# EDGAR Filing Document

**Accession Number:** 0001336050
**File Stem:** 0001752724-23-040624
**Filing Date:** 2023-2
**Character Count:** 65011
**Document Hash:** ebaac666668e283b46340be2eb8d8262
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-040624.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-040624

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**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
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21793
- **FILM NUMBER:** 23668291

**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

## 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:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $64585143.33

**Total Liabilities:** $23689566.25

**Net Assets:** $40895577.08

**Cash Not Reported:** $537222.44

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2348.09000000 | **1-Year:** 283.02000000 | **5-Year:** 8941.67000000 | **10-Year:** 2877.41000000 | **30-Year:** 5477.04000000

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

- **3-Month:** -6745.05000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** -1422.99000000 | **30-Year:** 1496.63000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | -1.04%               | 3.47%                | -0.25%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-304358.24              | $-912526.28                                |
| Month 2  | $35998.39                | $1841152.63                                |
| Month 3  | $-43236.75               | $-594143.83                                |

**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      | $335656.12    | 0.82%             | 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        |      7636 | PA      | $7477.01      | 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      | $65475.26     | 0.16%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL             | 2Y RTR 4.364000 30-JAN-2023                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        | -18357000 | OU      | $-37952.91    | -0.09%            |  |  |  | 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      | $67309.38     | 0.16%             |  |  |  | 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        |     58513 | PA      | $48499.86     | 0.12%             | 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      | $154400.00    | 0.38%             | 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        |    198316 | PA      | $196366.45    | 0.48%             | 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        |    151477 | PA      | $152474.77    | 0.37%             | 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      | $238104.50    | 0.58%             | 2036-07-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 31415XFA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2546 | PA      | $2533.63      | 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        |    175779 | PA      | $141096.90    | 0.35%             | 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        |    215965 | PA      | $220543.62    | 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        |     39230 | PA      | $38608.29     | 0.09%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Money Management Corporation          | Ammc Clo 20 Ltd                                         | CUSIP: 00177TAJ2<br>LEI: 549300LDRXVT7PCHV066 | Long             | ABS-CBDO         | CORP              | KY        |    124330 | PA      | $123566.16    | 0.30%             | 2029-04-17      | Floating      | 4.95%                 | 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        |     87488 | PA      | $70225.99     | 0.17%             | 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        |     90934 | PA      | $79031.67     | 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      | $-322885.95   | -0.79%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                       | CUSIP: 3136BMXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $895331.00    | 2.19%             | 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        |    106039 | PA      | $102330.35    | 0.25%             | 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        |     93829 | PA      | $78204.67     | 0.19%             | 2052-02-25      | Variable      | 3.00%                 | 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      | $211411.60    | 0.52%             |  |  |  | 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      | $24280.91     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 31403DPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165263 | PA      | $170623.41    | 0.42%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US 10YR ULTRA FUT MAR23                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        23 | NC      | $-32014.25    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                         | United States Treasury Note/Bond                        | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1580000 | PA      | $1116739.07   | 2.73%             | 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        |    152877 | PA      | $125747.71    | 0.31%             | 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      | $119617.50    | 0.29%             | 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        |     95271 | PA      | $94298.31     | 0.23%             | 2039-06-01      | 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      | $148098.26    | 0.36%             | 2065-05-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                   | CUSIP: 01F042616<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $577353.77    | 1.41%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                    | RRP TREASURY NO                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |  -8808750 | PA      | $-8808750.00  | -21.54%           |  |  |  | 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        |    129992 | PA      | $118626.36    | 0.29%             | 2035-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 3140Q9U50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39621 | PA      | $38815.11     | 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      | $241431.98    | 0.59%             | 2031-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US LONG BOND(CBT) MAR23                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -4 | NC      | $2243.32      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | CDS: (CMBX.NA.9.BBB-)                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     26000 | OU      | $-4884.07     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                         | United States Treasury Note/Bond                        | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $405429.69    | 0.99%             | 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        |    156499 | PA      | $146519.74    | 0.36%             | 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      | $239910.90    | 0.59%             | 2032-07-20      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | United States Treasury Note/Bond                        | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2665000 | PA      | $1693732.44   | 4.14%             | 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        |    247005 | PA      | $206638.71    | 0.51%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                   | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1450000 | PA      | $1359606.91   | 3.32%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713730 | PA      | $626377.37    | 1.53%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL             | 10Y RTR 3.552000 30-JAN-2023                            | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  -3824000 | OU      | $-41547.34    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 3140J9H95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1017318 | PA      | $1008499.09   | 2.47%             | 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        |    100774 | PA      | $101346.28    | 0.25%             | 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        |     18890 | PA      | $19348.31     | 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        |    675555 | PA      | $569919.77    | 1.39%             | 2051-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 31418TPY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104436 | PA      | $102105.51    | 0.25%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                          | Palmer Square CLO 2014-1 Ltd                            | CUSIP: 69688XAS0<br>LEI: 549300UP5H2PFBIITY41 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $247481.45    | 0.61%             | 2031-01-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 31416KQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216987 | PA      | $214483.00    | 0.52%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US 10YR NOTE (CBT)MAR23                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -42 | NC      | $39060.33     | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| COLT Funding LLC                               | COLT 2022-7 Mortgage Loan Trust                         | CUSIP: 12663GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237242 | PA      | $232980.07    | 0.57%             | 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        |    211157 | PA      | $215633.37    | 0.53%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL             | 30Y RTR 3.231000 30-JAN-2023                            | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  -1529000 | OU      | $-36398.35    | -0.09%            |  |  |  | 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        |     69331 | PA      | $12294.87     | 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        |    626501 | PA      | $601667.35    | 1.47%             | 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      | $502195.32    | 1.23%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Southwick Park CLO, Ltd.                       | Southwick Park CLO LLC                                  | CUSIP: 846031AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245140.23    | 0.60%             | 2032-07-20      | Floating      | 5.30%                 | 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      | $234484.95    | 0.57%             | 2036-10-22      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 31412MKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59121 | PA      | $61434.12     | 0.15%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 3140XAUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140344 | PA      | $134861.38    | 0.33%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                   | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $317905.95    | 0.78%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | United States Treasury Note/Bond                        | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $625781.25    | 1.53%             | 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      | $804375.00    | 1.97%             | 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        |    195250 | PA      | $199390.61    | 0.49%             | 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        |     69819 | PA      | $60990.45     | 0.15%             | 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        |     30320 | PA      | $29703.38     | 0.07%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | United States Treasury Note/Bond                        | CUSIP: 91282CBL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2090000 | PA      | $1703431.64   | 4.17%             | 2031-02-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                   | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $295472.67    | 0.72%             | 2053-02-15      | Fixed         | 5.00%                 | 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        |     92315 | PA      | $74100.89     | 0.18%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                        | CUSIP: 3132DNBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154496 | PA      | $141729.30    | 0.35%             | 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      | $4187976.59   | 10.24%            | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                         | Verizon Communications Inc                              | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    175000 | PA      | $138722.86    | 0.34%             | 2032-03-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                    | RRP TREASURY BO                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |  -4200000 | PA      | $-4200000.00  | -10.27%           |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                | CUSIP: 38377VHH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1288742 | PA      | $87746.94     | 0.21%             | 2041-04-16      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 3140X6JS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3591492 | PA      | $3449628.16   | 8.44%             | 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        |   1429902 | PA      | $1354673.67   | 3.31%             | 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        |     41665 | PA      | $40823.29     | 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        |    181795 | PA      | $174027.32    | 0.43%             | 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      | $140954.95    | 0.34%             | 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      | $144597.41    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                | CUSIP: 38373MVL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49347 | PA      | $3.28         | 0.00%             | 2046-05-16      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                      | Boeing Co/The                                           | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43808.35     | 0.11%             | 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        |    979652 | PA      | $931784.85    | 2.28%             | 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        |   2108307 | PA      | $1918298.38   | 4.69%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US 5YR NOTE (CBT) MAR23                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        25 | NC      | $-17706.44    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 3140QQJE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201851 | PA      | $203253.14    | 0.50%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                   | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $985221.41    | 2.41%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | 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        |     95070 | PA      | $79238.59     | 0.19%             | 2052-04-25      | Variable      | 3.00%                 | 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      | $232362.23    | 0.57%             | 2034-05-21      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 3140QQJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86179 | PA      | $86698.03     | 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      | $470609.70    | 1.15%             | 2034-10-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 31403DDR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49878 | PA      | $51505.84     | 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        |     22754 | PA      | $22293.23     | 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      | $622027.34    | 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        |    289146 | PA      | $282690.52    | 0.69%             | 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      | $147150.00    | 0.36%             | 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      | $-18784.89    | -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      | $239555.75    | 0.59%             | 2032-07-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust 2022-3                       | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365911 | PA      | $345412.64    | 0.84%             | 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      | $8916684.79   | 21.80%            | 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      | $283778.70    | 0.69%             | 2031-06-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                    | Oracle Corp                                             | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    125000 | PA      | $106575.29    | 0.26%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                       | CUSIP: 3136AFSV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $418849.30    | 1.02%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                            | JPMorgan Chase & Co                                     | CUSIP: 48128BAN1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    265000 | PA      | $226906.25    | 0.55%             | 2026-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                    | RRP TREASURY NO                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |  -3865000 | PA      | $-3865000.00  | -9.45%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US 2YR NOTE (CBT) MAR23                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -2 | NC      | $-315.54      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COLT Funding LLC                               | COLT 2022-2 Mortgage Loan Trust                         | CUSIP: 19685EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129224 | PA      | $116113.29    | 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        |      1582 | PA      | $1606.04      | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 31417KW45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21650 | PA      | $21129.18     | 0.05%             | 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        |     29208 | PA      | $28599.62     | 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      | $240795.58    | 0.59%             | 2033-01-19      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | SWP: USD 1.915000 27-OCT-2041                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    250000 | OU      | $-64116.22    | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 31418NX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407743 | PA      | $411973.38    | 1.01%             | 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      | $377272.70    | 0.92%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                   | CUSIP: 3128MFQP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    817326 | PA      | $785454.17    | 1.92%             | 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        |    346397 | PA      | $313537.96    | 0.77%             | 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        |    126106 | PA      | $8944.88      | 0.02%             | 2039-12-16      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                           | Bank of America Corp                                    | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    230000 | PA      | $202551.80    | 0.50%             | 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      | $4749939.44   | 11.61%            | 2024-05-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. INTERNATIONAL             | 5Y RTR 3.711000 30-JAN-2023                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DIR              |  | US        |  -6883000 | OU      | $-38236.99    | -0.09%            |  |  |  | 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        |     18460 | PA      | $16407.07     | 0.04%             | 2033-11-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                    | RCKT Mortgage Trust 2022-2                              | CUSIP: 74938WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93389 | PA      | $77837.61     | 0.19%             | 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        |     75984 | PA      | $69727.41     | 0.17%             | 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        |    222347 | PA      | $44902.28     | 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        |    983922 | PA      | $919200.60    | 2.25%             | 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        |      1364 | PA      | $1336.60      | 0.00%             | 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      | $176089.45    | 0.43%             | 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        |     92524 | PA      | $77232.14     | 0.19%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                   | Voya CLO 2016-1 Ltd                                     | CUSIP: 92915CAQ7<br>LEI: 549300BRUAMTEA33B077 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $246963.40    | 0.60%             | 2031-01-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 31410RFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       704 | PA      | $714.67       | 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        |    619117 | PA      | $594619.44    | 1.45%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                      | BlackRock Liquidity Funds: T-Fund, Institutional Shares | CUSIP: 09248U718<br>LEI: 5493007YVNX55LTRQ706 | Long             | STIV             | RF                | US        |   1738499 | NS      | $1738499.29   | 4.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                      | CUSIP: 3137BKBJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    695701 | PA      | $659882.82    | 1.61%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                   | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $192443.45    | 0.47%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                   | CUSIP: 31335BUE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    879895 | PA      | $823103.62    | 2.01%             | 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        |    576011 | PA      | $570127.07    | 1.39%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | J.P. Morgan Mortgage Trust 2022-DSC1                    | CUSIP: 46656AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119707 | PA      | $113370.43    | 0.28%             | 2063-01-25      | Variable      | 4.75%                 | No            |                  3 | On Loan: No      |
| Chicago Mercantile Exchange                    | SWP: USD 1.749500 09-NOV-2041                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    400000 | OU      | $-111608.69   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 3140HMPV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14672 | PA      | $14366.15     | 0.04%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                    | RRP TREASURY BO                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Short            | RA               | CORP              | US        |  -1300000 | PA      | $-1300000.00  | -3.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 3140QQJB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146810 | PA      | $147648.29    | 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        |    131471 | PA      | $120259.69    | 0.29%             | 2067-01-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                 | JPN 10Y BOND(OSE) MAR23                                 | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -3 | NC      | $60377.59     | 0.15%             |  |  |  | No            |                  1 | 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        |     40196 | PA      | $40025.36     | 0.10%             | 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      | $504585.94    | 1.23%             | 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        |    638573 | PA      | $658955.02    | 1.61%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                              | Generate CLO 2 Ltd                                      | CUSIP: 98625TAN5<br>LEI: 5493009C48K5WG4EX118 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $236069.50    | 0.58%             | 2031-01-22      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 31419BZ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452241 | PA      | $447668.92    | 1.09%             | 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        |    143945 | PA      | $139978.78    | 0.34%             | 2067-07-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | US ULTRA BOND CBT MAR23                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -44 | NC      | $38798.23     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                         | CUSIP: 3140QQJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92685 | PA      | $93211.81     | 0.23%             | 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      | $343754.70    | 0.84%             | 2047-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                     | Apidos CLO XXIV                                         | CUSIP: 03759CAS9<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $245125.00    | 0.60%             | 2030-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-10

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

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer