost: $1,637,449)** | 1342889 |
|  **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Collateralized Mortgage Obligations — 9.3%** | **Collateralized Mortgage Obligations — 9.3%** | **Collateralized Mortgage Obligations — 9.3%** |
|  Fannie Mae REMICS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-73, Class KE, 3.00%, 07/25/43 | 500 | 424710 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-90, Class WB, 3.00%, 11/25/47 | 433 | 348562 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-25, Class KL, 4.00%, 05/25/52 | 1000 | 908129 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-31, Class BZ, 4.00%, 10/25/51 | 669 | 572255 |
|  Freddie Mac REMICS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/25/44 | 400 | 340826 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/25/49 | 504 | 389870 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4398, Class ZX, 4.00%, 09/15/54 | 343 | 314713 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4480, Class ZX, 4.00%, 11/15/44 | 700 | 668938 |
|  |  | 3968003 |
| **Commercial Mortgage-Backed Securities — 0.0%** | **Commercial Mortgage-Backed Securities — 0.0%** | **Commercial Mortgage-Backed Securities — 0.0%** |
|  Ginnie Mae, Series 2006-30, Class IO, 2.73%, 05/16/46<sup>(a)</sup> | 50 | 3 |
| **Interest Only Collateralized Mortgage Obligations — 0.4%** | **Interest Only Collateralized Mortgage Obligations — 0.4%** | **Interest Only Collateralized Mortgage Obligations — 0.4%** |
|  Fannie Mae REMICS, Series 2012-47, Class NI, 4.50%, 04/25/42 | 226 | 47768 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* | *Par<br>(000)* | *Par<br>(000)* | *Value* | *Value* |
| **Interest Only Collateralized Mortgage Obligations (continued)** | **Interest Only Collateralized Mortgage Obligations (continued)** | **Interest Only Collateralized Mortgage Obligations (continued)** | **Interest Only Collateralized Mortgage Obligations (continued)** | **Interest Only Collateralized Mortgage Obligations (continued)** |
|  Ginnie Mae<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 3.53%, 12/16/39 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130 | $| 9885 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 3.73%, 04/16/41 |  | 1343 |  | 98847 |
|  |  |  |  | 156500 |
| **Mortgage-Backed Securities — 52.0%** | **Mortgage-Backed Securities — 52.0%** | **Mortgage-Backed Securities — 52.0%** | **Mortgage-Backed Securities — 52.0%** | **Mortgage-Backed Securities — 52.0%** |
|  Freddie Mac Mortgage-Backed Securities, 3.50%, 08/01/33 - 01/01/46 |  | 1758 |  | 1640922 |
|  Ginnie Mae Mortgage-Backed Securities, 5.00%, 11/15/35 |  | 2 |  | 1596 |
|  Uniform Mortgage-Backed Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 10/01/23 - 09/01/36 |  | 893 |  | 919910 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/01/24 - 10/13/52<sup>(e)</sup> |  | 8336 |  | 7882848 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 10/01/28 |  | 1046 |  | 998648 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/01/33 - 02/01/40 |  | 1882 |  | 1903319 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/01/34 - 04/01/52 |  | 2169 |  | 2012817 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 02/01/36 - 03/01/38 |  | 85 |  | 88770 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/39 - 11/14/52<sup>(e)</sup> |  | 4343 |  | 4200662 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/43 - 05/01/52 |  | 2874 |  | 2557295 |
|  |  |  |  | 22206787 |
|  **Total U.S. Government Sponsored Agency Securities — 61.7%<br>(Cost: $28,324,472)** | **Total U.S. Government Sponsored Agency Securities — 61.7%<br>(Cost: $28,324,472)** | **Total U.S. Government Sponsored Agency Securities — 61.7%<br>(Cost: $28,324,472)** |  | 26331293 |
|  **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** |
|  U.S. Treasury Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 02/15/41 - 02/15/51<sup>(f)</sup> |  | 4245 |  | 2883459 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 08/15/42 |  | 900 |  | 815203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 08/15/48 |  | 5100 |  | 4313484 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 05/15/51 |  | 700 |  | 523687 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/15/51 |  | 950 |  | 648895 |
|  U.S. Treasury Notes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 05/31/24 |  | 4930 |  | 4748014 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 07/31/25 |  | 9230 |  | 8892168 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 03/31/28 - 08/15/31 |  | 1220 |  | 1024885 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 02/15/31 |  | 2090 |  | 1692329 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 05/15/31 |  | 600 |  | 503625 |
|  **Total U.S. Treasury Obligations — 61.0%<br>(Cost: $29,582,148)** | **Total U.S. Treasury Obligations — 61.0%<br>(Cost: $29,582,148)** | **Total U.S. Treasury Obligations — 61.0%<br>(Cost: $29,582,148)** |  | 26045749 |
|  **Total Long-Term Investments — 140.8%<br>(Cost: $66,535,216)** | **Total Long-Term Investments — 140.8%<br>(Cost: $66,535,216)** | **Total Long-Term Investments — 140.8%<br>(Cost: $66,535,216)** |  | 60060534 |

---

S C H E D U L E O F I N V E S T M E N T S 2

------

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued)<br> September 30, 2022 | **BlackRock Enhanced Government Fund, Inc. (EGF)**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | <br> *Shares* | *Value* |
|  **Short-Term Securities** |  |  |
| **Money Market Funds — 4.7%** |  |  |
|  BlackRock Liquidity Funds, T-Fund, Institutional Class, 2.79%<sup>(g)(h)</sup> | 2014927 | $2014927 |
|  **Total Short-Term Securities — 4.7%<br>(Cost: $2,014,927)** | **Total Short-Term Securities — 4.7%<br>(Cost: $2,014,927)** | 2014927 |
|  **Total Investments Before TBA Sale Commitments and Options Written — 145.5%<br>(Cost: $68,550,143)** | **Total Investments Before TBA Sale Commitments and Options Written — 145.5%<br>(Cost: $68,550,143)** | 62075461 |
|  | *Par<br>(000)* |  |
| **TBA Sale Commitments** |  |  |
| **Mortgage-Backed Securities — (1.1)%** | **Mortgage-Backed Securities — (1.1)%** | **Mortgage-Backed Securities — (1.1)%** |
|  Uniform Mortgage-Backed Securities, 4.50%, 10/13/52<sup>(e)</sup> | $(500) | (476289) |
|  **Total TBA Sale Commitments — (1.1)%<br>(Proceeds: $(478235))** | **Total TBA Sale Commitments — (1.1)%<br>(Proceeds: $(478235))** | (476289) |
|  **Options Written — (0.6)%<br>(Premiums Received: $(245000))** | **Options Written — (0.6)%<br>(Premiums Received: $(245000))** | (245000) |
|  **Total Investments, Net of TBA Sale Commitments and Options Written — 143.8%<br>(Cost: $67,826,908)** | **Total Investments, Net of TBA Sale Commitments and Options Written — 143.8%<br>(Cost: $67,826,908)** | 61354172 |
|  **Liabilities in Excess of Other Assets — (43.8)%** | **Liabilities in Excess of Other Assets — (43.8)%** | (18680321) |
|  **Net Assets — 100.0%** | **Net Assets — 100.0%** | $42673851 |

---

<sup>(a)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

<sup>(b)</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

<sup>(c)</sup> Perpetual security with no stated maturity date. <sup></sup>

<sup>(d)</sup> Zero-coupon bond.

<sup>(e)</sup> Represents or includes a TBA transaction.

<sup>(f)</sup> All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

<sup>(g)</sup> Affiliate of the Fund.

<sup>(h)</sup> Annualized 7-day yield as of period end.

**Affiliates** 

Investments in issuers considered to be affiliate(s) of the Fund during the period ended September 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>12/31/21* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Value at<br>09/30/22* | *Shares<br>Held at<br>09/30/22* | *Income* | *Capital Gain<br>Distributions<br>from<br>Underlying<br>Funds* |
|  BlackRock Liquidity Funds, T-Fund, Institutional Class | $4355867 | $– $| (2340940)<sup>(a)</sup> | $– $– $| 2014927 | 2014927 | $8247 | $— |

---

<sup>(a)</sup> Represents net amount purchased (sold). 

**Reverse Repurchase Agreements** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  *Counterparty* | *Interest<br>Rate* | *Trade<br>Date* | *Maturity<br>Date* | *<br><sup>(a)</sup>* | *Face Value* | | *Face Value<br>Including<br>Accrued Interest* | *Type of Non-Cash Underlying<br>Collateral* | *Remaining* <br> *Contractual Maturity* <br> *of the Agreements<sup>(a)</sup>* |
|  Credit Agricole Corporate and Investment Bank | 3.07 %<sup>(b)</sup> | 07/18/22 | Open |  | $4788735 |  | $4806995 | U.S. Treasury Obligations | Open/Demand |
|  Credit Agricole Corporate and Investment Bank | 2.60 | 09/30/22 | 10/03/22 |  | 8953100 |  | 8953100 | U.S. Treasury Obligations | Up to 30 Days |
|  Credit Agricole Corporate and Investment Bank | 2.65 | 09/30/22 | 10/03/22 |  | 832500 |  | 832500 | U.S. Treasury Obligations | Up to 30 Days |
|  Credit Agricole Corporate and Investment Bank | 3.07 | 09/30/22 | 10/03/22 |  | 1942500 |  | 1942500 | U.S. Treasury Obligations | Up to 30 Days |
|  |  |  |  |  | $16516835 |  | $16535095 |  |  |

---

<sup>(a)</sup> Certain agreements have no stated maturity and can be terminated by either party at any time.

<sup>(b)</sup> Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

3<br>

------

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued)<br> September 30, 2022 | **BlackRock Enhanced Government Fund, Inc. (EGF)**<br>|

---

**Derivative Financial Instruments Outstanding as of Period End** 

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount (000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Ultra Long Treasury Note | 23 | 12/20/22 | $2726 | $(176083) |
|  Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Japanese Government Treasury Bonds | 1 | 12/13/22 | 1025 | 3176 |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year U.S. Treasury Note | 28 | 12/20/22 | 3138 | 102108 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Long Bond | 4 | 12/20/22 | 506 | 14742 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ultra U.S. Treasury Bond | 39 | 12/20/22 | 5331 | 444287 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year U.S. Treasury Note | 15 | 12/30/22 | 3080 | 23376 |
|  |  |  |  | 587689 |
|  |  |  |  | $411606 |

---

**OTC Interest Rate Swaptions Written** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund |  | *Expiration* | *Exercise* |  | *Notional* |  |
| *Description* | *Rate* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Date* | *Rate* | *Amount (000)* | *Amount (000)* | *Value* |
|  Call |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 10/30/32 | 3.58% | Semi-Annual | 1-Day SOFR,<br>3.07% | Quarterly | Bank of America N.A. | 10/28/22 | 3.59% | USD | 4052 | $(66865) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 10/30/24 | 4.24% | Semi-Annual | 1-Day SOFR,<br>3.07% | Quarterly | Bank of America N.A. | 10/28/22 | 4.24 | USD | 19453 | (62522) |
| &nbsp;&nbsp;&nbsp;&nbsp; 30-Year Interest Rate Swap, 10/30/52 | 3.06% | Semi-Annual | 1-Day SOFR,<br>3.07% | Quarterly | Bank of America N.A. | 10/28/22 | 3.06 | USD | 1621 | (50118) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5-Year Interest Rate Swap, 10/30/27 | 3.81% | Semi-Annual | 1-Day SOFR,<br>3.07% | Quarterly | Bank of America N.A. | 10/28/22 | 3.81 | USD | 7295 | (65495) |
|  |  |  |  |  |  |  |  |  |  | $(245000) |

---

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  |  |  |  |  | *Upfront* |  |
|  |  |  |  |  |  |  |  |  | *Premium* | *Unrealized* |
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund | *Effective* | *Termination* |  | *Notional* |  | *Paid* | *Appreciation* |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Date* | *Date* | *Amount (000)* | *Amount (000)* | *Value* | *(Received)* | *(Depreciation)* |
| 1.61% | Semi-Annual | 3-Month LIBOR, 3.75% | Quarterly | N/A | 03/28/32 | USD | 850 | $152035 | $— | $152035 |
| 1.66% | Semi-Annual | 3-Month LIBOR, 3.75% | Quarterly | N/A | 04/25/32 | USD | 1200 | 208361 |  | 208361 |
| 3-Month LIBOR, 3.75% | Quarterly | 1.92% | Semi-Annual | N/A | 10/27/41 | USD | 250 | (60161) | (596) | (59565) |
| 3-Month LIBOR, 3.75% | Quarterly | 1.75% | Semi-Annual | N/A | 11/09/41 | USD | 400 | (105566) | (656) | (104910) |
| 2.87% | Annual | 1-Day SOFR, 3.07% | Annual | N/A | 05/11/42 | USD | 300 | 20561 | 7 | 20554 |
| 1.91% | Semi-Annual | 3-Month LIBOR, 3.75% | Quarterly | N/A | 10/28/51 | USD | 230 | 61427 | 544 | 60883 |
| 3-Month LIBOR, 3.75% | Quarterly | 1.77% | Semi-Annual | N/A | 11/01/51 | USD | 1000 | (293390) | (2055) | (291335) |
|  |  |  |  |  |  |  |  | $(16733) | $(2756) | $(13977) |

---

S C H E D U L E O F I N V E S T M E N T S 4

------

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued)<br> September 30, 2022 | **BlackRock Enhanced Government Fund, Inc. (EGF)**<br>|

---

**OTC Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate Received<br>by the Fund* | *Payment<br>Frequency* | *Counterparty* | *Termination<br>Date* | *Credit<br>Rating<sup>(a)</sup>* | *Notional* <br> *Amount (000)<sup>(b)</sup>* | *Notional* <br> *Amount (000)<sup>(b)</sup>* | *Value* | *Upfront<br>Premium<br>Paid*<br> *(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  CMBX.NA.9 | 3.00% | Monthly | Goldman Sachs International | 09/17/58 | NR | USD | 100 | $(19441) | $(10740) | $(8701) |
|  CMBX.NA.9 | 3.00 | Monthly | Goldman Sachs International | 09/17/58 | NR | USD | 67 | (12961) | (6837) | (6124) |
|  CMBX.NA.9 | 3.00 | Monthly | Morgan Stanley &<br>Co. International PLC | 09/17/58 | NR | USD | 41 | (7970) | (4429) | (3541) |
|  CMBX.NA.9 | 3.00 | Monthly | Morgan Stanley &<br>Co. International PLC | 09/17/58 | NR | USD | 33 | (6480) | (3392) | (3088) |
|  |  |  |  |  |  |  |  | $(46852) | $(25398) | $(21454) |

---

<sup>(a)</sup> Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

<sup>(b)</sup> The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. 

**Fair Value Hierarchy as of Period End** 

Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund
has the ability to access;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in
markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable
inputs are not available (including the Valuation Committee's assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund's policy regarding valuation of financial instruments, refer to its most recent financial statements.

The following table summarizes the Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
|  Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $2623334 | $— | $2623334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 844931 |  | 844931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Agency Obligations |  | 357736 |  | 357736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities |  | 2514602 |  | 2514602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Capital Trusts |  | 1342889 |  | 1342889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities |  | 26331293 |  | 26331293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations |  | 26045749 |  | 26045749 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 2014927 |  |  | 2014927 |
|  Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments |  | (476289) |  | (476289) |
|  | $2014927 | $59584245 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $61599172 |
|  Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | $587689 | $441833 | $— | $1029522 |

---

5<br>

------

---

| | |
|:---|:---|
| Schedule of Investments (unaudited) (continued)<br> September 30, 2022 | **BlackRock Enhanced Government Fund, Inc. (EGF)**<br>|

---

**Fair Value Hierarchy as of Period End (continued)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | $— | $(21454) | $— | $(21454) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (176083) | (700810) |  | (876893) |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;411606 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(280431) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;131175 |

---

<sup>(a)</sup> Derivative financial instruments are swaps, futures contracts and options written. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial reporting purposes. As of period end, reverse repurchase agreements of $16,535,095 are categorized as Level 2 within the fair value hierarchy.

**Currency Abbreviation** 

 <br> USD United States Dollar

**Portfolio Abbreviation** 

---

| | |
|:---|:---|
| CLO | Collateralized Loan Obligation |
| CMT | Constant Maturity Treasury |
| LIBOR | London Interbank Offered Rate |
| SOFR | Secured Overnight Financing Rate |
| TBA | To-Be-Announced |

---

S C H E D U L E O F I N V E S T M E N T S 6

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Enhanced Government Fund, Inc.

- **b. Investment Company Act file number:** 811-21793

- **c. CIK number of Registrant:** 0001336050

- **d. LEI of Registrant:** NL5N0CUZJSJCO40JHD64

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

  - **Street Address 1:** 100 BELLEVUE PARKWAY

  - **City:** WILMINGTON

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Enhanced Government Fund, Inc.

- **c. LEI of Series:** NL5N0CUZJSJCO40JHD64

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-09-30

**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:** $63400071.62

**Total Liabilities:** $20720336.98

**Net Assets:** $42679734.64

**Cash Not Reported:** $595382.79

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2031.67000000 | **1-Year:** 238.24000000 | **5-Year:** 10293.24000000 | **10-Year:** 2252.04000000 | **30-Year:** 6304.87000000

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

- **3-Month:** -6804.72000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** -1444.76000000 | **30-Year:** 1571.94000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 1.93%                | -2.65%               | -4.68%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $18895.50                | $1312931.27                                |
| Month 2  | $-621553.69              | $-1156264.34                               |
| Month 3  | $-3062.26                | $-2744331.93                               |

**Designated Index Information**

- **Index Name:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

- **Index Identifier:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                      | Freddie Mac REMICS                                      | CUSIP: 3137H7WJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $340825.92    | 0.80%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140HMP40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7795 | PA      | $7562.92      | 0.02%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                          | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     75000 | PA      | $64817.18     | 0.15%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: USD 1.913500 28-OCT-2051                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    230000 | OU      | $60338.37     | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                  | BRAVO Residential Funding Trust 2021-NQM1               | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63726 | PA      | $58527.50     | 0.14%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                        | CUSIP: 949746RN3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    160000 | PA      | $152327.67    | 0.36%             | 2025-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31416NCW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204791 | PA      | $200824.20    | 0.47%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140QQH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159000 | PA      | $162564.84    | 0.38%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                             | BlueMountain CLO XXV Ltd                                | CUSIP: 09627FAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $233668.00    | 0.55%             | 2036-07-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                           | Verizon Communications Inc                              | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    130000 | PA      | $103795.65    | 0.24%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31415XFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3370 | PA      | $3361.82      | 0.01%             | 2023-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2021-PJ7            | CUSIP: 36262CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177511 | PA      | $140961.78    | 0.33%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31410F2Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227005 | PA      | $228544.80    | 0.54%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31418RMG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39610 | PA      | $38296.12     | 0.09%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL               | SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)                       | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |     41000 | OU      | $-7970.68     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| American Money Management Corporation            | Ammc Clo 20 Ltd                                         | CUSIP: 00177TAJ2<br>LEI: 549300LDRXVT7PCHV066 | Long             | ABS-CBDO         | CORP              | KY        |    144090 | PA      | $142136.50    | 0.33%             | 2029-04-17      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Trust 2021-PJ6            | CUSIP: 36262LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88232 | PA      | $70064.84     | 0.16%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-1                       | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92255 | PA      | $81268.88     | 0.19%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: USD 1.773500 01-NOV-2051                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1000000 | OU      | $-293390.16   | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                       | CUSIP: 3136BMXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $908128.80    | 2.13%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2022-5 Mortgage Loan Trust                         | CUSIP: 19688LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107632 | PA      | $102514.33    | 0.24%             | 2067-04-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                         | OBX 2022-INV3 Trust                                     | CUSIP: 67116EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95159 | PA      | $78502.79     | 0.18%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                              | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    125000 | PA      | $114519.79    | 0.27%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: USD 1.657000 25-APR-2032                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1200000 | OU      | $208361.04    | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                            | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    120000 | PA      | $105542.08    | 0.25%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: OIS 2.870000 11-MAY-2042                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    300000 | OU      | $20547.02     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31403DPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172075 | PA      | $177387.61    | 0.42%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                        | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1580000 | PA      | $1119146.09   | 2.62%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                            | TRK 2021-INV2 Trust                                     | CUSIP: 87267TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157562 | PA      | $136497.27    | 0.32%             | 2056-11-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                              | Charles Schwab Corp/The                                 | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    150000 | PA      | $110187.47    | 0.26%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31412UQZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99168 | PA      | $97280.65     | 0.23%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                   | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $475708.97    | 1.11%             | 2052-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage Trust              | STAR 2021-1 Trust                                       | CUSIP: 85573GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $185307.74    | 0.43%             | 2065-05-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust   | Securitized Asset Backed Receivables LLC Trust 2005-OP1 | CUSIP: 81375WCT1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |    135169 | PA      | $125094.20    | 0.29%             | 2035-01-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140Q9U50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41308 | PA      | $40105.21     | 0.09%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                          | Dryden 53 CLO Ltd                                       | CUSIP: 26243EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $236604.00    | 0.55%             | 2031-01-15      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) DEC22                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         5 | NC      | $-5439.04     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                      | CDS: (CMBX.NA.9.BBB-)                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     66667 | OU      | $-12960.51    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                        | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $404082.03    | 0.95%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140QGSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158814 | PA      | $145612.39    | 0.34%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Trimaran Advisors CAVU 2019-1                    | Trimaran Cavu 2019-1 Ltd                                | CUSIP: 89624CAG7<br>LEI: 549300IGMQ24BLOIU872 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $236021.48    | 0.55%             | 2032-07-20      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                        | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2665000 | PA      | $1764313.28   | 4.13%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust               | Ellington Financial Mortgage Trust 2022-1               | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250997 | PA      | $211362.40    | 0.50%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    720443 | PA      | $628430.02    | 1.47%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US LONG BOND(CBT) DEC22                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -4 | NC      | $14742.83     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140J9H95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052823 | PA      | $1031531.48   | 2.42%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140QQJC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102000 | PA      | $103531.18    | 0.24%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31408AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19262 | PA      | $19901.03     | 0.05%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                       | CUSIP: 3136BNCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668844 | PA      | $572255.19    | 1.34%             | 2051-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                         | Anheuser-Busch InBev Worldwide Inc                      | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    100000 | PA      | $89266.81     | 0.21%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31418TPY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105370 | PA      | $101462.44    | 0.24%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31416KQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226481 | PA      | $221309.57    | 0.52%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2022-7 Mortgage Loan Trust                         | CUSIP: 12663GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242170 | PA      | $234991.05    | 0.55%             | 2067-04-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220854 | PA      | $222350.79    | 0.52%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                             | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    125000 | PA      | $98583.25     | 0.23%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust              | CitiMortgage Alternative Loan Trust Series 2007-A5      | CUSIP: 12566WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71938 | PA      | $12894.80     | 0.03%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31412RL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635333 | PA      | $605656.28    | 1.42%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                        | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $523687.50    | 1.23%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                              | Elevance Health Inc                                     | CUSIP: 036752AP8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     75000 | PA      | $60469.28     | 0.14%             | 2031-03-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit Partners                         | OHA Credit Funding 4 Ltd                                | CUSIP: 67098DAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $224770.23    | 0.53%             | 2036-10-22      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31412MKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64658 | PA      | $68145.16     | 0.16%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)DEC22                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -28 | NC      | $102108.18    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140XAUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144932 | PA      | $136904.81    | 0.32%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                        | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $620803.12    | 1.45%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                        | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $815203.13    | 1.91%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204127 | PA      | $205155.40    | 0.48%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                         | Angel Oak Mortgage Trust 2022-1                         | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71061 | PA      | $61404.81     | 0.14%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140Q9U68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31609 | PA      | $30683.89     | 0.07%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                   | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    270000 | PA      | $257196.10    | 0.60%             | 2052-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                        | CUSIP: 91282CBL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2090000 | PA      | $1692328.51   | 3.97%             | 2031-02-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust              | GS Mortgage-Backed Securities Corp Trust 2022-PJ2       | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93854 | PA      | $74529.97     | 0.17%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) DEC22                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -15 | NC      | $23376.29     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                        | CUSIP: 3132DNBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159008 | PA      | $145439.62    | 0.34%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                        | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5100000 | PA      | $4313484.38   | 10.11%            | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA | RRP TREASURY BO                                         | CUSIP: 000000000<br>LEI: 1VUV7VQFKUOQSJ21A208 | Short            | RA               | CORP              | US        |  -4788735 | PA      | $-4788735.00  | -11.22%           |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                | CUSIP: 38377VHH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1343109 | PA      | $98846.88     | 0.23%             | 2041-04-16      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140X6JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3707677 | PA      | $3522611.32   | 8.25%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1478300 | PA      | $1409325.70   | 3.30%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140Q9VA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44462 | PA      | $43207.01     | 0.10%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140QC2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186316 | PA      | $176392.05    | 0.41%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                           | Bank of New York Mellon Corp/The                        | CUSIP: 064058AL4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    175000 | PA      | $135187.50    | 0.32%             | 2026-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | FSWP: USD 1.610000 28-MAR-2032                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    850000 | OU      | $152035.45    | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                | CUSIP: 38373MVL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49922 | PA      | $3.39         | 0.00%             | 2046-05-16      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                   | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2150000 | PA      | $1994880.85   | 4.67%             | 2052-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                           | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41502.44     | 0.10%             | 2031-02-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140J9HE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1046338 | PA      | $998647.73    | 2.34%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3138WRP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2154083 | PA      | $1928865.44   | 4.52%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140QQJE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206000 | PA      | $210445.44    | 0.49%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT DEC22                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        23 | NC      | $-176083.67   | -0.41%            |  |  |  | No            |                  1 | On Loan: No      |
| Mello Mortgage Capital Acceptance Trust          | Mello Mortgage Capital Acceptance 2022-INV2             | CUSIP: 58549JAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96594 | PA      | $79686.11     | 0.19%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK SA | RRP TREASURY NO                                         | CUSIP: 000000000<br>LEI: 1VUV7VQFKUOQSJ21A208 | Short            | RA               | CORP              | US        |  -1942500 | PA      | $-1942500.00  | -4.55%            |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                            | Palmer Square CLO 2015-1 Ltd                            | CUSIP: 69689ABN9<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $224132.33    | 0.53%             | 2034-05-21      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140QQJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88000 | PA      | $89603.57     | 0.21%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                                | Elmwood CLO X Ltd                                       | CUSIP: 29002VAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $456208.35    | 1.07%             | 2034-10-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31403DDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51748 | PA      | $53356.89     | 0.13%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140Q9U84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24130 | PA      | $23428.21     | 0.05%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                        | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $648894.54    | 1.52%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31418SZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293357 | PA      | $281132.26    | 0.66%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                       | US Bancorp                                              | CUSIP: 902973BC9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    180000 | PA      | $135873.00    | 0.32%             | 2027-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                      | SWAP/CDSWAP/CDS: (CMBX.NA.9.BBB-)                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    100000 | OU      | $-19440.66    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                      | OCP Clo 2019-17 Ltd                                     | CUSIP: 67113LAQ9<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $231788.25    | 0.54%             | 2032-07-20      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-3                       | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92688 | PA      | $84948.00     | 0.20%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                        | CUSIP: 912828Y79<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9230000 | PA      | $8892167.60   | 20.83%            | 2025-07-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                             | Birch Grove CLO Ltd                                     | CUSIP: 09075JAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $279702.60    | 0.66%             | 2031-06-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                       | CUSIP: 3136AFSV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $424710.15    | 1.00%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT DEC22                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -39 | NC      | $444286.96    | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                     | CUSIP: 48128BAN1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    265000 | PA      | $214600.08    | 0.50%             | 2026-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                 | COLT 2022-2 Mortgage Loan Trust                         | CUSIP: 19685EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134119 | PA      | $118649.89    | 0.28%             | 2067-02-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae I Pool                                       | CUSIP: 36292GKA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1608 | PA      | $1595.80      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                   | JPN 10Y BOND(OSE) DEC22                                 | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -1 | NC      | $3176.06      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31417KW45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25036 | PA      | $24218.71     | 0.06%             | 2024-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140HMP32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30515 | PA      | $29637.75     | 0.07%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                         | Neuberger Berman Loan Advisers CLO 35 Ltd               | CUSIP: 64133CAJ8<br>LEI: 549300MYVO80EQUJK294 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $233207.60    | 0.55%             | 2033-01-19      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                        | BlackRock Liquidity Funds: T-Fund, Institutional Shares | CUSIP: 09248U718<br>LEI: 5493007YVNX55LTRQ706 | Long             | STIV             | RF                | US        |   2014927 | NS      | $2014926.54   | 4.72%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: USD 1.915000 27-OCT-2041                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    250000 | OU      | $-60161.50    | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31418NX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423753 | PA      | $425708.63    | 1.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                      | CUSIP: 3137FPH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    503843 | PA      | $389870.19    | 0.91%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL               | CDS: (CMBX.NA.9.BBB-)                                   | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |     33333 | OU      | $-6480.16     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                   | CUSIP: 3128MFQP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    861430 | PA      | $816040.78    | 1.91%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                      | CUSIP: 3137BERC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342956 | PA      | $314712.48    | 0.74%             | 2054-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                | CUSIP: 38376PA59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129920 | PA      | $9884.94      | 0.02%             | 2039-12-16      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                          | International Bank for Reconstruction & Development     | CUSIP: 45905APM4<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | XX        |    500000 | PA      | $357735.67    | 0.84%             | 2030-09-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                             | Bank of America Corp                                    | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    360000 | PA      | $308700.00    | 0.72%             | 2028-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                        | CUSIP: 912828XT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4930000 | PA      | $4748013.68   | 11.12%            | 2024-05-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities              | Banc of America Mortgage 2003-J Trust                   | CUSIP: 05948XYC9<br>LEI: 549300IE5TDZLY0T0V30 | Long             | ABS-MBS          | CORP              | US        |     18707 | PA      | $17048.50     | 0.04%             | 2033-11-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                     | CUSIP: 48128BAF8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    175000 | PA      | $157806.25    | 0.37%             | 2024-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                      | RCKT Mortgage Trust 2022-2                              | CUSIP: 74938WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94904 | PA      | $78291.69     | 0.18%             | 2052-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2020-NQM1 Trust                                     | CUSIP: 552754AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79635 | PA      | $76963.71     | 0.18%             | 2065-03-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                       | CUSIP: 3136A6FA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225721 | PA      | $47768.38     | 0.11%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3138XYQL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1018471 | PA      | $933555.00    | 2.19%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31418UE91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3697 | PA      | $3552.39      | 0.01%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                       | MFA 2021-NQM1 Trust                                     | CUSIP: 55283FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $225785.00    | 0.53%             | 2065-04-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                         | J.P. Morgan Mortgage Trust 2022-INV3                    | CUSIP: 46593FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94299 | PA      | $77255.79     | 0.18%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31410RFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       712 | PA      | $724.44       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140X4XF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646605 | PA      | $611817.53    | 1.43%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                      | CUSIP: 3137BKBJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    700150 | PA      | $668938.15    | 1.57%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                   | CUSIP: 31335BUE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    897089 | PA      | $824881.34    | 1.93%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31418UG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589535 | PA      | $571234.52    | 1.34%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | SWP: USD 1.749500 09-NOV-2041                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    400000 | OU      | $-105565.99   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140HMPV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15071 | PA      | $14625.05     | 0.03%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140QQJB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149000 | PA      | $151696.48    | 0.36%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2022-ATH1                                          | CUSIP: 12660BAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133851 | PA      | $123963.89    | 0.29%             | 2067-01-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation               | Chase Home Lending Mortgage Trust 2019-ATR1             | CUSIP: 16158RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40607 | PA      | $39106.43     | 0.09%             | 2049-04-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                        | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $503625.00    | 1.18%             | 2031-05-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31416BN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665594 | PA      | $685802.62    | 1.61%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 31419BZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457688 | PA      | $444844.53    | 1.04%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                       | Verus Securitization Trust 2022-7                       | CUSIP: 92539NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148329 | PA      | $144075.25    | 0.34%             | 2067-07-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                           | Verizon Communications Inc                              | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     75000 | PA      | $56247.32     | 0.13%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                         | CUSIP: 3140QQJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102340 | PA      | $103718.37    | 0.24%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                       | CUSIP: 3136AYQY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433336 | PA      | $348561.74    | 0.82%             | 2047-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PPL Capital Funding Inc                          | PPL Capital Funding Inc                                 | CUSIP: 69352PAC7<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |    285000 | PA      | $238394.72    | 0.56%             | 2067-03-30      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-11

**Name of Applicant:** BlackRock Enhanced Government Fund, Inc.

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer