# EDGAR Filing Document

**Accession Number:** 0000770161
**File Stem:** 0001145549-23-003444
**Filing Date:** 2023-1
**Character Count:** 390705
**Document Hash:** 5732e485e5008b1df3c2d63ff3fbc8b1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-003444.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001145549-23-003444

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 3

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMERICAN FUNDS INCOME SERIES
- **CENTRAL INDEX KEY:** 0000770161
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04318
- **FILM NUMBER:** 23558514

**BUSINESS ADDRESS:**
- **STREET 1:** 333 S HOPE ST - 55TH FL (MICG)
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071
- **BUSINESS PHONE:** 213-486-9200

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

## Series and Classes Contracts Data

### U.S. Government Securities Fund (Series ID: S000009235)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000025132 | Class A       | AMUSX           |
| C000025133 | Class R-1     | RGVAX           |
| C000025134 | Class R-2     | RGVBX           |
| C000025135 | Class R-3     | RGVCX           |
| C000025136 | Class R-4     | RGVEX           |
| C000025137 | Class R-5     | RGVFX           |
| C000025139 | Class C       | UGSCX           |
| C000025140 | Class F-1     | UGSFX           |
| C000025141 | Class 529-A   | CGTAX           |
| C000025143 | Class 529-C   | CGTCX           |
| C000025144 | Class 529-E   | CGTEX           |
| C000025145 | Class 529-F-1 | CGTFX           |
| C000068600 | Class F-2     | GVTFX           |
| C000077855 | Class R-6     | RGVGX           |
| C000148357 | Class R-2E    | RGEVX           |
| C000164800 | Class R-5E    | RGVJX           |
| C000179952 | Class F-3     | USGFX           |
| C000189432 | Class 529-T   | TSUGX           |
| C000189433 | Class T       | TUSGX           |
| C000224557 | Class 529-F-2 | FSUGX           |
| C000224558 | Class 529-F-3 | FSUUX           |

## Nport-Ex

![](img25ef94651.jpg)

#### U.S. Government Securities Fund<sup>®</sup><br>
Investment portfolio

November 30, 2022

unaudited

---

| | | |
|:---|:---|:---|
| **Bonds, notes & other debt instruments 93.41%<br> Mortgage-backed obligations 46.41%<br> Federal agency mortgage-backed obligations 46.41%** | Principal amount<br> (000) | Value<br> (000) |
| Fannie Mae Pool #256993 6.50% 11/1/2027<sup>1</sup> | USD87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$90 |
| Fannie Mae Pool #257055 6.50% 12/1/2027<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;166 |
| Fannie Mae Pool #AY1948 3.50% 1/1/2030<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;99 |
| Fannie Mae Pool #AZ0554 3.50% 10/1/2030<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;123 |
| Fannie Mae Pool #735571 8.00% 11/1/2031<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 |
| Fannie Mae Pool #CA1442 3.00% 3/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;455 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;430 |
| Fannie Mae Pool #BJ5302 3.00% 3/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;288 |
| Fannie Mae Pool #695412 5.00% 6/1/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 |
| Fannie Mae Pool #BN3172 4.00% 1/1/2034<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 |
| Fannie Mae Pool #BN1085 4.00% 1/1/2034<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 |
| Fannie Mae Pool #BO6247 2.50% 12/1/2034<sup>1</sup> | &nbsp;&nbsp;4373 | &nbsp;&nbsp;&nbsp;&nbsp;4072 |
| Fannie Mae Pool #AD3566 5.00% 10/1/2035<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43 |
| Fannie Mae Pool #AS6870 4.00% 3/1/2036<sup>1</sup> | &nbsp;&nbsp;2152 | &nbsp;&nbsp;&nbsp;&nbsp;2091 |
| Fannie Mae Pool #MA2588 4.00% 4/1/2036<sup>1</sup> | &nbsp;&nbsp;4166 | &nbsp;&nbsp;&nbsp;&nbsp;4049 |
| Fannie Mae Pool #MA2717 4.00% 8/1/2036<sup>1</sup> | &nbsp;&nbsp;3587 | &nbsp;&nbsp;&nbsp;&nbsp;3486 |
| Fannie Mae Pool #MA2746 4.00% 9/1/2036<sup>1</sup> | &nbsp;&nbsp;3289 | &nbsp;&nbsp;&nbsp;&nbsp;3197 |
| Fannie Mae Pool #MA2787 4.00% 10/1/2036<sup>1</sup> | &nbsp;&nbsp;6679 | &nbsp;&nbsp;&nbsp;&nbsp;6491 |
| Fannie Mae Pool #MA2819 4.00% 11/1/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;409 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;397 |
| Fannie Mae Pool #MA2856 4.00% 12/1/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 |
| Fannie Mae Pool #888372 6.50% 4/1/2037<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 |
| Fannie Mae Pool #256810 6.50% 7/1/2037<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 |
| Fannie Mae Pool #256828 7.00% 7/1/2037<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15 |
| Fannie Mae Pool #MA3099 4.00% 8/1/2037<sup>1</sup> | &nbsp;&nbsp;3108 | &nbsp;&nbsp;&nbsp;&nbsp;3021 |
| Fannie Mae Pool #256860 6.50% 8/1/2037<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38 |
| Fannie Mae Pool #888698 7.00% 10/1/2037<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43 |
| Fannie Mae Pool #970343 6.00% 2/1/2038<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 |
| Fannie Mae Pool #889388 7.00% 3/1/2038<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;141 |
| Fannie Mae Pool #931768 5.00% 8/1/2039<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 |
| Fannie Mae Pool #AC0794 5.00% 10/1/2039<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;139 |
| Fannie Mae Pool #932606 5.00% 2/1/2040<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 |
| Fannie Mae Pool #AH0351 4.50% 2/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;276 |
| Fannie Mae Pool #AI1862 5.00% 5/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;684 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;699 |
| Fannie Mae Pool #AI3510 5.00% 6/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;402 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;411 |
| Fannie Mae Pool #AE1248 5.00% 6/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;223 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228 |
| Fannie Mae Pool #MA4387 2.00% 7/1/2041<sup>1</sup> | &nbsp;&nbsp;2077 | &nbsp;&nbsp;&nbsp;&nbsp;1778 |
| Fannie Mae Pool #AJ0704 5.00% 9/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;328 |
| Fannie Mae Pool #AJ1873 4.00% 10/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;256 |
| Fannie Mae Pool #AE1274 5.00% 10/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64 |
| Fannie Mae Pool #AJ5391 5.00% 11/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;246 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;252 |
| Fannie Mae Pool #AE1277 5.00% 11/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;126 |
| Fannie Mae Pool #MA4501 2.00% 12/1/2041<sup>1</sup> | 52250 | &nbsp;&nbsp;44449 |
| Fannie Mae Pool #AE1283 5.00% 12/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66 |
| Fannie Mae Pool #AJ9327 3.50% 1/1/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26 |
| Fannie Mae Pool #MA4540 2.00% 2/1/2042<sup>1</sup> | 18566 | &nbsp;&nbsp;15794 |
| Fannie Mae Pool #AE1290 5.00% 2/1/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41 |

---

U.S. Government Securities Fund — Page 1 of 16

------

unaudited

---

| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Fannie Mae Pool #MA4570 2.00% 3/1/2042<sup>1</sup> | USD10,503 | &nbsp;&nbsp;&nbsp;&nbsp;$8935 |
| Fannie Mae Pool #MA4586 2.00% 4/1/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2816 |
| Fannie Mae Pool #AR1512 3.50% 1/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;263 |
| Fannie Mae Pool #AT0412 3.50% 3/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;119 |
| Fannie Mae Pool #AT0300 3.50% 3/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44 |
| Fannie Mae Pool #AT3954 3.50% 4/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73 |
| Fannie Mae Pool #AT5898 3.00% 6/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7532 |
| Fannie Mae Pool #AL3829 3.50% 6/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1256 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1189 |
| Fannie Mae Pool #AT7161 3.50% 6/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;318 |
| Fannie Mae Pool #AX8521 3.50% 12/1/2044<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;181 |
| Fannie Mae Pool #AY1829 3.50% 12/1/2044<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69 |
| Fannie Mae Pool #BE5009 3.50% 1/1/2045<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;378 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;355 |
| Fannie Mae Pool #BE5017 3.50% 2/1/2045<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;683 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;642 |
| Fannie Mae Pool #FM9416 3.50% 7/1/2045<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;143214 | &nbsp;&nbsp;133637 |
| Fannie Mae Pool #AY3880 4.00% 11/1/2045<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74 |
| Fannie Mae Pool #BC3465 4.00% 2/1/2046<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 |
| Fannie Mae Pool #AS8310 3.00% 11/1/2046<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;128 |
| Fannie Mae Pool #MA2833 3.00% 12/1/2046<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6706 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6056 |
| Fannie Mae Pool #BD2440 3.50% 1/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;368 |
| Fannie Mae Pool #AS8804 3.50% 2/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11391 | &nbsp;&nbsp;&nbsp;&nbsp;10660 |
| Fannie Mae Pool #BM1179 3.00% 4/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;129 |
| Fannie Mae Pool #BE8740 3.50% 5/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;578 |
| Fannie Mae Pool #BE8742 3.50% 5/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;179 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;167 |
| Fannie Mae Pool #BH2846 3.50% 5/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77 |
| Fannie Mae Pool #BH2848 3.50% 5/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69 |
| Fannie Mae Pool #BH2847 3.50% 5/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37 |
| Fannie Mae Pool #BH3122 4.00% 6/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 |
| Fannie Mae Pool #CA0770 3.50% 11/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9207 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8621 |
| Fannie Mae Pool #BJ5015 4.00% 12/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1573 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1528 |
| Fannie Mae Pool #BJ4342 4.00% 1/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;131 |
| Fannie Mae Pool #BJ6169 4.00% 1/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38 |
| Fannie Mae Pool #BJ8318 4.50% 1/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;172 |
| Fannie Mae Pool #BJ4901 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;466 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;436 |
| Fannie Mae Pool #BK5232 4.00% 5/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;787 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;765 |
| Fannie Mae Pool #BK6840 4.00% 6/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1081 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1049 |
| Fannie Mae Pool #BK9743 4.00% 8/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;304 |
| Fannie Mae Pool #BK9761 4.50% 8/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;136 |
| Fannie Mae Pool #BN1172 4.50% 11/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;154 |
| Fannie Mae Pool #CA2850 4.00% 12/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1944 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1905 |
| Fannie Mae Pool #FM2656 3.50% 1/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2423 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2267 |
| Fannie Mae Pool #BF0320 5.50% 1/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3763 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3977 |
| Fannie Mae Pool #FM3280 3.50% 5/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37468 | &nbsp;&nbsp;&nbsp;&nbsp;34983 |
| Fannie Mae Pool #BN6708 3.50% 6/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11861 | &nbsp;&nbsp;&nbsp;&nbsp;11042 |
| Fannie Mae Pool #FM1062 3.50% 6/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4441 |
| Fannie Mae Pool #FM1220 3.50% 7/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2974 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2761 |
| Fannie Mae Pool #BJ8411 3.50% 8/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1139 |
| Fannie Mae Pool #FM1505 3.00% 9/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11667 | &nbsp;&nbsp;&nbsp;&nbsp;10454 |
| Fannie Mae Pool #CA4151 3.50% 9/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5923 |
| Fannie Mae Pool #FM1443 3.50% 9/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3531 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3289 |
| Fannie Mae Pool #BO2264 3.00% 10/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38295 | &nbsp;&nbsp;&nbsp;&nbsp;34242 |
| Fannie Mae Pool #BO2890 3.00% 11/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2170 |
| Fannie Mae Pool #FM2179 3.00% 1/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11578 | &nbsp;&nbsp;&nbsp;&nbsp;10418 |
| Fannie Mae Pool #FM2389 3.50% 2/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2008 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1864 |
| Fannie Mae Pool #FM2822 3.00% 3/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7265 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6515 |

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U.S. Government Securities Fund — Page 2 of 16

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unaudited

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Fannie Mae Pool #CA5338 3.00% 3/1/2050<sup>1</sup> | USD5,934 | &nbsp;&nbsp;$5301 |
| Fannie Mae Pool #FM2777 3.00% 3/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3382 | &nbsp;&nbsp;&nbsp;&nbsp;3032 |
| Fannie Mae Pool #FM2664 3.50% 3/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;22920 | &nbsp;&nbsp;21236 |
| Fannie Mae Pool #CA5539 3.00% 4/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;14296 | &nbsp;&nbsp;12820 |
| Fannie Mae Pool #CA5968 2.50% 6/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2434 | &nbsp;&nbsp;&nbsp;&nbsp;2120 |
| Fannie Mae Pool #CA6593 2.50% 8/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;11153 | &nbsp;&nbsp;&nbsp;&nbsp;9703 |
| Fannie Mae Pool #BP6715 2.00% 9/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| Fannie Mae Pool #BQ3005 2.50% 10/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7388 | &nbsp;&nbsp;&nbsp;&nbsp;6360 |
| Fannie Mae Pool #CA7257 2.50% 10/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2361 | &nbsp;&nbsp;&nbsp;&nbsp;2052 |
| Fannie Mae Pool #CA7606 3.00% 11/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;44742 | &nbsp;&nbsp;40204 |
| Fannie Mae Pool #MA4208 2.00% 12/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2752 | &nbsp;&nbsp;&nbsp;&nbsp;2282 |
| Fannie Mae Pool #CA8828 2.50% 2/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;10220 | &nbsp;&nbsp;&nbsp;&nbsp;8877 |
| Fannie Mae Pool #CB0290 2.00% 4/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;11081 | &nbsp;&nbsp;&nbsp;&nbsp;9177 |
| Fannie Mae Pool #MA4305 2.00% 4/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107 |
| Fannie Mae Pool #BR7222 2.50% 4/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1870 | &nbsp;&nbsp;&nbsp;&nbsp;1609 |
| Fannie Mae Pool #CB0041 3.00% 4/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;34196 | &nbsp;&nbsp;30702 |
| Fannie Mae Pool #BR1035 2.00% 5/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63 |
| Fannie Mae Pool #CB0457 2.50% 5/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6225 | &nbsp;&nbsp;&nbsp;&nbsp;5360 |
| Fannie Mae Pool #FM7408 2.50% 5/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;919 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;788 |
| Fannie Mae Pool #CB0520 2.50% 5/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 |
| Fannie Mae Pool #FM7694 3.00% 6/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;34764 | &nbsp;&nbsp;31054 |
| Fannie Mae Pool #FM7687 3.00% 6/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3171 | &nbsp;&nbsp;&nbsp;&nbsp;2839 |
| Fannie Mae Pool #FM7900 2.50% 7/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2344 | &nbsp;&nbsp;&nbsp;&nbsp;2032 |
| Fannie Mae Pool #CB1527 2.50% 9/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8484 | &nbsp;&nbsp;&nbsp;&nbsp;7294 |
| Fannie Mae Pool #BU3295 2.50% 10/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;15000 | &nbsp;&nbsp;12903 |
| Fannie Mae Pool #FM9067 2.50% 10/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;552 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;474 |
| Fannie Mae Pool #FS0965 2.00% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;609 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;505 |
| Fannie Mae Pool #FM9492 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;14551 | &nbsp;&nbsp;12591 |
| Fannie Mae Pool #FM9694 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7228 | &nbsp;&nbsp;&nbsp;&nbsp;6270 |
| Fannie Mae Pool #CB2090 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;1718 |
| Fannie Mae Pool #CB2292 3.00% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;20877 | &nbsp;&nbsp;18719 |
| Fannie Mae Pool #FM9632 3.00% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;15604 | &nbsp;&nbsp;13934 |
| Fannie Mae Pool #FM9631 3.00% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6618 | &nbsp;&nbsp;&nbsp;&nbsp;5922 |
| Fannie Mae Pool #FS0433 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;45269 | &nbsp;&nbsp;39577 |
| Fannie Mae Pool #CB2286 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;15167 | &nbsp;&nbsp;13105 |
| Fannie Mae Pool #CB2371 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8356 | &nbsp;&nbsp;&nbsp;&nbsp;7231 |
| Fannie Mae Pool #FM9804 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7730 | &nbsp;&nbsp;&nbsp;&nbsp;6697 |
| Fannie Mae Pool #CB2319 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3257 | &nbsp;&nbsp;&nbsp;&nbsp;2814 |
| Fannie Mae Pool #CB2372 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1558 | &nbsp;&nbsp;&nbsp;&nbsp;1346 |
| Fannie Mae Pool #BT9483 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1236 | &nbsp;&nbsp;&nbsp;&nbsp;1068 |
| Fannie Mae Pool #BT9510 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1233 | &nbsp;&nbsp;&nbsp;&nbsp;1067 |
| Fannie Mae Pool #FM9672 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;509 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;437 |
| Fannie Mae Pool #CB2414 3.00% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;45493 | &nbsp;&nbsp;40786 |
| Fannie Mae Pool #CB2293 3.00% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;20896 | &nbsp;&nbsp;18664 |
| Fannie Mae Pool #FM9976 3.00% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;10638 | &nbsp;&nbsp;&nbsp;&nbsp;9580 |
| Fannie Mae Pool #CB2544 3.00% 1/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;21556 | &nbsp;&nbsp;19223 |
| Fannie Mae Pool #CB2765 2.00% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7892 | &nbsp;&nbsp;&nbsp;&nbsp;6570 |
| Fannie Mae Pool #FS0523 2.50% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2403 | &nbsp;&nbsp;&nbsp;&nbsp;2077 |
| Fannie Mae Pool #FS0647 3.00% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6417 | &nbsp;&nbsp;&nbsp;&nbsp;5778 |
| Fannie Mae Pool #BV7520 2.50% 3/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;1718 |
| Fannie Mae Pool #BV5642 2.50% 3/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;803 |
| Fannie Mae Pool #BT2188 2.50% 3/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;517 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;443 |
| Fannie Mae Pool #BV7745 2.50% 4/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;1716 |
| Fannie Mae Pool #BV7096 2.50% 4/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;576 |

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U.S. Government Securities Fund — Page 3 of 16

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Fannie Mae Pool #BV8959 2.50% 6/1/2052<sup>1</sup> | USD273 | &nbsp;&nbsp;&nbsp;&nbsp;$234 |
| Fannie Mae Pool #CB3774 4.00% 6/1/2052<sup>1</sup> | &nbsp;&nbsp;39691 | &nbsp;&nbsp;37603 |
| Fannie Mae Pool #MA4700 4.00% 8/1/2052<sup>1</sup> | &nbsp;&nbsp;77970 | &nbsp;&nbsp;73006 |
| Fannie Mae Pool #BW1205 2.50% 9/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45 |
| Fannie Mae Pool #BW8497 4.50% 9/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6710 | &nbsp;&nbsp;&nbsp;&nbsp;6563 |
| Fannie Mae Pool #MA4784 4.50% 10/1/2052<sup>1</sup> | &nbsp;&nbsp;59278 | &nbsp;&nbsp;57778 |
| Fannie Mae Pool #BW1215 4.50% 10/1/2052<sup>1</sup> | &nbsp;&nbsp;16326 | &nbsp;&nbsp;15913 |
| Fannie Mae Pool #BV0961 4.50% 10/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4000 | &nbsp;&nbsp;&nbsp;&nbsp;3899 |
| Fannie Mae Pool #MA4803 3.50% 11/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;7546 | &nbsp;&nbsp;&nbsp;&nbsp;6834 |
| Fannie Mae Pool #MA4804 4.00% 11/1/2052<sup>1</sup> | &nbsp;&nbsp;30649 | &nbsp;&nbsp;28697 |
| Fannie Mae Pool #MA4805 4.50% 11/1/2052<sup>1</sup> | &nbsp;&nbsp;54173 | &nbsp;&nbsp;52801 |
| Fannie Mae Pool #MA4868 5.00% 12/1/2052<sup>1</sup> | &nbsp;&nbsp;14336 | &nbsp;&nbsp;14289 |
| Fannie Mae Pool #BF0141 5.50% 9/1/2056<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;437 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;457 |
| Fannie Mae Pool #BF0379 3.50% 4/1/2059<sup>1</sup> | &nbsp;&nbsp;20364 | &nbsp;&nbsp;18854 |
| Fannie Mae Pool #BM6693 3.50% 8/1/2059<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;8161 | &nbsp;&nbsp;&nbsp;&nbsp;7557 |
| Fannie Mae Pool #BF0481 3.50% 6/1/2060<sup>1</sup> | &nbsp;&nbsp;14462 | &nbsp;&nbsp;13391 |
| Fannie Mae Pool #BF0480 3.50% 6/1/2060<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;9265 | &nbsp;&nbsp;&nbsp;&nbsp;8579 |
| Fannie Mae Pool #BF0497 3.00% 7/1/2060<sup>1</sup> | &nbsp;&nbsp;27117 | &nbsp;&nbsp;23967 |
| Fannie Mae Pool #BF0585 4.50% 12/1/2061<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;5613 | &nbsp;&nbsp;&nbsp;&nbsp;5538 |
| Fannie Mae, Series 2001-4, Class NA, 9.00% 10/25/2025<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>3</sup> |
| Fannie Mae, Series 2001-25, Class ZA, 6.50% 6/25/2031<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;86 |
| Fannie Mae, Series 2006-65, Class PF, (1-month USD-LIBOR + 0.28%) 4.296% 7/25/2036<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;278 |
| Fannie Mae, Series 1999-T2, Class A1, 7.50% 1/19/2039<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94 |
| Fannie Mae, Series 2001-T10, Class A1, 7.00% 12/25/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35 |
| Fannie Mae, Series 2016-M2, Class AV2, Multi Family, 2.152% 1/25/2023<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;81 |
| Fannie Mae, Series 2013-M12, Class APT, Multi Family, 2.529% 3/25/2023<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;378 |
| Fannie Mae, Series 2014-M1, Class A2, Multi Family, 3.398% 7/25/2023<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1008 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;997 |
| Fannie Mae, Series 2014-M3, Class A2, Multi Family, 3.501% 1/25/2024<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1886 | &nbsp;&nbsp;&nbsp;&nbsp;1850 |
| Fannie Mae, Series 2017-M3, Class AV2, Multi Family, 2.623% 5/25/2024<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;756 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;734 |
| Fannie Mae, Series 2017-M10, Class AV2, Multi Family, 2.625% 7/25/2024<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1394 | &nbsp;&nbsp;&nbsp;&nbsp;1347 |
| Fannie Mae, Series 2017-M15, Class AV2, Multi Family, 2.655% 11/25/2024<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;853 |
| Fannie Mae, Series 2016-M5, Class A1, Multi Family, 2.073% 4/25/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;674 |
| Fannie Mae, Series 2016-M9, Class A1, Multi Family, 2.003% 6/25/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| Fannie Mae, Series 2016-M11, Class A1, Multi Family, 2.08% 7/25/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;798 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;782 |
| Fannie Mae, Series 2016-M12, Class A1, Multi Family, 2.132% 9/25/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69 |
| Fannie Mae, Series 2006-56, Class OG, principal only, 0% 7/25/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;217 |
| Fannie Mae, Series 2006-83, Class AO, principal only, 0% 9/25/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;334 |
| Freddie Mac Pool #QS0124 1.50% 11/1/2030<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;458 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;419 |
| Freddie Mac Pool #1H1354 3.962% 11/1/2036<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67 |
| Freddie Mac Pool #C91909 4.00% 11/1/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56 |
| Freddie Mac Pool #G06459 5.00% 5/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1233 | &nbsp;&nbsp;&nbsp;&nbsp;1264 |
| Freddie Mac Pool #QK1181 2.00% 11/1/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;7277 | &nbsp;&nbsp;&nbsp;&nbsp;6191 |
| Freddie Mac Pool #RB5138 2.00% 12/1/2041<sup>1</sup> | &nbsp;&nbsp;49112 | &nbsp;&nbsp;41779 |
| Freddie Mac Pool #RB5145 2.00% 2/1/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;9901 | &nbsp;&nbsp;&nbsp;&nbsp;8422 |
| Freddie Mac Pool #RB5148 2.00% 3/1/2042<sup>1</sup> | &nbsp;&nbsp;42222 | &nbsp;&nbsp;35917 |
| Freddie Mac Pool #RB5153 2.00% 4/1/2042<sup>1</sup> | &nbsp;&nbsp;12841 | &nbsp;&nbsp;10907 |
| Freddie Mac Pool #Q15874 4.00% 2/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 |
| Freddie Mac Pool #Q17696 3.50% 4/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;304 |
| Freddie Mac Pool #Q18236 3.50% 5/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;410 |
| Freddie Mac Pool #Q19133 3.50% 6/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;321 |
| Freddie Mac Pool #G61082 3.00% 7/1/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3658 | &nbsp;&nbsp;&nbsp;&nbsp;3364 |
| Freddie Mac Pool #Q28558 3.50% 9/1/2044<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1532 | &nbsp;&nbsp;&nbsp;&nbsp;1443 |
| Freddie Mac Pool #760012 3.113% 4/1/2045<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;987 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;961 |
| Freddie Mac Pool #760013 3.208% 4/1/2045<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;551 |

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U.S. Government Securities Fund — Page 4 of 16

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Freddie Mac Pool #760014 2.745% 8/1/2045<sup>1,2</sup> | USD700 | &nbsp;&nbsp;&nbsp;&nbsp;$678 |
| Freddie Mac Pool #G60238 3.50% 10/1/2045<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;8698 | &nbsp;&nbsp;&nbsp;&nbsp;8177 |
| Freddie Mac Pool #Z40130 3.00% 1/1/2046<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1633 | &nbsp;&nbsp;&nbsp;&nbsp;1502 |
| Freddie Mac Pool #G60744 3.50% 7/1/2046<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1971 | &nbsp;&nbsp;&nbsp;&nbsp;1849 |
| Freddie Mac Pool #G67700 3.50% 8/1/2046<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;3217 | &nbsp;&nbsp;&nbsp;&nbsp;3031 |
| Freddie Mac Pool #760015 2.557% 1/1/2047<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1630 | &nbsp;&nbsp;&nbsp;&nbsp;1551 |
| Freddie Mac Pool #Q47615 3.50% 4/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;541 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;507 |
| Freddie Mac Pool #Q51622 3.50% 10/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;613 |
| Freddie Mac Pool #Q52069 3.50% 11/1/2047<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;839 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;786 |
| Freddie Mac Pool #ZT0538 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1694 | &nbsp;&nbsp;&nbsp;&nbsp;1578 |
| Freddie Mac Pool #Q54701 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;578 |
| Freddie Mac Pool #Q54709 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;568 |
| Freddie Mac Pool #Q55056 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;468 |
| Freddie Mac Pool #Q54700 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;437 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;409 |
| Freddie Mac Pool #Q54782 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;389 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;364 |
| Freddie Mac Pool #Q54781 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;381 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;356 |
| Freddie Mac Pool #Q54699 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;220 |
| Freddie Mac Pool #Q54831 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175 |
| Freddie Mac Pool #Q54698 3.50% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;145 |
| Freddie Mac Pool #G67711 4.00% 3/1/2048<sup>1</sup> | &nbsp;&nbsp;26196 | &nbsp;&nbsp;25470 |
| Freddie Mac Pool #Q55060 3.50% 4/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140 |
| Freddie Mac Pool #Q55971 4.00% 5/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;762 |
| Freddie Mac Pool #Q56175 4.00% 5/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;742 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;721 |
| Freddie Mac Pool #Q55970 4.00% 5/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;380 |
| Freddie Mac Pool #Q56590 3.50% 6/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;296 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;277 |
| Freddie Mac Pool #Q56589 3.50% 6/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;173 |
| Freddie Mac Pool #Q56591 3.50% 6/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;167 |
| Freddie Mac Pool #Q56599 4.00% 6/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1138 | &nbsp;&nbsp;&nbsp;&nbsp;1106 |
| Freddie Mac Pool #Q57242 4.50% 7/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;388 |
| Freddie Mac Pool #Q58411 4.50% 9/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1429 | &nbsp;&nbsp;&nbsp;&nbsp;1422 |
| Freddie Mac Pool #Q58436 4.50% 9/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;745 |
| Freddie Mac Pool #Q58378 4.50% 9/1/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;543 |
| Freddie Mac Pool #ZA6700 3.50% 4/1/2049<sup>1</sup> | &nbsp;&nbsp;11004 | &nbsp;&nbsp;10212 |
| Freddie Mac Pool #QA0284 3.50% 6/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2134 | &nbsp;&nbsp;&nbsp;&nbsp;1988 |
| Freddie Mac Pool #SD7502 3.50% 7/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;7753 | &nbsp;&nbsp;&nbsp;&nbsp;7215 |
| Freddie Mac Pool #QA1442 3.50% 8/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4231 | &nbsp;&nbsp;&nbsp;&nbsp;3931 |
| Freddie Mac Pool #RA1339 3.00% 9/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;1775 | &nbsp;&nbsp;&nbsp;&nbsp;1592 |
| Freddie Mac Pool #QA2748 3.50% 9/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;557 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;520 |
| Freddie Mac Pool #RA1580 3.50% 10/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4418 | &nbsp;&nbsp;&nbsp;&nbsp;4145 |
| Freddie Mac Pool #RA1463 3.50% 10/1/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;4305 | &nbsp;&nbsp;&nbsp;&nbsp;4040 |
| Freddie Mac Pool #SD0187 3.00% 1/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6963 | &nbsp;&nbsp;&nbsp;&nbsp;6293 |
| Freddie Mac Pool #RA2003 4.50% 1/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6673 | &nbsp;&nbsp;&nbsp;&nbsp;6592 |
| Freddie Mac Pool #RA2319 3.00% 3/1/2050<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;9387 | &nbsp;&nbsp;&nbsp;&nbsp;8387 |
| Freddie Mac Pool #SD7513 3.50% 4/1/2050<sup>1</sup> | &nbsp;&nbsp;76916 | &nbsp;&nbsp;71803 |
| Freddie Mac Pool #SD8106 2.00% 11/1/2050<sup>1</sup> | &nbsp;&nbsp;35090 | &nbsp;&nbsp;29089 |
| Freddie Mac Pool #SD8128 2.00% 2/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;449 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;372 |
| Freddie Mac Pool #SD8134 2.00% 3/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;618 |
| Freddie Mac Pool #RA5288 2.00% 5/1/2051<sup>1</sup> | &nbsp;&nbsp;35878 | &nbsp;&nbsp;29736 |
| Freddie Mac Pool #RA5259 2.50% 5/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6108 | &nbsp;&nbsp;&nbsp;&nbsp;5258 |
| Freddie Mac Pool #RA5559 2.50% 7/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6859 | &nbsp;&nbsp;&nbsp;&nbsp;5879 |
| Freddie Mac Pool #SD7545 2.50% 9/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;6854 | &nbsp;&nbsp;&nbsp;&nbsp;5963 |
| Freddie Mac Pool #QC7537 2.50% 9/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;448 |
| Freddie Mac Pool #RA5971 3.00% 9/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2204 | &nbsp;&nbsp;&nbsp;&nbsp;1972 |
| Freddie Mac Pool #RA6107 2.50% 10/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;1714 |

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U.S. Government Securities Fund — Page 5 of 16

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Freddie Mac Pool #RA6406 2.00% 11/1/2051<sup>1</sup> | USD5,826 | &nbsp;&nbsp;&nbsp;&nbsp;$4836 |
| Freddie Mac Pool #SD1385 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5559 |
| Freddie Mac Pool #SD7548 2.50% 11/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4694 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4084 |
| Freddie Mac Pool #QD5343 2.50% 12/1/2051<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5154 |
| Freddie Mac Pool #SD7552 2.50% 1/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3318 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2867 |
| Freddie Mac Pool #QD7266 2.50% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 |
| Freddie Mac Pool #SD7550 3.00% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;42806 | &nbsp;&nbsp;&nbsp;&nbsp;38541 |
| Freddie Mac Pool #SD0873 3.50% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;32181 | &nbsp;&nbsp;&nbsp;&nbsp;29881 |
| Freddie Mac Pool #QD7089 3.50% 2/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2591 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2379 |
| Freddie Mac Pool #QD9460 2.50% 3/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4581 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3931 |
| Freddie Mac Pool #SD1450 2.50% 3/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2189 |
| Freddie Mac Pool #SD7553 3.00% 3/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;144995 | &nbsp;&nbsp;129907 |
| Freddie Mac Pool #SD7554 2.50% 4/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1501 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1299 |
| Freddie Mac Pool #QE0025 2.50% 4/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100 |
| Freddie Mac Pool #QE2005 2.50% 5/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;917 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;786 |
| Freddie Mac Pool #8D0226 2.521% 5/1/2052<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6597 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5937 |
| Freddie Mac Pool #RA7556 4.50% 6/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;16545 | &nbsp;&nbsp;&nbsp;&nbsp;16147 |
| Freddie Mac Pool #SD8237 4.00% 8/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;60331 | &nbsp;&nbsp;&nbsp;&nbsp;56528 |
| Freddie Mac Pool #SD8244 4.00% 9/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;40251 | &nbsp;&nbsp;&nbsp;&nbsp;37713 |
| Freddie Mac Pool #QE9813 4.50% 9/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1847 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1800 |
| Freddie Mac Pool #RA7938 5.00% 9/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;70735 | &nbsp;&nbsp;&nbsp;&nbsp;70544 |
| Freddie Mac Pool #SD8271 2.50% 10/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1216 |
| Freddie Mac Pool #SD8256 4.00% 10/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;313076 | &nbsp;&nbsp;296509 |
| Freddie Mac Pool #QF2136 4.50% 10/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1852 |
| Freddie Mac Pool #SD8266 4.50% 11/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;194575 | &nbsp;&nbsp;189649 |
| Freddie Mac Pool #SD8275 4.50% 12/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;477672 | &nbsp;&nbsp;465579 |
| Freddie Mac Pool #SD8276 5.00% 12/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;127211 | &nbsp;&nbsp;126751 |
| Freddie Mac Pool #SD8288 5.00% 12/1/2052<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4258 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4242 |
| Freddie Mac, Series 1567, Class A, (1-month USD-LIBOR + 0.40%) 2.547% 8/15/2023<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| Freddie Mac, Series 3156, Class PF, (1-month USD-LIBOR + 0.25%) 4.123% 5/15/2036<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;539 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;528 |
| Freddie Mac, Series K029, Class A2, Multi Family, 3.32% 2/25/2023<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1097 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1092 |
| Freddie Mac, Series K031, Class A2, Multi Family, 3.30% 4/25/2023<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;16806 | &nbsp;&nbsp;&nbsp;&nbsp;16677 |
| Freddie Mac, Series K033, Class A2, Multi Family, 3.06% 7/25/2023<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;21150 | &nbsp;&nbsp;&nbsp;&nbsp;20895 |
| Freddie Mac, Series K035, Class A2, Multi Family, 3.458% 8/25/2023<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;20730 | &nbsp;&nbsp;&nbsp;&nbsp;20487 |
| Freddie Mac, Series K058, Class A2, Multi Family, 2.653% 8/25/2026<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3293 |
| Freddie Mac, Series K065, Class A2, Multi Family, 3.243% 4/25/2027<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1311 |
| Freddie Mac, Series K074, Class A2, Multi Family, 3.60% 1/25/2028<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;542 |
| Freddie Mac, Series 3146, Class PO, principal only, 0% 4/15/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150 |
| Freddie Mac, Series 3156, Class PO, principal only, 0% 5/15/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;454 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;381 |
| Freddie Mac, Series 3213, Class OG, principal only, 0% 9/15/2036<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;189 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Class HA, 3.00% 1/25/2056<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;16272 | &nbsp;&nbsp;&nbsp;&nbsp;15321 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class MT, 3.00% 7/25/2056<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9934 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8690 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Class HT, 3.25% 7/25/2056<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2001 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1824 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HA, 3.00% 8/25/2056<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;18473 | &nbsp;&nbsp;&nbsp;&nbsp;17379 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Class MA, 3.00% 8/25/2056<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;18185 | &nbsp;&nbsp;&nbsp;&nbsp;17011 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-1, Class HT, 3.00% 5/25/2057<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;10669 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9493 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT, 3.25% 6/25/2057<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;11312 | &nbsp;&nbsp;&nbsp;&nbsp;10419 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT, 3.50% 6/25/2057<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5752 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50% 8/25/2057<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4286 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4090 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MT, 3.50% 11/25/2057<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;12288 | &nbsp;&nbsp;&nbsp;&nbsp;11103 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-4, Class MT, 3.50% 11/25/2057<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1810 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1634 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MA, 3.50% 11/26/2057<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3418 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3266 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT, 3.50% 7/25/2058<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8218 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MA, 3.50% 7/25/2058<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3837 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3653 |

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U.S. Government Securities Fund — Page 6 of 16

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA, 3.50% 8/25/2058<sup>1</sup> | USD22,483 | &nbsp;&nbsp;$21361 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MT, 3.50% 8/26/2058<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10504 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9485 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MT, 3.50% 10/25/2058<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4689 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4238 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MA, 3.50% 10/25/2058<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;509 |
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MA, 3.00% 2/25/2059<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13453 | &nbsp;&nbsp;&nbsp;&nbsp;12566 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2018-1, Class A1, 3.50% 6/25/2028<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13695 | &nbsp;&nbsp;&nbsp;&nbsp;13143 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2018-2, Class A1, 3.50% 11/25/2028<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65761 | &nbsp;&nbsp;&nbsp;&nbsp;63104 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2019-2, Class A1C, 2.75% 9/25/2029<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41699 | &nbsp;&nbsp;&nbsp;&nbsp;38609 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2019-3, Class A1C, 2.75% 11/25/2029<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23360 | &nbsp;&nbsp;&nbsp;&nbsp;21598 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2020-1, Class A1D, 2.00% 7/25/2030<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16642 | &nbsp;&nbsp;&nbsp;&nbsp;15019 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2020-1, Class A2D, 2.00% 7/25/2030<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4381 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3631 |
| Freddie Mac Seasoned Loan Structured Transaction Trust, Series 2022-1, Class A1, 3.50% 5/25/2032<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60632 | &nbsp;&nbsp;&nbsp;&nbsp;58872 |
| Government National Mortgage Assn. 4.00% 12/1/2052<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;143612 | &nbsp;&nbsp;137122 |
| Government National Mortgage Assn. 4.50% 12/1/2052<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;551053 | &nbsp;&nbsp;539881 |
| Government National Mortgage Assn. 5.00% 12/1/2052<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;126771 | &nbsp;&nbsp;126692 |
| Government National Mortgage Assn. 2.00% 1/1/2053<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20900 | &nbsp;&nbsp;&nbsp;&nbsp;17811 |
| Government National Mortgage Assn. 2.50% 1/1/2053<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29830 | &nbsp;&nbsp;&nbsp;&nbsp;26254 |
| Government National Mortgage Assn. 3.00% 1/1/2053<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23927 | &nbsp;&nbsp;&nbsp;&nbsp;21637 |
| Government National Mortgage Assn. 3.50% 1/1/2053<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19458 | &nbsp;&nbsp;&nbsp;&nbsp;18080 |
| Government National Mortgage Assn. 4.00% 1/1/2053<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;244397 | &nbsp;&nbsp;233456 |
| Government National Mortgage Assn. 5.50% 1/1/2053<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;176880 | &nbsp;&nbsp;178922 |
| Government National Mortgage Assn. Pool #754335 6.50% 8/20/2029<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;154 |
| Government National Mortgage Assn. Pool #754334 6.50% 10/20/2032<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;282 |
| Government National Mortgage Assn. Pool #AH5901 3.75% 11/20/2034<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;841 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;834 |
| Government National Mortgage Assn. Pool #754319 6.50% 1/20/2037<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;108 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;109 |
| Government National Mortgage Assn. Pool #782365 6.00% 7/15/2038<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134 |
| Government National Mortgage Assn. Pool #004182 5.50% 7/20/2038<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12 |
| Government National Mortgage Assn. Pool #700778 5.50% 10/15/2038<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66 |
| Government National Mortgage Assn. Pool #738836 6.50% 11/20/2038<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65 |
| Government National Mortgage Assn. Pool #754287 6.50% 11/20/2038<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57 |
| Government National Mortgage Assn. Pool #AA4873 6.50% 12/20/2038<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79 |
| Government National Mortgage Assn. Pool #754314 6.50% 1/20/2039<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;481 |
| Government National Mortgage Assn. Pool #741910 4.00% 2/15/2039<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;121 |
| Government National Mortgage Assn. Pool #004367 4.00% 2/20/2039<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 |
| Government National Mortgage Assn. Pool #698406 5.00% 7/15/2039<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;281 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;289 |
| Government National Mortgage Assn. Pool #783690 6.00% 9/20/2039<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;686 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;730 |
| Government National Mortgage Assn. Pool #004636 4.50% 2/20/2040<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;427 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;432 |
| Government National Mortgage Assn. Pool #783689 5.50% 2/20/2040<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1229 |
| Government National Mortgage Assn. Pool #736089 5.00% 6/15/2040<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;133 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134 |
| Government National Mortgage Assn. Pool #736084 5.00% 6/15/2040<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;108 |
| Government National Mortgage Assn. Pool #005040 5.00% 4/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29 |
| Government National Mortgage Assn. Pool #783688 5.00% 6/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2002 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2073 |
| Government National Mortgage Assn. Pool #005112 6.50% 7/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;110 |
| Government National Mortgage Assn. Pool #005157 4.00% 8/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;91 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85 |
| Government National Mortgage Assn. Pool #005187 5.50% 9/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64 |
| Government National Mortgage Assn. Pool #754636 3.50% 11/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;427 |
| Government National Mortgage Assn. Pool #783687 4.50% 12/20/2041<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4452 |
| Government National Mortgage Assn. Pool #754591 4.00% 1/20/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;944 |
| Government National Mortgage Assn. Pool #754637 4.00% 1/20/2042<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;460 |
| Government National Mortgage Assn. Pool #AA2589 3.50% 3/20/2043<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;861 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;792 |
| Government National Mortgage Assn. Pool #MA5332 5.00% 7/20/2048<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 |
| Government National Mortgage Assn. Pool #MA6042 5.00% 7/20/2049<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 |
| Government National Mortgage Assn. Pool #892950 4.513% 7/20/2060<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;514 |
| Government National Mortgage Assn. Pool #710074 4.72% 4/20/2061<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **Mortgage-backed obligations (continued)<br> Federal agency mortgage-backed obligations (continued)** | Principal amount<br> (000) | Value<br> (000) |
| Government National Mortgage Assn. Pool #710077 4.70% 5/20/2061<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$8 |
| Government National Mortgage Assn. Pool #751409 4.95% 7/20/2061<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| Government National Mortgage Assn. Pool #756695 4.70% 11/20/2061<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| Government National Mortgage Assn. Pool #795471 5.104% 2/20/2062<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| Government National Mortgage Assn. Pool #759735 4.729% 3/20/2062<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |
| Government National Mortgage Assn. Pool #767610 4.603% 11/20/2062<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>3</sup> |
| Government National Mortgage Assn. Pool #767641 4.485% 5/20/2063<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>3</sup> |
| Government National Mortgage Assn. Pool #795533 4.953% 5/20/2063<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>3</sup> |
| Government National Mortgage Assn. Pool #894475 4.753% 10/20/2063<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1222 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1237 |
| Government National Mortgage Assn. Pool #AG8068 4.952% 1/20/2064<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| Government National Mortgage Assn. Pool #894482 4.755% 2/20/2064<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1697 |
| Government National Mortgage Assn. Pool #AG8149 3.997% 6/20/2064<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;191 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;190 |
| Government National Mortgage Assn. Pool #AG8156 4.468% 7/20/2064<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178 |
| Government National Mortgage Assn. Pool #AG8150 4.857% 7/20/2064<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| Government National Mortgage Assn. Pool #AG8155 5.163% 7/20/2064<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 |
| Government National Mortgage Assn. Pool #AG8171 5.20% 7/20/2064<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>3</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;—<sup>3</sup> |
| Government National Mortgage Assn. Pool #AA7554 6.64% 7/20/2064<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45 |
| Government National Mortgage Assn. Pool #AG8194 4.246% 9/20/2064<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11 |
| Government National Mortgage Assn. Pool #AG8189 5.156% 9/20/2064<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 |
| Government National Mortgage Assn. Pool #AL7438 4.353% 1/20/2065<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| Government National Mortgage Assn., Series 2003-46, Class NB, 5.00% 6/20/2033<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;126 |
| Government National Mortgage Assn., Series 2010-H23, Class PT, 5.50% 10/20/2060<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;174 |
| Government National Mortgage Assn., Series 2012-H12, Class FT,<br> (1-year CMT Weekly Rate + 0.70%) 4.44% 5/20/2062<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;669 |
| Government National Mortgage Assn., Series 2012-H20, Class PT, 4.164% 7/20/2062<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1157 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1154 |
| Government National Mortgage Assn., Series 2012-H23, Class FI, interest only, 0.556% 10/20/2062<sup>1,2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 |
| Uniform Mortgage-Backed Security 2.50% 12/1/2037<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;28000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25878 |
| Uniform Mortgage-Backed Security 4.00% 12/1/2037<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;11000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10756 |
| Uniform Mortgage-Backed Security 2.00% 1/1/2038<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8200 |
| Uniform Mortgage-Backed Security 2.00% 12/1/2052<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;45934 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37855 |
| Uniform Mortgage-Backed Security 2.50% 12/1/2052<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6248 |
| Uniform Mortgage-Backed Security 3.50% 12/1/2052<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;254476 | &nbsp;&nbsp;&nbsp;&nbsp;233004 |
| Uniform Mortgage-Backed Security 4.00% 12/1/2052<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;232919 | &nbsp;&nbsp;&nbsp;&nbsp;220318 |
| Uniform Mortgage-Backed Security 4.50% 12/1/2052<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;32795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31929 |
| Uniform Mortgage-Backed Security 5.00% 12/1/2052<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;153335 | &nbsp;&nbsp;&nbsp;&nbsp;152616 |
| Uniform Mortgage-Backed Security 5.50% 12/1/2052<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;242111 | &nbsp;&nbsp;&nbsp;&nbsp;244935 |
| Uniform Mortgage-Backed Security 6.00% 12/1/2052<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;224197 | &nbsp;&nbsp;&nbsp;&nbsp;229292 |
| Uniform Mortgage-Backed Security 6.50% 12/1/2052<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;83311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85771 |
| Uniform Mortgage-Backed Security 2.00% 1/1/2053<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5857 |
| Uniform Mortgage-Backed Security 4.50% 1/1/2053<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;&nbsp;27119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26405 |
| Uniform Mortgage-Backed Security 5.00% 1/1/2053<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;146143 | &nbsp;&nbsp;&nbsp;&nbsp;145435 |
| Uniform Mortgage-Backed Security 5.50% 1/1/2053<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;641300 | &nbsp;&nbsp;&nbsp;&nbsp;648430 |
| Uniform Mortgage-Backed Security 6.00% 1/1/2053<sup>1,4</sup> | &nbsp;&nbsp;&nbsp;424852 | &nbsp;&nbsp;&nbsp;&nbsp;434110 |
| Uniform Mortgage-Backed Security 6.50% 1/1/2053<sup>1,4</sup> | 1143280 | &nbsp;&nbsp;1175249 |
| **Total mortgage-backed obligations** |  | &nbsp;&nbsp;8633475 |
| **U.S. Treasury bonds & notes 45.00%<br> U.S. Treasury inflation-protected securities 26.43%** |  |  |
| U.S. Treasury Inflation-Protected Security 0.125% 1/15/2023<sup>5</sup> | &nbsp;&nbsp;&nbsp;262681 | &nbsp;&nbsp;&nbsp;&nbsp;262372 |
| U.S. Treasury Inflation-Protected Security 0.625% 4/15/2023<sup>5</sup> | &nbsp;&nbsp;&nbsp;361449 | &nbsp;&nbsp;&nbsp;&nbsp;358650 |
| U.S. Treasury Inflation-Protected Security 0.375% 7/15/2023<sup>5</sup> | &nbsp;&nbsp;&nbsp;305876 | &nbsp;&nbsp;&nbsp;&nbsp;302636 |
| U.S. Treasury Inflation-Protected Security 0.625% 1/15/2024<sup>5</sup> | &nbsp;&nbsp;&nbsp;694584 | &nbsp;&nbsp;&nbsp;&nbsp;681828 |
| U.S. Treasury Inflation-Protected Security 0.50% 4/15/2024<sup>5</sup> | &nbsp;&nbsp;&nbsp;174905 | &nbsp;&nbsp;&nbsp;&nbsp;170737 |
| U.S. Treasury Inflation-Protected Security 0.125% 7/15/2024<sup>5</sup> | &nbsp;&nbsp;&nbsp;726633 | &nbsp;&nbsp;&nbsp;&nbsp;706129 |

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **U.S. Treasury bonds & notes (continued)<br> U.S. Treasury inflation-protected securities (continued)** | Principal amount<br> (000) | Value<br> (000) |
| U.S. Treasury Inflation-Protected Security 0.125% 10/15/2024<sup>5</sup> | USD318,449 | &nbsp;&nbsp;&nbsp;$308420 |
| U.S. Treasury Inflation-Protected Security 0.125% 4/15/2025<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85014 |
| U.S. Treasury Inflation-Protected Security 0.375% 7/15/2025<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;683644 | &nbsp;&nbsp;&nbsp;&nbsp;661428 |
| U.S. Treasury Inflation-Protected Security 0.125% 10/15/2025<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;116410 | &nbsp;&nbsp;&nbsp;&nbsp;111780 |
| U.S. Treasury Inflation-Protected Security 0.625% 1/15/2026<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26817 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26006 |
| U.S. Treasury Inflation-Protected Security 0.125% 4/15/2026<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;180997 | &nbsp;&nbsp;&nbsp;&nbsp;171945 |
| U.S. Treasury Inflation-Protected Security 0.125% 10/15/2026<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;328125 | &nbsp;&nbsp;&nbsp;&nbsp;312098 |
| U.S. Treasury Inflation-Protected Security 0.125% 4/15/2027<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61695 |
| U.S. Treasury Inflation-Protected Security 1.625% 10/15/2027<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;188088 | &nbsp;&nbsp;&nbsp;&nbsp;190793 |
| U.S. Treasury Inflation-Protected Security 0.125% 1/15/2031<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;216619 | &nbsp;&nbsp;&nbsp;&nbsp;196595 |
| U.S. Treasury Inflation-Protected Security 0.125% 1/15/2032<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50577 |
| U.S. Treasury Inflation-Protected Security 2.125% 2/15/2041<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3727 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4047 |
| U.S. Treasury Inflation-Protected Security 0.75% 2/15/2042<sup>5,6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112354 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;96845 |
| U.S. Treasury Inflation-Protected Security 0.625% 2/15/2043<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43748 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36316 |
| U.S. Treasury Inflation-Protected Security 1.00% 2/15/2049<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58264 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51155 |
| U.S. Treasury Inflation-Protected Security 0.25% 2/15/2050<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1807 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1295 |
| U.S. Treasury Inflation-Protected Security 0.125% 2/15/2051<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46323 |
| U.S. Treasury Inflation-Protected Security 0.125% 2/15/2052<sup>5</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31618 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21936 |
|  |  | &nbsp;&nbsp;4916620 |
| **U.S. Treasury 18.57%** |  |  |
| U.S. Treasury 1.50% 1/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1994 |
| U.S. Treasury 0.50% 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29664 |
| U.S. Treasury (3-month U.S. Treasury Bill Yield + 0.034%) 4.366% 4/30/2023<sup>2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50039 |
| U.S. Treasury 2.75% 5/31/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9293 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9212 |
| U.S. Treasury 2.625% 6/30/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30548 |
| U.S. Treasury 2.75% 7/31/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8496 |
| U.S. Treasury 2.875% 10/31/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16227 |
| U.S. Treasury 0.50% 11/30/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;287903 | &nbsp;&nbsp;&nbsp;&nbsp;276094 |
| U.S. Treasury 2.875% 11/30/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1060 |
| U.S. Treasury 0.125% 12/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;196387 | &nbsp;&nbsp;&nbsp;&nbsp;187297 |
| U.S. Treasury 2.25% 12/31/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28733 |
| U.S. Treasury 0.375% 4/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94422 |
| U.S. Treasury 2.00% 4/30/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69449 |
| U.S. Treasury 2.00% 5/31/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16754 |
| U.S. Treasury 1.75% 6/30/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38572 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36963 |
| U.S. Treasury 2.00% 6/30/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43282 |
| U.S. Treasury 3.00% 7/31/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42970 |
| U.S. Treasury 1.50% 10/31/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;474 |
| U.S. Treasury 1.50% 11/30/2024<sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17027 |
| U.S. Treasury 1.75% 12/31/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17099 |
| U.S. Treasury 2.875% 5/31/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;485 |
| U.S. Treasury 2.875% 7/31/2025<sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;969 |
| U.S. Treasury 3.125% 8/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31186 |
| U.S. Treasury 0.25% 8/31/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;450 |
| U.S. Treasury 4.50% 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63225 |
| U.S. Treasury 0.375% 11/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1184 |
| U.S. Treasury 0.375% 1/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56878 |
| U.S. Treasury 2.625% 1/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46977 |
| U.S. Treasury 2.25% 3/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4921 |
| U.S. Treasury 2.375% 4/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47436 |
| U.S. Treasury 1.375% 8/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22768 |
| U.S. Treasury 0.875% 9/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47912 |
| U.S. Treasury 1.25% 12/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21573 |

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U.S. Government Securities Fund — Page 9 of 16

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **U.S. Treasury bonds & notes (continued)<br> U.S. Treasury (continued)** | Principal amount<br> (000) | Value<br> (000) |
| U.S. Treasury 1.50% 1/31/2027 | USD11,000 | &nbsp;&nbsp;&nbsp;&nbsp;$9991 |
| U.S. Treasury 2.75% 4/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48950 | &nbsp;&nbsp;&nbsp;&nbsp;46744 |
| U.S. Treasury 2.375% 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9391 |
| U.S. Treasury 2.625% 5/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2851 |
| U.S. Treasury 0.50% 6/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14000 | &nbsp;&nbsp;&nbsp;&nbsp;12049 |
| U.S. Treasury 3.25% 6/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66300 | &nbsp;&nbsp;&nbsp;&nbsp;64642 |
| U.S. Treasury 2.75% 7/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp;174576 | &nbsp;&nbsp;166527 |
| U.S. Treasury 0.50% 8/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp;118455 | &nbsp;&nbsp;101424 |
| U.S. Treasury 0.375% 9/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70750 | &nbsp;&nbsp;&nbsp;&nbsp;60084 |
| U.S. Treasury 0.50% 10/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18790 | &nbsp;&nbsp;&nbsp;&nbsp;16013 |
| U.S. Treasury 0.625% 11/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2652 |
| U.S. Treasury 0.75% 1/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2487 |
| U.S. Treasury 1.25% 5/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5510 |
| U.S. Treasury 1.25% 6/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59360 | &nbsp;&nbsp;&nbsp;&nbsp;51814 |
| U.S. Treasury 1.75% 1/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25000 | &nbsp;&nbsp;&nbsp;&nbsp;22234 |
| U.S. Treasury 2.625% 7/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63533 | &nbsp;&nbsp;&nbsp;&nbsp;59358 |
| U.S. Treasury 3.125% 8/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp;135467 | &nbsp;&nbsp;130504 |
| U.S. Treasury 0.625% 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30880 | &nbsp;&nbsp;&nbsp;&nbsp;24859 |
| U.S. Treasury 6.25% 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6106 |
| U.S. Treasury 0.625% 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14510 | &nbsp;&nbsp;&nbsp;&nbsp;11612 |
| U.S. Treasury 1.625% 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;173244 | &nbsp;&nbsp;148398 |
| U.S. Treasury 1.375% 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp;16578 |
| U.S. Treasury 1.875% 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15000 | &nbsp;&nbsp;&nbsp;&nbsp;12942 |
| U.S. Treasury 5.00% 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1716 |
| U.S. Treasury 4.625% 2/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6175 |
| U.S. Treasury 1.125% 5/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20500 | &nbsp;&nbsp;&nbsp;&nbsp;13158 |
| U.S. Treasury 1.125% 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;144100 | &nbsp;&nbsp;&nbsp;&nbsp;91795 |
| U.S. Treasury 1.375% 11/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4914 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3267 |
| U.S. Treasury 1.875% 2/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53184 | &nbsp;&nbsp;&nbsp;&nbsp;38542 |
| U.S. Treasury 2.25% 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44863 | &nbsp;&nbsp;&nbsp;&nbsp;34566 |
| U.S. Treasury 4.375% 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7449 |
| U.S. Treasury 1.75% 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55890 | &nbsp;&nbsp;&nbsp;&nbsp;39094 |
| U.S. Treasury 3.125% 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8868 |
| U.S. Treasury 3.25% 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42000 | &nbsp;&nbsp;&nbsp;&nbsp;37795 |
| U.S. Treasury 2.75% 8/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4956 |
| U.S. Treasury 2.75% 11/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20000 | &nbsp;&nbsp;&nbsp;&nbsp;16469 |
| U.S. Treasury 2.875% 5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9123 |
| U.S. Treasury 3.375% 5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18500 | &nbsp;&nbsp;&nbsp;&nbsp;16723 |
| U.S. Treasury 2.50% 2/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60000 | &nbsp;&nbsp;&nbsp;&nbsp;46409 |
| U.S. Treasury 3.00% 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2830 |
| U.S. Treasury 2.875% 8/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4128 |
| U.S. Treasury 3.00% 11/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2954 |
| U.S. Treasury 2.50% 5/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;38335 |
| U.S. Treasury 3.00% 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29425 | &nbsp;&nbsp;&nbsp;&nbsp;24770 |
| U.S. Treasury 2.75% 8/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2412 |
| U.S. Treasury 2.75% 11/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5830 |
| U.S. Treasury 3.00% 2/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9435 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7962 |
| U.S. Treasury 3.125% 5/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5626 |
| U.S. Treasury 3.375% 11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28375 | &nbsp;&nbsp;&nbsp;&nbsp;25805 |
| U.S. Treasury 3.00% 2/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5102 |
| U.S. Treasury 2.875% 5/15/2049<sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;94000 | &nbsp;&nbsp;&nbsp;&nbsp;78077 |
| U.S. Treasury 2.25% 8/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16800 | &nbsp;&nbsp;&nbsp;&nbsp;12237 |
| U.S. Treasury 2.375% 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6180 |
| U.S. Treasury 2.00% 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53860 | &nbsp;&nbsp;&nbsp;&nbsp;36893 |

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U.S. Government Securities Fund — Page 10 of 16

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| | | |
|:---|:---|:---|
| Bonds, notes & other debt instruments (continued)<br> **U.S. Treasury bonds & notes (continued)<br> U.S. Treasury (continued)** | Principal amount<br> (000) | Value<br> (000) |
| U.S. Treasury 1.25% 5/15/2050<sup>6</sup> | USD188,750 | &nbsp;&nbsp;&nbsp;&nbsp;$105575 |
| U.S. Treasury 1.375% 8/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36523 |
| U.S. Treasury 1.625% 11/15/2050<sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;292196 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;180888 |
| U.S. Treasury 1.875% 2/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34403 |
| U.S. Treasury 2.375% 5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15729 |
| U.S. Treasury 2.00% 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;76123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51845 |
| U.S. Treasury 1.875% 11/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11947 |
| U.S. Treasury 2.25% 2/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;362 |
| U.S. Treasury 3.00% 8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71093 |
| U.S. Treasury 4.00% 11/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3645 |
| U.S. Treasury, principal only, 0% 8/15/2047<sup>6</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;376 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;3456170 |
| **Total U.S. Treasury bonds & notes** |  | &nbsp;&nbsp;&nbsp;&nbsp;8372790 |
| **Federal agency bonds & notes 2.00%** |  |  |
| Export-Import Bank of the United States-Guaranteed, Ethiopian Leasing 2012, LLC 2.646% 5/12/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;616 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;589 |
| Fannie Mae 0.625% 4/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;147420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;135289 |
| Fannie Mae 0.75% 10/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18771 |
| Fannie Mae 7.125% 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5958 |
| Fannie Mae 0.875% 8/5/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50598 |
| Federal Home Loan Bank 3.375% 9/8/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14004 |
| Federal Home Loan Bank 3.25% 11/16/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54704 |
| Federal Home Loan Bank 5.50% 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1115 |
| Freddie Mac 0.375% 4/20/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24593 |
| Private Export Funding Corp. 3.55% 1/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14073 |
| Small Business Administration, Series 2003-20B, 4.84% 2/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31 |
| Tennessee Valley Authority 0.75% 5/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12115 |
| Tennessee Valley Authority 2.875% 2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4787 |
| Tennessee Valley Authority 4.65% 6/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4534 |
| Tennessee Valley Authority 5.88% 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4094 |
| Tennessee Valley Authority, Series 2008, Class A, 4.875% 1/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3293 |
| TVA Southaven 3.846% 8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1562 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1461 |
| U.S. Agency for International Development, Israel (State of), Class 1A, 5.50% 9/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5018 |
| U.S. Agency for International Development, Jordan (Kingdom of) 3.00% 6/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3001 |
| U.S. Department of Housing and Urban Development, Series 2015-A-9, 2.80% 8/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;493 |
| U.S. Department of Housing and Urban Development, Series 2015-A-10, 2.85% 8/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;729 |
| U.S. Department of Housing and Urban Development, Series 2015-A-11, 2.95% 8/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;841 |
| U.S. Department of Housing and Urban Development, Series 2015-A-12, 3.10% 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;836 |
| U.S. Department of Housing and Urban Development, Series 2015-A-13, 3.15% 8/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3648 |
| U.S. Department of Housing and Urban Development, Series 2015-A-14, 3.25% 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1174 |
| U.S. Department of Housing and Urban Development, Series 2015-A-15, 3.35% 8/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;792 |
| U.S. Department of Housing and Urban Development, Series 2015-A-16, 3.50% 8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;796 |
| U.S. Department of Housing and Urban Development, Series 2015-A-17, 3.55% 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;796 |
| U.S. Department of Housing and Urban Development, Series 2015-A-18, 3.60% 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;738 |
| U.S. Department of Housing and Urban Development, Series 2015-A-19, 3.65% 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;619 |
| U.S. Government-Guaranteed Certificates of Participation,<br> Overseas Private Investment Corp. 3.82% 12/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1367 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1321 |
| U.S. Government-Guaranteed Certificates of Participation,<br> Overseas Private Investment Corp. 3.938% 12/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1078 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1046 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;371857 |
| **Total bonds, notes & other debt instruments (cost: $18,438,128,000)** |  | &nbsp;&nbsp;17378122 |

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U.S. Government Securities Fund — Page 11 of 16

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| | | | |
|:---|:---|:---|:---|
| Short-term securities 39.26%<br> **Money market investments 28.12%** |  | Shares | Value<br> (000) |
| Capital Group Central Cash Fund 3.94%<sup>7,8</sup> | Capital Group Central Cash Fund 3.94%<sup>7,8</sup> | &nbsp;&nbsp;52313946 | &nbsp;&nbsp;$5230871 |
| **U.S. Treasury bills 6.07%** | Weighted<br> average yield<br> at acquisition | Principal amount<br> (000) |  |
| U.S. Treasury 1/19/2023 | 3.820% | USD150,000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;149205 |
| U.S. Treasury 2/16/2023 | 4.082 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;297358 |
| U.S. Treasury 2/23/2023 | 2.446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;396157 |
| U.S. Treasury 11/2/2023 | 4.530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;287457 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;1130177 |
| **Federal agency bills & notes 5.07%** |  |  |  |
| Federal Home Loan Bank 12/02/2022 | 1.592 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49994 |
| Federal Home Loan Bank 12/06/2022 | 1.528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49973 |
| Federal Home Loan Bank 12/23/2022 | 3.731 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49880 |
| Federal Home Loan Bank 01/12/2023 | 3.608 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;149301 |
| Federal Home Loan Bank 01/17/2023 | 3.644 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;149210 |
| Federal Home Loan Bank 01/27/2023 | 4.024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;149023 |
| Federal Home Loan Bank 02/07/2023 | 4.095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49609 |
| Federal Home Loan Bank 02/15/2023 | 4.164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;148661 |
| Federal Home Loan Bank 02/28/2023 | 4.203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;148401 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;944052 |
| **Total short-term securities (cost: $7,304,306,000)** |  |  | &nbsp;&nbsp;&nbsp;&nbsp;7305100 |
| **Total investment securities 132.67% (cost: $25,742,434,000)** |  |  | &nbsp;&nbsp;24683222 |
| **Other assets less liabilities (32.67)%** |  |  | &nbsp;&nbsp;&nbsp;(6078943) |
| **Net assets 100.00%** |  |  | $18604279 |

---

Futures contracts

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Contracts | Type | Number of<br> contracts | Expiration | Notional<br> amount<br> (000) | Value and<br> unrealized<br> (depreciation)<br> appreciation<br> at 11/30/2022<br> (000) |
| 30 Day Federal Funds Futures | Long | 8148 | December 2022 | USD3,266,845 | &nbsp;&nbsp;&nbsp;&nbsp;$(2034) |
| 30 Day Federal Funds Futures | Short | 71 | February 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(28296) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;325 |
| 90 Day Eurodollar Futures | Long | 3812 | December 2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;906327 | &nbsp;&nbsp;&nbsp;&nbsp;(37015) |
| 3 Month SOFR Futures | Long | 3 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;716 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(9) |
| 3 Month SOFR Futures | Short | 3180 | June 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(755926) | &nbsp;&nbsp;&nbsp;&nbsp;13041 |
| 90 Day Eurodollar Futures | Long | 17770 | September 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4220375 | &nbsp;&nbsp;(183591) |
| 90 Day Eurodollar Futures | Short | 10965 | December 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2612959) | &nbsp;&nbsp;&nbsp;101575 |
| 90 Day Eurodollar Futures | Short | 10342 | December 2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2496817) | &nbsp;&nbsp;&nbsp;&nbsp;48114 |
| 2 Year U.S. Treasury Note Futures | Short | 3531 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(725124) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1329) |
| 5 Year U.S. Treasury Note Futures | Long | 44400 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4820522 | &nbsp;&nbsp;&nbsp;&nbsp;23328 |
| 10 Year U.S. Treasury Note Futures | Long | 7378 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;837403 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4285 |
| 10 Year Ultra U.S. Treasury Note Futures | Long | 1346 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;161057 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;327 |
| 20 Year U.S. Treasury Bond Futures | Long | 3849 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;488823 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(374) |
| 30 Year Ultra U.S. Treasury Bond Futures | Long | 172 | March 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(29) |
|  |  |  |  |  | &nbsp;&nbsp;$(33386) |

---

U.S. Government Securities Fund — Page 12 of 16

------

unaudited

Swap contracts

------

#### Interest rate swaps

#### Centrally cleared interest rate swaps

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Receive | Receive | Pay | Pay | Expiration<br> date | Notional<br> amount<br> (000) | Value at<br> 11/30/2022<br> (000) | Upfront<br> premium<br> paid<br> (received)<br> (000) | Unrealized<br> (depreciation)<br> appreciation<br> at 11/30/2022<br> (000) |
| Rate | &nbsp;&nbsp;&nbsp;&nbsp;Payment<br> frequency | Rate | Payment<br> frequency | Expiration<br> date | Notional<br> amount<br> (000) | Value at<br> 11/30/2022<br> (000) | Upfront<br> premium<br> paid<br> (received)<br> (000) | Unrealized<br> (depreciation)<br> appreciation<br> at 11/30/2022<br> (000) |
| 1.2525% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | &nbsp;&nbsp;2/14/2023 | USD586,311 | &nbsp;&nbsp;&nbsp;$(3759) | &nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$(3759) |
| 3-month USD-LIBOR | &nbsp;&nbsp;&nbsp;Quarterly | 1.495% | Semi-annual | 11/10/2023 | 115000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3797 |
| U.S. EFFR | &nbsp;&nbsp;&nbsp;Annual | 2.4325% | Annual | 12/21/2023 | 94000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2315 |
| 0.2405% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | &nbsp;&nbsp;&nbsp;&nbsp;3/1/2024 | 467500 | &nbsp;&nbsp;&nbsp;(25583) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(25583) |
| U.S. EFFR | &nbsp;&nbsp;&nbsp;Annual | 0.11% | Annual | &nbsp;&nbsp;5/18/2024 | 718900 | &nbsp;&nbsp;&nbsp;&nbsp;31496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;31496 |
| 3.497% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | &nbsp;&nbsp;6/16/2024 | 309200 | &nbsp;&nbsp;&nbsp;&nbsp;(5374) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(5374) |
| 3.52647% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | &nbsp;&nbsp;6/16/2024 | 336442 | &nbsp;&nbsp;&nbsp;&nbsp;(5701) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(5701) |
| 3.5291% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | &nbsp;&nbsp;6/16/2024 | 363558 | &nbsp;&nbsp;&nbsp;&nbsp;(6147) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(6147) |
| 3.4585% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | &nbsp;&nbsp;6/17/2024 | 47859 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(859) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(859) |
| 3.4325% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | &nbsp;&nbsp;6/17/2024 | 227000 | &nbsp;&nbsp;&nbsp;&nbsp;(4160) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(4160) |
| 4.345% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | &nbsp;&nbsp;9/29/2024 | 228400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(672) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(672) |
| 4.197% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | &nbsp;&nbsp;9/30/2024 | 228400 | &nbsp;&nbsp;&nbsp;&nbsp;(1258) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(1258) |
| 4.1735% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | &nbsp;&nbsp;9/30/2024 | 233800 | &nbsp;&nbsp;&nbsp;&nbsp;(1384) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(1384) |
| 4.15% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | &nbsp;&nbsp;10/6/2024 | 233000 | &nbsp;&nbsp;&nbsp;&nbsp;(1444) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(1444) |
| 4.5645% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | 10/19/2024 | 85300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;128 |
| 4.533% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | 10/20/2024 | 106600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;101 |
| 4.56% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | 10/27/2024 | 106800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;176 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;176 |
| 4.5245% | &nbsp;&nbsp;&nbsp;Annual | U.S. EFFR | Annual | 10/27/2024 | 128200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;129 |
| U.S. EFFR | &nbsp;&nbsp;&nbsp;Annual | 0.126% | Annual | &nbsp;&nbsp;6/25/2025 | 148100 | &nbsp;&nbsp;&nbsp;&nbsp;14340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;14340 |
| U.S. EFFR | &nbsp;&nbsp;&nbsp;Annual | 0.1275% | Annual | &nbsp;&nbsp;6/25/2025 | 148100 | &nbsp;&nbsp;&nbsp;&nbsp;14335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;14335 |
| U.S. EFFR | &nbsp;&nbsp;&nbsp;Annual | 0.106% | Annual | &nbsp;&nbsp;6/30/2025 | 165373 | &nbsp;&nbsp;&nbsp;&nbsp;16148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;16148 |
| 3-month USD-LIBOR | &nbsp;&nbsp;&nbsp;Quarterly | 1.867% | Semi-annual | &nbsp;&nbsp;7/11/2025 | 199200 | &nbsp;&nbsp;&nbsp;&nbsp;12167 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;12167 |
| 2.925% | &nbsp;&nbsp;&nbsp;Semi-annual | 3-month USD-LIBOR | Quarterly | &nbsp;&nbsp;&nbsp;&nbsp;2/1/2028 | 48600 | &nbsp;&nbsp;&nbsp;&nbsp;(1935) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(1935) |
| 2.91% | &nbsp;&nbsp;&nbsp;Semi-annual | 3-month USD-LIBOR | Quarterly | &nbsp;&nbsp;&nbsp;&nbsp;2/1/2028 | 60800 | &nbsp;&nbsp;&nbsp;&nbsp;(2461) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(2461) |
| 2.908% | &nbsp;&nbsp;&nbsp;Semi-annual | 3-month USD-LIBOR | Quarterly | &nbsp;&nbsp;&nbsp;&nbsp;2/1/2028 | 60700 | &nbsp;&nbsp;&nbsp;&nbsp;(2463) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(2463) |
| 2.92% | &nbsp;&nbsp;&nbsp;Semi-annual | 3-month USD-LIBOR | Quarterly | &nbsp;&nbsp;&nbsp;&nbsp;2/2/2028 | 45900 | &nbsp;&nbsp;&nbsp;&nbsp;(1835) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(1835) |
| 3.16% | &nbsp;&nbsp;&nbsp;Annual | SOFR | Annual | &nbsp;&nbsp;6/20/2028 | 39600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(394) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(394) |
| U.S. EFFR | &nbsp;&nbsp;&nbsp;Annual | 2.32625% | Annual | &nbsp;&nbsp;4/18/2029 | 60500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3960 |
| U.S. EFFR | &nbsp;&nbsp;&nbsp;Annual | 0.5385% | Annual | &nbsp;&nbsp;3/26/2030 | 233200 | &nbsp;&nbsp;&nbsp;&nbsp;43156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;43156 |
| 0.913% | &nbsp;&nbsp;&nbsp;Semi-annual | 3-month USD-LIBOR | Quarterly | &nbsp;&nbsp;&nbsp;&nbsp;6/9/2030 | 235000 | &nbsp;&nbsp;&nbsp;(42798) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(42798) |
| U.S. EFFR | &nbsp;&nbsp;&nbsp;Annual | 0.666% | Annual | 11/19/2030 | 111300 | &nbsp;&nbsp;&nbsp;&nbsp;21053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;21053 |
| SOFR | &nbsp;&nbsp;&nbsp;Annual | 3.10% | Annual | &nbsp;&nbsp;6/20/2033 | 21400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;322 |
| 3-month USD-LIBOR | &nbsp;&nbsp;&nbsp;Quarterly | 2.9625% | Semi-annual | &nbsp;&nbsp;&nbsp;&nbsp;2/1/2038 | 36300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1503 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1503 |
| 3-month USD-LIBOR | &nbsp;&nbsp;&nbsp;Quarterly | 2.963% | Semi-annual | &nbsp;&nbsp;&nbsp;&nbsp;2/1/2038 | 36300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1502 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1502 |
| 3-month USD-LIBOR | &nbsp;&nbsp;&nbsp;Quarterly | 2.986% | Semi-annual | &nbsp;&nbsp;&nbsp;&nbsp;2/1/2038 | 29200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1161 |
| 0.833% | &nbsp;&nbsp;&nbsp;Semi-annual | 3-month USD-LIBOR | Quarterly | &nbsp;&nbsp;&nbsp;&nbsp;4/3/2040 | 21600 | &nbsp;&nbsp;&nbsp;&nbsp;(7865) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;(7865) |
| 3-month USD-LIBOR | &nbsp;&nbsp;&nbsp;Quarterly | 0.81% | Semi-annual | &nbsp;&nbsp;7/28/2045 | 242600 | &nbsp;&nbsp;104033 | &nbsp;&nbsp;(144) | &nbsp;&nbsp;104177 |
|  |  |  |  |  |  | $155730 | $(144) | $155874 |

---

U.S. Government Securities Fund — Page 13 of 16

------

unaudited

Investments in affiliates<sup>8</sup>

------

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Value of<br> affiliate at<br> 9/1/2022<br> (000) | &nbsp;&nbsp;Additions<br> (000) | &nbsp;&nbsp;Reductions<br> (000) | &nbsp;&nbsp;Net<br> realized<br> gain<br> (000) | &nbsp;&nbsp;Net<br> unrealized<br> appreciation<br> (000) | &nbsp;&nbsp;Value of<br> affiliate at<br> 11/30/2022<br> (000) | &nbsp;&nbsp;Dividend<br> income<br> (000) |
| **Short-term securities 28.12%** | **Short-term securities 28.12%** | **Short-term securities 28.12%** | **Short-term securities 28.12%** | **Short-term securities 28.12%** | **Short-term securities 28.12%** | **Short-term securities 28.12%** | **Short-term securities 28.12%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Money market investments 28.12%** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital Group Central Cash Fund 3.94%<sup>7</sup> | $3670895 | &nbsp;&nbsp;$4157155 | &nbsp;&nbsp;$2597823 | &nbsp;&nbsp;$129 | &nbsp;&nbsp;$515 | &nbsp;&nbsp;$5230871 | &nbsp;&nbsp;$44485 |

---

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

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

<sup>3</sup> Amount less than one thousand.

<sup>4</sup> Purchased on a TBA basis.

<sup>5</sup> Index-linked bond whose principal amount moves with a government price index.

<sup>6</sup> All or a portion of this security was pledged as collateral. The total value of pledged collateral was $140,143,000, which represented .75% of the net assets of the fund.

<sup>7</sup> Rate represents the seven-day yield at 11/30/2022.

<sup>8</sup> Part of the same "group of investment companies" as the fund as defined under the Investment Company Act of 1940, as amended.

Valuation disclosures

------

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

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

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

---

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

---

U.S. Government Securities Fund — Page 14 of 16

------

unaudited

The Capital Group Central Cash Fund ("CCF"), a fund within the Capital Group Central Fund Series ("Central Funds"), is valued based upon a floating net asset value, which fluctuates with changes in the value of CCF's portfolio securities. The underlying securities are valued based on the policies and procedures in CCF's statement of additional information. Exchange-traded futures are generally valued at the official settlement price of the exchange or market on which such instruments are traded, as of the close of business on the day the futures are being valued. The average month-end notional amount of futures contracts while held was $26,643,063,000. Swaps are generally valued using evaluated prices obtained from third-party pricing vendors who calculate these values based on market inputs that may include the yields of the indices referenced in the instrument and the relevant curve, dealer quotes, default probabilities and recovery rates, other reference data, and terms of the contract. The average month-end notional amounts of interest rate swaps while held were $12,241,735,000.

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

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

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Investment securities | Investment securities | Investment securities | Investment securities |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bonds, notes & other debt instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mortgage-backed obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;$8633475 | $— | &nbsp;&nbsp;$8633475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury bonds & notes | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;8372790 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;8372790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Federal agency bonds & notes | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;371857 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;371857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Short-term securities | &nbsp;&nbsp;&nbsp;5230871 | &nbsp;&nbsp;&nbsp;&nbsp;2074229 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;7305100 |
| Total | $5230871 | $19452351 | $— | $24683222 |

---

U.S. Government Securities Fund — Page 15 of 16

------

unaudited

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Other investments\* | Other investments\* | Other investments\* | Other investments\* |
|  | Level 1 | Level 2 | Level 3 | Total |
| **Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized appreciation on futures contracts | $190995 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | $— | $190995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized appreciation on centrally cleared interest rate swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;271966 | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;271966 |
| **Liabilities:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized depreciation on futures contracts | &nbsp;&nbsp;&nbsp;(224381) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(224381) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unrealized depreciation on centrally cleared interest rate swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(116092) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;(116092) |
| Total | &nbsp;&nbsp;$(33386) | $155874 | $— | $122488 |

---

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

---

| |
|:---|
| **Key to abbreviations** |
| Assn. = Association |
| CMT = Constant Maturity Treasury |
| EFFR = Effective Federal Funds Rate |
| LIBOR = London Interbank Offered Rate |
| SOFR = Secured Overnight Financing Rate |
| TBA = To be announced |
| USD = U.S. dollars |

---

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

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

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

MFGEFP1-022-0123O-S89772 U.S. Government Securities Fund — Page 16 of 16

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AMERICAN FUNDS INCOME SERIES

- **b. Investment Company Act file number:** 811-04318

- **c. CIK number of Registrant:** 0000770161

- **d. LEI of Registrant:** B4NSFTV70Q62C8KCLN24

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

  - **Street Address 1:** 333 South Hope Street

  - **City:** Los Angeles

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 9499755000

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

- **a. Name of Series:** U.S. Government Securities Fund

- **b. EDGAR series identifier (if any):** S000009235

- **c. LEI of Series:** B4NSFTV70Q62C8KCLN24

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $31682582645.13

**Total Liabilities:** $13126112390.70

**Net Assets:** $18556470254.43

**Cash Not Reported:** $35464.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1431.350000000000 | **1-Year:** -3473.110000000000 | **5-Year:** -1926.970000000000 | **10-Year:** -3333.090000000000 | **30-Year:** -494.919688900000

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

- **3-Month:** -1967.030000000000 | **1-Year:** -31876.920000000000 | **5-Year:** -64991.770000000000 | **10-Year:** -23411.830000000000 | **30-Year:** -2187.300000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000025132 | -4.73%               | -1.17%               | 3.10%                |
| Class ID C000025133 | -4.79%               | -1.22%               | 2.97%                |
| Class ID C000025134 | -4.86%               | -1.22%               | 3.06%                |
| Class ID C000025135 | -4.82%               | -1.19%               | 3.08%                |
| Class ID C000025136 | -4.80%               | -1.16%               | 3.10%                |
| Class ID C000025137 | -4.78%               | -1.05%               | 3.04%                |
| Class ID C000025139 | -4.79%               | -1.22%               | 2.97%                |
| Class ID C000025140 | -4.72%               | -1.17%               | 3.10%                |
| Class ID C000025141 | -4.73%               | -1.17%               | 3.10%                |
| Class ID C000025143 | -4.80%               | -1.22%               | 2.97%                |
| Class ID C000025144 | -4.82%               | -1.10%               | 2.99%                |
| Class ID C000025145 | -4.71%               | -1.15%               | 3.11%                |
| Class ID C000068600 | -4.71%               | -1.14%               | 3.12%                |
| Class ID C000077855 | -4.70%               | -1.13%               | 3.13%                |
| Class ID C000148357 | -4.75%               | -1.20%               | 2.98%                |
| Class ID C000164800 | -4.79%               | -1.06%               | 3.03%                |
| Class ID C000179952 | -4.77%               | -1.13%               | 3.13%                |
| Class ID C000189432 | -4.79%               | -1.07%               | 3.03%                |
| Class ID C000189433 | -4.78%               | -1.06%               | 3.04%                |
| Class ID C000224557 | -4.78%               | -1.14%               | 3.12%                |
| Class ID C000224558 | -4.77%               | -1.05%               | 3.04%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-210468758.78           | $-1585892577.73                            |
| Month 2  | $-185600088.99           | $52196777.65                               |
| Month 3  | $-28501522.82            | $448368538.54                              |

**Designated Index Information**

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

- **Index Identifier:** I01262US

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UNITED STATES TREASURY                                        | US TREASURY NOTE FRN 04-30-23                                | CUSIP: 91282CBY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50000000 | PA      | $50039200.00   | 0.27%             | 2023-04-30      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 1.625% 05-15-31                             | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  173244400 | PA      | $148398173.24  | 0.80%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.375% 05-15-51                             | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21100000 | PA      | $15729191.23   | 0.08%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.25% 05-31-28                              | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6300000 | PA      | $5510308.86    | 0.03%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 1.25% 06-30-28                              | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   59360000 | PA      | $51813652.24   | 0.28%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.0% 08-15-51                               | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   76123500 | PA      | $51845424.53   | 0.28%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.375% 11-15-31                             | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $16578218.00   | 0.09%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.875% 11-15-51                             | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18120000 | PA      | $11946639.22   | 0.06%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 0.5% 11-30-23                               | CUSIP: 91282CDM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  287902700 | PA      | $276094198.02  | 1.49%             | 2023-11-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHR 3156 PO PAC PO .0% 05-15-36                              | CUSIP: 31396RAU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |     453912 | PA      | $380787.15     | 0.00%             | 2036-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHR 3146 PO PAC PO .0% 04-15-36                              | CUSIP: 31396JXH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |     181203 | PA      | $150062.01     | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCI UMBS 4.0 MA2717 08-01-36                                | CUSIP: 31418CAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3586797 | PA      | $3486086.80    | 0.02%             | 2036-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCI UMBS 4.0 MA2746 09-01-36                                | CUSIP: 31418CBQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3289257 | PA      | $3196898.29    | 0.02%             | 2036-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCT UMBS 4.0 MA2588 04-01-36                                | CUSIP: 31418B2W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    4166161 | PA      | $4049187.71    | 0.02%             | 2036-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCT UMBS 4.0 AS6870 03-01-36                                | CUSIP: 3138WGT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2151565 | PA      | $2091158.02    | 0.01%             | 2036-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCT UMBS 4.0 MA2787 10-01-36                                | CUSIP: 31418CCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    6678912 | PA      | $6491381.84    | 0.03%             | 2036-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCT UMBS 4.0 MA2819 11-01-36                                | CUSIP: 31418CDZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     408917 | PA      | $397435.66     | 0.00%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGTW 4.0 C91909 11-01-36                                     | CUSIP: 3128P8DN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      57567 | PA      | $56011.94      | 0.00%             | 2036-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCT UMBS 4.0 MA2856 12-01-36                                | CUSIP: 31418CE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       9342 | PA      | $9079.36       | 0.00%             | 2036-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE-ACES FNMA_13-M12                                    | FNA 13-M12 APT (MF) FRN 03-25-23                             | CUSIP: 3136AGMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     381762 | PA      | $378426.26     | 0.00%             | 2023-03-25      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNR 06-56 OG PAC PO 0.0% 07-25-36                            | CUSIP: 31395NXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |     256973 | PA      | $217142.33     | 0.00%             | 2036-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNR 06-83 AO PAC PO .0% 09-25-36                             | CUSIP: 31396KD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |     392605 | PA      | $333919.25     | 0.00%             | 2036-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE-ACES FNMA_16-M2                                     | FNA 16-M2 AV2 (MF) 2.152% 01-25-23                           | CUSIP: 3136AQ5E6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      81095 | PA      | $80841.85      | 0.00%             | 2023-01-25      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES FNMA_16-M5                                    | FNA 16-M5 A1 (MF) 2.073% 04-25-26                            | CUSIP: 3136AR4Z8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     690161 | PA      | $673579.51     | 0.00%             | 2026-04-25      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHR 3213 OG PAC PO .0% 09-15-36                              | CUSIP: 31397B2P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |     213579 | PA      | $189444.30     | 0.00%             | 2036-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNR 01-25 ZA 6.5% 06-25-31                                   | CUSIP: 31359SU65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |      84091 | PA      | $85546.54      | 0.00%             | 2031-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHR 3156 PF PAC1 FRN (L+25) 05-15-36                         | CUSIP: 31396RAR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |     539046 | PA      | $528037.23     | 0.00%             | 2036-05-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNR 06-65 PF PAC1 FRN (L+28) 07-25-36                        | CUSIP: 31396KAC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |     282506 | PA      | $277888.87     | 0.00%             | 2036-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 MA2833 12-01-46                                | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    6706252 | PA      | $6056060.34    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE ACES FNMA_16-M9                                    | FNA 16-M9 A1 (MF) 2.003% 06-25-26                            | CUSIP: 3136ATYS7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       2513 | PA      | $2505.80       | 0.00%             | 2026-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE-ACES FNMA_16-M11                                    | FNA 16-M11 A1 (MF) 2.08% 07-25-26                            | CUSIP: 3136ATZ80<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     797615 | PA      | $782475.19     | 0.00%             | 2026-07-25      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K058           | FHLMC K058 A2 (MF) 2.653% 08-25-26                           | CUSIP: 3137BSP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3507000 | PA      | $3293157.17    | 0.02%             | 2026-08-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE-ACES FNMA_16-M12                                    | FNA 16-M12 A1 (MF) 2.132% 09-25-26                           | CUSIP: 3136AUKW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      69252 | PA      | $68725.00      | 0.00%             | 2026-09-25      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 G60744 200K MAX 07-01-46                           | CUSIP: 31335AZH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1971386 | PA      | $1848714.87    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHARM FRN 760014 08-01-45                                    | CUSIP: 31342WAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     699851 | PA      | $677516.24     | 0.00%             | 2045-08-01      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNIONP 6.5 888372 04-01-37                                   | CUSIP: 31410F6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      12540 | PA      | $12882.32      | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE ACES FNMA_17-M3                                    | FNA 17-M3 AV2 (MF) FRN 05-25-24                              | CUSIP: 3136AVPR4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     755902 | PA      | $733959.55     | 0.00%             | 2024-05-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNIONP 6.5 256810 07-01-37                                   | CUSIP: 31371NGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      26633 | PA      | $28121.81      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNIONP 7.0 256828 07-01-37                                   | CUSIP: 31371NHD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      13863 | PA      | $14506.57      | 0.00%             | 2037-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNIONP 6.5 256860 08-01-37                                   | CUSIP: 31371NJD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      36210 | PA      | $38191.59      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K065           | FHMS K065 A2 (MF) 3.243% 04-25-27/04-26-27                   | CUSIP: 3137F1G44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1370000 | PA      | $1311102.33    | 0.01%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FNMA_17-M10                                                   | FNA 17-M10 AV2 (MF) FRN 07-25-24                             | CUSIP: 3136AXVB8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1394366 | PA      | $1346919.64    | 0.01%             | 2024-07-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNIONP 7.0 888698 10-01-37                                   | CUSIP: 31410GKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      40703 | PA      | $42662.90      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 CA0770 11-01-47                                | CUSIP: 3140Q72C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    9207129 | PA      | $8620681.31    | 0.05%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE ACES FNMA_17-M15                                   | FNA 17-M15 AV2 (MF) FRN 11-15-24                             | CUSIP: 3136AY6S7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     890160 | PA      | $853117.30     | 0.00%             | 2024-11-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHMS_K074           | FHMS K074 A2 (MF) 3.6% 01-25-28                              | CUSIP: 3137F4D41<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     560000 | PA      | $542150.56     | 0.00%             | 2028-01-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCT UMBS 6.5 256993 11-01-27                                | CUSIP: 31371NNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      87408 | PA      | $90088.18      | 0.00%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCI UMBS 6.5 257055 12-01-27                                | CUSIP: 31371NQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     161483 | PA      | $166439.57     | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNIONP 6.0 970343 02-01-38                                   | CUSIP: 31414MP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      32813 | PA      | $32758.43      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHARM FRN 1H1354 11-01-36                                    | CUSIP: 3128NGE35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      65269 | PA      | $66634.40      | 0.00%             | 2036-11-01      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNIONP 7.0 889388 03-01-38                                   | CUSIP: 31410KCZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     135623 | PA      | $140969.07     | 0.00%             | 2038-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 BD2440 01-01-47                                | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     392787 | PA      | $367582.64     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC Z40130 01-01-46                                        | CUSIP: 3132FCEB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1633134 | PA      | $1502029.02    | 0.01%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.0 G61082 07-01-43                                    | CUSIP: 31335BFX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3658122 | PA      | $3364381.70    | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.0 AY3880 11-01-45                                | CUSIP: 3138YHJ27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      75355 | PA      | $73752.98      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.0 BJ4342 01-01-48                                | CUSIP: 3140H5ZG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     135421 | PA      | $130874.18     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS BC3465 02-01-46                                    | CUSIP: 3140EXZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       6784 | PA      | $6603.54       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.0 BJ6169 01-01-48                                | CUSIP: 3140H72B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      39294 | PA      | $38041.09      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCI UMBS 3.0 CA1442 03-01-33                                | CUSIP: 3140Q8S89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     455044 | PA      | $430052.26     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCI UMBS 3.0 BJ5302 03-01-33                                | CUSIP: 3140H63L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     305180 | PA      | $288399.36     | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.5 BJ8318 01-01-48                                | CUSIP: 3140HAG46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     174737 | PA      | $172372.04     | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCI UMBS 4.0 BN3172 01-01-34                                | CUSIP: 3140JKQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      10067 | PA      | $9890.62       | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCI UMBS 4.0 BN1085 01-01-34                                | CUSIP: 3140JHF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       7711 | PA      | $7580.38       | 0.00%             | 2034-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.5 ZT0538 03-01-48                                | CUSIP: 3132ACS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1693732 | PA      | $1578145.37    | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.5 BN1172 11-01-48                                | CUSIP: 3140JHJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     156385 | PA      | $153920.97     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHLMC POOL #760015 ARH5 FRN 01-01-47                         | CUSIP: 31342WAQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1629577 | PA      | $1550868.28    | 0.01%             | 2047-01-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHARM FRN 760012 04-01-45                                    | CUSIP: 31342WAM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     987195 | PA      | $960928.46     | 0.01%             | 2045-04-01      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHARM FRN 760013 04-01-45                                    | CUSIP: 31342WAN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     564961 | PA      | $550976.34     | 0.00%             | 2045-04-01      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-3                       | SCRT 18-3 MA 3.5% 08-25-57                                   | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4285716 | PA      | $4090257.32    | 0.02%             | 2057-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 FM1505 09-01-49                                | CUSIP: 3140X4U79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   11666649 | PA      | $10454134.26   | 0.06%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 AJ9327 01-01-42                                | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      27273 | PA      | $25751.60      | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCI UMBS 2.5 BO6247 12-01-34                                | CUSIP: 3140K15H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    4373102 | PA      | $4071563.67    | 0.02%             | 2034-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 4.5 RA2003 01-01-50                                | CUSIP: 3133KHGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    6673490 | PA      | $6592073.70    | 0.04%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 4.0 G67711 03-01-48                                    | CUSIP: 3132XCR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   26195938 | PA      | $25470101.14   | 0.14%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.5 RA1580 10-01-49                                | CUSIP: 3133KGXH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    4418057 | PA      | $4145095.72    | 0.02%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.5 QA0284 06-01-49                                | CUSIP: 31334WJ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    2134436 | PA      | $1987900.41    | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 932606 02-01-40                                    | CUSIP: 31412RDK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      59108 | PA      | $59814.56      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 BE5009 01-01-45                                | CUSIP: 3140FQR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     377999 | PA      | $355340.42     | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.0 BH3122 06-01-47                                | CUSIP: 3140GRPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      51653 | PA      | $50353.71      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS AE1283 12-01-41                                    | CUSIP: 31419BM93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      65127 | PA      | $65829.66      | 0.00%             | 2041-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.5 BK9761 08-01-48                                | CUSIP: 3140HPZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     135733 | PA      | $135679.34     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 AE1274 10-01-41                                | CUSIP: 31419BMY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      62890 | PA      | $64372.19      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q54701 03-01-48                                    | CUSIP: 3132XXGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     617331 | PA      | $578214.21     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q52069 11-01-47                                    | CUSIP: 3132XUJP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     838847 | PA      | $785523.88     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 BJ8411 08-01-49                                | CUSIP: 3140HAKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1224128 | PA      | $1139484.50    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 AE1277 11-01-41                                | CUSIP: 31419BM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     123107 | PA      | $125672.07     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.0 BJ5015 12-01-47                                | CUSIP: 3140H6SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1573421 | PA      | $1528155.38    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 BJ4901 03-01-48                                | CUSIP: 3140H6NT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     466172 | PA      | $435810.36     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.0 BK9743 08-01-48                                | CUSIP: 3140HPZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     314227 | PA      | $304237.38     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 AE1290 02-01-42                                | CUSIP: 31419BNG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      40678 | PA      | $41405.88      | 0.00%             | 2042-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 BH2848 05-01-47                                | CUSIP: 3140GREW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      73678 | PA      | $69201.68      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.0 CA2850 12-01-48                                | CUSIP: 3140QAEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1944193 | PA      | $1905326.93    | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 BE8742 05-01-47                                | CUSIP: 3140FUWC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     178744 | PA      | $167231.84     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 FM1443 09-01-49                                | CUSIP: 3140X4S98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3530667 | PA      | $3289264.41    | 0.02%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L FRN 0.625% 01-15-24                          | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  694633559 | PA      | $681828121.26  | 3.67%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.125% 08-15-40                             | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  144100000 | PA      | $91795143.99   | 0.49%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.125% 10-15-25                              | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  116418363 | PA      | $111779846.34  | 0.60%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.625% 11-15-50                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  292195700 | PA      | $180888218.68  | 0.97%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.375% 11-15-40                             | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4913600 | PA      | $3267120.45    | 0.02%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.125% 01-15-31                              | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  216634200 | PA      | $196595470.00  | 1.06%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.875% 02-15-51                             | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52054000 | PA      | $34402722.84   | 0.19%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.875% 02-15-41                             | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  132183500 | PA      | $95793818.66   | 0.52%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.125% 12-15-51                              | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   67142181 | PA      | $46322880.79   | 0.25%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.125% 04-15-26                              | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  181009635 | PA      | $171944998.96  | 0.93%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.25% 05-15-41                              | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44863000 | PA      | $34565505.88   | 0.19%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.75% 08-15-41                              | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55890000 | PA      | $39093914.84   | 0.21%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 0.875% 09-30-26                             | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53740000 | PA      | $47912332.29   | 0.26%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.125% 10-15-26                              | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  328146492 | PA      | $312098074.33  | 1.68%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 1.25% 12-31-26                              | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23960000 | PA      | $21572649.56   | 0.12%             | 2026-12-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.125% 01-15-32                              | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   56309477 | PA      | $50577346.12   | 0.27%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.75% 01-31-29                              | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25000000 | PA      | $22234020.00   | 0.12%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.25% 02-15-52                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $361948.75     | 0.00%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 1.875% 02-15-32                             | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15000000 | PA      | $12942421.50   | 0.07%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.125% 02-15-52                              | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36525285 | PA      | $25337973.61   | 0.14%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.125% 04-15-27                              | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   65331536 | PA      | $61694928.15   | 0.33%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.75% 04-30-27                              | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48950000 | PA      | $46743896.93   | 0.25%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 3.25% 05-15-42                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42000000 | PA      | $37795086.00   | 0.20%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.625% 05-31-27                             | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3000000 | PA      | $2850635.70    | 0.02%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 3.25% 06-30-27                              | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   66300000 | PA      | $64642267.95   | 0.35%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.625% 07-31-29                             | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63533200 | PA      | $59357518.55   | 0.32%             | 2029-07-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 3.0% 07-31-24                               | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   44000000 | PA      | $42970457.20   | 0.23%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.75% 07-31-27                              | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  174575600 | PA      | $166526914.16  | 0.90%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 3.125% 08-15-25                             | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32000000 | PA      | $31186361.60   | 0.17%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 3.0% 08-15-52                               | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   82850000 | PA      | $71092731.65   | 0.38%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 3.125% 08-31-29                             | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  135466800 | PA      | $130503770.58  | 0.70%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 1.625% 10-15-27                              | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  188103361 | PA      | $190792670.99  | 1.03%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 4.5% 11-15-25                               | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   62500000 | PA      | $63224625.00   | 0.34%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L FRN 0.125% 07-15-24                          | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  726685000 | PA      | $706129116.07  | 3.81%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L FRN 0.375% 07-15-25                          | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  683692633 | PA      | $661427829.37  | 3.56%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L FRN 0.625% 01-15-26                          | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26818821 | PA      | $26005516.03   | 0.14%             | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.25% 12-31-23                              | CUSIP: 912828V23<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   69710100 | PA      | $67904719.95   | 0.37%             | 2023-12-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 3.0% 02-15-47                               | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29425000 | PA      | $24770309.27   | 0.13%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.0% 04-30-24                               | CUSIP: 912828X70<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   72000000 | PA      | $69449277.60   | 0.37%             | 2024-04-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.375% 05-15-27                             | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $9391053.00    | 0.05%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.0% 05-31-24                               | CUSIP: 912828XT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17400000 | PA      | $16754296.44   | 0.09%             | 2024-05-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.0% 06-30-24                               | CUSIP: 912828XX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45000000 | PA      | $43282435.50   | 0.23%             | 2024-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.75% 08-15-47                              | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3000000 | PA      | $2411526.90    | 0.01%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.75% 11-15-47                              | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7250000 | PA      | $5830482.63    | 0.03%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 3.0% 02-15-48                               | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9435000 | PA      | $7962453.13    | 0.04%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 3.125% 05-15-48                             | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6500000 | PA      | $5625969.70    | 0.03%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.875% 05-31-25                             | CUSIP: 9128284R8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $484574.50     | 0.00%             | 2025-05-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.75% 05-31-23                              | CUSIP: 9128284S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9293000 | PA      | $9212049.61    | 0.05%             | 2023-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 6.25% 05-15-30                              | CUSIP: 912810FM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5250000 | PA      | $6105968.40    | 0.03%             | 2030-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 3.375% 05-15-44                             | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18500000 | PA      | $16723284.05   | 0.09%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | U S TREASURY BILL 2/23/2023                                  | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  400000000 | PA      | $396157160.00  | 2.13%             | 2023-02-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | U S TREASURY BILL 1/19/2023                                  | CUSIP: 912796XS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  150000000 | PA      | $149205195.00  | 0.80%             | 2023-01-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | U S TREASURY BILL 2/16/2023                                  | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  300000000 | PA      | $297357810.00  | 1.60%             | 2023-02-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | U S TREASURY BILL 11/2/2023                                  | CUSIP: 912796YT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  300000000 | PA      | $287456490.00  | 1.55%             | 2023-11-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 4.625% 02-15-40                             | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5600000 | PA      | $6174865.76    | 0.03%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 4.375% 05-15-41                             | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7000000 | PA      | $7448768.60    | 0.04%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.5% 02-15-45                               | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60000000 | PA      | $46409490.00   | 0.25%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 2.125% 02-15-41                              | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3727185 | PA      | $4047463.75    | 0.02%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 3.125% 11-15-41                             | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $8868193.00    | 0.05%             | 2041-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.75% 02-15-42                               | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  112362445 | PA      | $96845094.70   | 0.52%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.75% 08-15-42                              | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6000000 | PA      | $4955737.80    | 0.03%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.75% 11-15-42                              | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $16469060.00   | 0.09%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.125% 01-15-23                              | CUSIP: 912828UH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  262699769 | PA      | $262372280.58  | 1.41%             | 2023-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.625% 02-15-43                              | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   43750973 | PA      | $36315676.75   | 0.20%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.875% 05-15-43                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10880000 | PA      | $9122752.70    | 0.05%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.375% 07-15-23                              | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  305897038 | PA      | $302636358.42  | 1.63%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 3.0% 05-15-45                               | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3350000 | PA      | $2830014.68    | 0.02%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.875% 08-15-45                             | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5000000 | PA      | $4127647.50    | 0.02%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 5.0% 05-15-37                               | CUSIP: 912810PU6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1500000 | PA      | $1716202.20    | 0.01%             | 2037-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 3.0% 11-15-45                               | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3500000 | PA      | $2954019.25    | 0.02%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.5% 05-15-46                               | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50000000 | PA      | $38335225.00   | 0.21%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.625% 06-30-23                             | CUSIP: 9128284U1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30888000 | PA      | $30547750.15   | 0.16%             | 2023-06-30      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.75% 07-31-23                              | CUSIP: 912828Y61<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8600000 | PA      | $8495859.16    | 0.05%             | 2023-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.875% 07-31-25                             | CUSIP: 912828Y79<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $969059.60     | 0.01%             | 2025-07-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.875% 10-31-23                             | CUSIP: 9128285K2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16500000 | PA      | $16226718.75   | 0.09%             | 2023-10-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 3.375% 11-15-48                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28375000 | PA      | $25805155.70   | 0.14%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.875% 11-30-23                             | CUSIP: 9128285P1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1080000 | PA      | $1060298.42    | 0.01%             | 2023-11-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.25% 03-31-26                              | CUSIP: 9128286L9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5200000 | PA      | $4921132.32    | 0.03%             | 2026-03-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.375% 04-30-26                             | CUSIP: 9128286S4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50000000 | PA      | $47436135.00   | 0.26%             | 2026-04-30      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.875% 05-15-49                             | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   94000000 | PA      | $78076616.20   | 0.42%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 1.75% 06-30-24                              | CUSIP: 9128286Z8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   38572400 | PA      | $36963144.04   | 0.20%             | 2024-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.25% 08-15-49                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16800000 | PA      | $12236812.56   | 0.07%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 1.375% 08-31-26                             | CUSIP: 912828YD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25000000 | PA      | $22767762.50   | 0.12%             | 2026-08-31      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 1.5% 10-31-24                               | CUSIP: 912828YM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $474001.00     | 0.00%             | 2024-10-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 1.5% 11-30-24                               | CUSIP: 912828YV6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18000000 | PA      | $17026745.40   | 0.09%             | 2024-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 1.75% 12-31-24                              | CUSIP: 912828YY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18000000 | PA      | $17098561.80   | 0.09%             | 2024-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 1.5% 01-31-27                               | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11000000 | PA      | $9991375.90    | 0.05%             | 2027-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 0.5% 03-15-23                               | CUSIP: 912828ZD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $29664300.00   | 0.16%             | 2023-03-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 0.5% 06-30-27                               | CUSIP: 912828ZV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14000000 | PA      | $12049332.40   | 0.06%             | 2027-06-30      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.375% 08-15-50                             | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50380000 | PA      | $29123428.58   | 0.16%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 0.625% 08-15-30                             | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14510000 | PA      | $11611820.48   | 0.06%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 0.5% 08-31-27                               | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  118455000 | PA      | $101423812.55  | 0.55%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 0.25% 08-31-25                              | CUSIP: 91282CAJ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $450171.30     | 0.00%             | 2025-08-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 0.375% 09-30-27                             | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70750000 | PA      | $60084175.73   | 0.32%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 0.5% 10-31-27                               | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18790000 | PA      | $16013426.13   | 0.09%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 0.375% 11-30-25                             | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1320000 | PA      | $1183988.12    | 0.01%             | 2025-11-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 0.625% 11-30-27                             | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3100000 | PA      | $2652255.53    | 0.01%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 0.125% 12-15-23                             | CUSIP: 91282CBA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  242387200 | PA      | $231167314.66  | 1.25%             | 2023-12-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 0.75% 01-31-28                              | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2900000 | PA      | $2487033.33    | 0.01%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 0.375% 01-31-26                             | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63740000 | PA      | $56878363.50   | 0.31%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 0.375% 04-15-24                             | CUSIP: 91282CBV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  100000000 | PA      | $94421580.00   | 0.51%             | 2024-04-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 FM9632 11-01-51                                | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   15603797 | PA      | $13933551.34   | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 FM9631 11-01-51                                | CUSIP: 3140XDVZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    6618017 | PA      | $5921914.34    | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 CB2292 11-01-51                                | CUSIP: 3140QMRN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   20877386 | PA      | $18719248.65   | 0.10%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 CB2293 12-01-51                                | CUSIP: 3140QMRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   20896221 | PA      | $18663648.21   | 0.10%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNMDI4 3.5 BM6693 08-01-59                                   | CUSIP: 3140JBNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    8161344 | PA      | $7556792.70    | 0.04%             | 2059-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 CB2371 12-01-51                                | CUSIP: 3140QMT53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    8356086 | PA      | $7230546.14    | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 CB2414 12-01-51                                | CUSIP: 3140QMVG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   45493429 | PA      | $40785541.78   | 0.22%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 SD7545 09-01-51                                | CUSIP: 3132DVL29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    6853816 | PA      | $5962538.57    | 0.03%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 FM9492 11-01-51                                | CUSIP: 3140XDRN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   14550893 | PA      | $12590989.45   | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 CB2319 12-01-51                                | CUSIP: 3140QMSH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3257161 | PA      | $2814222.69    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 CB2372 12-01-51                                | CUSIP: 3140QMT61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1557725 | PA      | $1345894.43    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 FM9804 12-01-51                                | CUSIP: 3140XD3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    7729688 | PA      | $6696916.30    | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 FM9694 11-01-51                                | CUSIP: 3140XDXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    7227896 | PA      | $6270047.82    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 BT9510 12-01-51                                | CUSIP: 3140LYR88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1232978 | PA      | $1066893.28    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.0 RA5971 09-01-51                                | CUSIP: 3133KMT47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    2203691 | PA      | $1971900.30    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 BT9483 12-01-51                                | CUSIP: 3140LYRD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1236040 | PA      | $1067953.19    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 BM1179 04-01-47                                | CUSIP: 3140J5JZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     142230 | PA      | $128553.55     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 AS8310 11-01-46                                | CUSIP: 3138WJGU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     141144 | PA      | $127713.94     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNMDI4 5.5 BF0141 09-01-56                                   | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     436665 | PA      | $457377.39     | 0.00%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 CB2544 01-01-52                                | CUSIP: 3140QMZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   21555584 | PA      | $19223010.83   | 0.10%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCT UMBS 2.0 RB5145 02-01-42                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    9900615 | PA      | $8422205.50    | 0.05%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCT UMBS 2.0 RB5148 03-01-42                                | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   42221657 | PA      | $35916823.66   | 0.19%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCT UMBS 2.0 MA4540 02-01-42                                | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   18565921 | PA      | $15793527.35   | 0.09%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCT UMBS 2.0 MA4570 03-01-42                                | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   10503118 | PA      | $8934687.13    | 0.05%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCT UMBS 2.0 RB5153 04-01-42                                | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   12840881 | PA      | $10907468.21   | 0.06%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCT UMBS 2.0 MA4586 04-01-42                                | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3310342 | PA      | $2816068.25    | 0.02%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 SD7548 11-01-51                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    4694020 | PA      | $4083891.01    | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 FS0433 12-01-51                                | CUSIP: 3140XFPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   45268868 | PA      | $39577484.49   | 0.21%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.0 SD7550 02-01-52                                | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   42805981 | PA      | $38540749.95   | 0.21%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 FM9976 12-01-51                                | CUSIP: 3140XECN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   10637827 | PA      | $9579979.94    | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.5 SD0873 02-01-52                                | CUSIP: 3132DM6J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   32181284 | PA      | $29880804.96   | 0.16%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 FM7687 06-01-51                                | CUSIP: 3140XBRH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3171108 | PA      | $2838833.00    | 0.02%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.0 SD7553 03-01-52                                | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  144995415 | PA      | $129907482.03  | 0.70%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHR 1567 A FRN (L+40) 08-15-23                               | CUSIP: 3133T0WA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |       1515 | PA      | $1504.60       | 0.00%             | 2023-08-15      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 CA7606 11-01-50                                | CUSIP: 3140QFNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   44742481 | PA      | $40203669.18   | 0.22%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCT UMBS 2.0 MA4501 12-01-41                                | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   52250320 | PA      | $44448824.58   | 0.24%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCT UMBS 2.0 RB5138 12-01-41                                | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   49111843 | PA      | $41778904.41   | 0.23%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCT UMBS 2.0 QK1181 11-01-41                                | CUSIP: 3133D4J20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    7277062 | PA      | $6190538.15    | 0.03%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.5 AH0351 02-01-41                                | CUSIP: 3138A1L90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     276184 | PA      | $276347.53     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.0 MA4305 04-01-51                                | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     129052 | PA      | $106852.65     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 AI3510 06-01-41                                | CUSIP: 3138AG3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     402243 | PA      | $410624.37     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 AI1862 05-01-41                                | CUSIP: 3138AFB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     684500 | PA      | $698766.30     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 AJ0704 09-01-41                                | CUSIP: 3138ARYA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     320098 | PA      | $328456.64     | 0.00%             | 2041-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 AJ5391 11-01-41                                | CUSIP: 3138AW7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     245960 | PA      | $251755.07     | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 5.0 G06459 05-01-41                                    | CUSIP: 3128M8QL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1233200 | PA      | $1263613.46    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.0 SD8128 02-01-51                                | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     448750 | PA      | $371991.19     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.0 SD8134 03-01-51                                | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     746193 | PA      | $617948.42     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.0 SD8106 11-01-50                                | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   35090059 | PA      | $29089342.93   | 0.16%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHARM FRN 8D0226 05-01-52                                    | CUSIP: 3142BNHB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    6596964 | PA      | $5937320.29    | 0.03%             | 2052-05-01      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 CB0457 05-01-51                                | CUSIP: 3140QKQK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    6224770 | PA      | $5359720.11    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 RA5259 05-01-51                                | CUSIP: 3133KLZY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    6107891 | PA      | $5258179.89    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 SD7554 04-01-52                                | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1501195 | PA      | $1299083.03    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 CA8828 02-01-51                                | CUSIP: 3140QGY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   10219834 | PA      | $8877325.62    | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 FS0647 02-01-52                                | CUSIP: 3140XFWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    6416937 | PA      | $5777514.65    | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.0 RA6406 11-01-51                                | CUSIP: 3133KNDK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    5826255 | PA      | $4836333.60    | 0.03%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 5.0 RA7938 09-01-52                                | CUSIP: 3133KPZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   70734519 | PA      | $70544313.95   | 0.38%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 FM9416 07-01-45                                | CUSIP: 3140XDPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  143214375 | PA      | $133636770.45  | 0.72%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 FM3280 05-01-49                                | CUSIP: 3140X6UE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   37468179 | PA      | $34983289.79   | 0.19%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 CA5968 06-01-50                                | CUSIP: 3140QDT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2434326 | PA      | $2120134.91    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.0 CB2765 02-01-52                                | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    7892141 | PA      | $6570294.05    | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 SD7552 01-01-52                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    3318122 | PA      | $2867119.95    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHMS K029 A2 (MF) 3.32% 02-25-23                             | CUSIP: 3137B36J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |    1096965 | PA      | $1092365.31    | 0.01%             | 2023-02-25      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHMS K031 A2 (MF) 3.3% 07-25-46/04-25-23                     | CUSIP: 3137B3NX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   16805608 | PA      | $16677011.86   | 0.09%             | 2023-04-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 4.5 RA7556 06-01-52                                | CUSIP: 3133KPMD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   16545156 | PA      | $16146781.59   | 0.09%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 SD1450 03-01-52                                | CUSIP: 3132DNTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    2527618 | PA      | $2188995.47    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.0 RA5288 05-01-51                                | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   35878329 | PA      | $29735995.04   | 0.16%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.0 CB0290 04-01-51                                | CUSIP: 3140QKKC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   11081353 | PA      | $9177056.10    | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.5 QD7089 02-01-52                                | CUSIP: 3133B42W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    2591444 | PA      | $2379315.87    | 0.01%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 BQ3005 10-01-50                                | CUSIP: 3140KNKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    7387581 | PA      | $6360204.76    | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 SD1385 11-01-51                                | CUSIP: 3132DNRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    6418899 | PA      | $5559003.92    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 CB1527 09-01-51                                | CUSIP: 3140QLVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    8484409 | PA      | $7294386.03    | 0.04%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 FM7900 07-01-51                                | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2343528 | PA      | $2031761.12    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 8.0 735571 11-01-31                                | CUSIP: 31402RFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      59050 | PA      | $60128.55      | 0.00%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT                | HUD 15-A 10 2.85% 08-01-24                                   | CUSIP: 911759MF2<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     750000 | PA      | $729391.35     | 0.00%             | 2024-08-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT                | HUD 15-A 13 3.15% 08-01-27                                   | CUSIP: 911759MJ4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    3850000 | PA      | $3647873.08    | 0.02%             | 2027-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT                | HUD 15-A 12 3.10% 08-01-26                                   | CUSIP: 911759MH8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     875000 | PA      | $836512.60     | 0.00%             | 2026-08-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT                | HUD 15-A 18 3.60% 08-01-32                                   | CUSIP: 911759MP0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     800000 | PA      | $738232.00     | 0.00%             | 2032-08-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 CA7257 10-01-50                                | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2360508 | PA      | $2052379.04    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 FS0523 02-01-52                                | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2403219 | PA      | $2076561.40    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT                | HUD 15-A 15 3.35% 08-01-29                                   | CUSIP: 911759ML9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     850000 | PA      | $791657.53     | 0.00%             | 2029-08-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT                | HUD 15-A 14 3.25% 08-01-28                                   | CUSIP: 911759MK1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    1250000 | PA      | $1174178.00    | 0.01%             | 2028-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT                | HUD 15-A 19 3.65% 08-01-33                                   | CUSIP: 911759MQ8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     675000 | PA      | $618851.48     | 0.00%             | 2033-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT                | HUD 15-A 17 3.55% 08-01-31                                   | CUSIP: 911759MN5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     825000 | PA      | $795674.55     | 0.00%             | 2031-08-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNMDI4 4.5 BF0585 12-01-61                                   | CUSIP: 3140FXUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    5612756 | PA      | $5538420.28    | 0.03%             | 2061-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 CB2286 12-01-51                                | CUSIP: 3140QMRG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   15167429 | PA      | $13104795.00   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 CA6593 08-01-50                                | CUSIP: 3140QEKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   11153006 | PA      | $9702624.25    | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.0 FS0965 11-01-51                                | CUSIP: 3140XGCB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     608634 | PA      | $505210.12     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.0 BR1035 05-01-51                                | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      76042 | PA      | $62922.53      | 0.00%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.0 BP6715 09-01-50                                | CUSIP: 3140KEN95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       4063 | PA      | $3367.98       | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT                | HUD 15-A 9 2.80% 08-01-23                                    | CUSIP: 911759ME5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     500000 | PA      | $493073.40     | 0.00%             | 2023-08-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT                | HUD 15-A 11 2.95% 08-01-25                                   | CUSIP: 911759MG0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     875000 | PA      | $840644.26     | 0.00%             | 2025-08-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.5 BV0961 10-01-52                                | CUSIP: 3140MEB70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    4000001 | PA      | $3898737.07    | 0.02%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.5 MA4784 10-01-52                                | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   59278501 | PA      | $57777746.89   | 0.31%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT                | HUD 15-A 16 3.50% 08-01-30                                   | CUSIP: 911759MM7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     825000 | PA      | $795762.83     | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-4                       | SCRT 18-4 MT 3.5% 03-15-57                                   | CUSIP: 35563PHE2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1809614 | PA      | $1633766.88    | 0.01%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 4.5 SD8266 11-01-52                                | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  194574554 | PA      | $189648510.25  | 1.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ETHIOPIAN LEASING 2012 LLC                                    | ETHAIR SR SEC SF 2.646% 05-12-26                             | CUSIP: 29766DAF1<br>LEI: N/A                  | Long             | DBT              | USGA              | ET        |     616560 | PA      | $589039.83     | 0.00%             | 2026-05-12      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT FUNDING CORPORATION                            | PEFCO 3.55% 01-15-24                                         | CUSIP: 742651DT6<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | USGA              | US        |   14300000 | PA      | $14072728.67   | 0.08%             | 2024-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SOUTHAVEN COMBINED CYCLE GENERATION LLC                       | TVA SOUTHAVEN  STRUCTURED SR SEC 1ST LIEN SF 3.846% 08-15-33 | CUSIP: 841215AA4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    1561746 | PA      | $1460707.82    | 0.01%             | 2033-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FHLB 3.375% 09-08-23                                         | CUSIP: 313383YJ4<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   14160000 | PA      | $14004366.02   | 0.08%             | 2023-09-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHLMC_K035          | FHMS K035 A2 (MF) 3.458% 08-25-23                            | CUSIP: 3137B5KW2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   20729694 | PA      | $20487114.79   | 0.11%             | 2023-08-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FED HM LN BK BD 12/2/2022                                    | CUSIP: 313385R65<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   50000000 | PA      | $49994625.00   | 0.27%             | 2022-12-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FED HM LN BK BD 12/6/2022                                    | CUSIP: 313385S23<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   50000000 | PA      | $49973060.00   | 0.27%             | 2022-12-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FED HM LN BK BD 12/23/2022                                   | CUSIP: 313385U38<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   50000000 | PA      | $49880475.00   | 0.27%             | 2022-12-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNMA 7.125% 01-15-30                                         | CUSIP: 31359MFJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    5000000 | PA      | $5957648.50    | 0.03%             | 2030-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FED HM LN BK BD 1/12/2023                                    | CUSIP: 313384AM1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  150000000 | PA      | $149300655.00  | 0.80%             | 2023-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FED HM LN BK BD 1/17/2023                                    | CUSIP: 313384AS8<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  150000000 | PA      | $149209710.00  | 0.80%             | 2023-01-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FED HM LN BK BD 1/27/2023                                    | CUSIP: 313384BC2<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  150000000 | PA      | $149022915.00  | 0.80%             | 2023-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FED HM LN BK BD 2/7/2023                                     | CUSIP: 313384BP3<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   50000000 | PA      | $49608630.00   | 0.27%             | 2023-02-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FED HM LN BK BD 2/15/2023                                    | CUSIP: 313384BX6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  150000000 | PA      | $148660725.00  | 0.80%             | 2023-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FED HM LN BK BD 2/28/2023                                    | CUSIP: 313384CL1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |  150000000 | PA      | $148401030.00  | 0.80%             | 2023-02-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FHLB 3.25% 11-16-28                                          | CUSIP: 3130AFFX0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |   56500000 | PA      | $54704283.10   | 0.29%             | 2028-11-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FHLMC UNSEC 0.375% 04-20-23                                  | CUSIP: 3137EAEQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   25000000 | PA      | $24592750.00   | 0.13%             | 2023-04-20      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNMA 0.625% 04-22-25                                         | CUSIP: 3135G03U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  147420000 | PA      | $135289412.62  | 0.73%             | 2025-04-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNMA 0.875% 08-05-30                                         | CUSIP: 3135G05Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   63500000 | PA      | $50597790.60   | 0.27%             | 2030-08-05      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNMA 0.75% 10-08-27                                          | CUSIP: 3135G05Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   21700000 | PA      | $18771094.58   | 0.10%             | 2027-10-08      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANKS                                       | FHLB 5.5% 07-15-36                                           | CUSIP: 3133XGAY0<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGA              | US        |    1000000 | PA      | $1115050.40    | 0.01%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OVERSEAS PRIVATE INVESTMENT CORPORATION                       | OVERSEAS PRIVATE INV SR SEC 1ST LIEN SF 3.938% 12-20-32      | CUSIP: 690353XR3<br>LEI: 549300IDY55XMYWXSD28 | Long             | DBT              | USGA              | US        |    1077831 | PA      | $1046117.27    | 0.01%             | 2032-12-20      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| OVERSEAS PRIVATE INVESTMENT CORPORATION                       | OVERSEAS PRIVATE INV SR SEC 1ST LIEN SF 3.82% 12-20-32       | CUSIP: 690353YV3<br>LEI: 549300IDY55XMYWXSD28 | Long             | DBT              | USGA              | US        |    1366763 | PA      | $1320923.27    | 0.01%             | 2032-12-20      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                    | TVA BOND 4.875% 01-15-48                                     | CUSIP: 880591EB4<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    3300000 | PA      | $3292848.90    | 0.02%             | 2048-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                    | TVA BOND 4.65% 06-15-35                                      | CUSIP: 880591DX7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    4480000 | PA      | $4533612.16    | 0.02%             | 2035-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                    | TVA BOND 5.88% 04-01-36                                      | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    3625000 | PA      | $4094087.69    | 0.02%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                    | TVA BOND 0.75% 05-15-25                                      | CUSIP: 880591EW8<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   13200000 | PA      | $12115540.80   | 0.07%             | 2025-05-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                    | TVA BOND 2.875% 02-01-27                                     | CUSIP: 880591EU2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    5000000 | PA      | $4787329.00    | 0.03%             | 2027-02-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES AGENCY FOR INTERNATIONAL DEVELOPMENT            | AID-ISRAEL 5.5% 09-18-23                                     | CUSIP: 46513EFF4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    5000000 | PA      | $5018112.00    | 0.03%             | 2023-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES AGENCY FOR INTERNATIONAL DEVELOPMENT            | AID-JORDAN 3.0% 06-30-25                                     | CUSIP: 418097AF8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    3125000 | PA      | $3000937.19    | 0.02%             | 2025-06-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY PRIN STRIP 0% 08-15-47                           | CUSIP: 912803EZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $375553.00     | 0.00%             | 2047-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L FRN 0.625% 04-15-23                          | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  361475847 | PA      | $358649793.57  | 1.93%             | 2023-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 2.625% 01-31-26                             | CUSIP: 9128286A3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49000000 | PA      | $46977118.30   | 0.25%             | 2026-01-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 3.0% 02-15-49                               | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6000000 | PA      | $5101627.20    | 0.03%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L FRN 1.0% 02-15-49                            | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   58268288 | PA      | $51155132.60   | 0.28%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L FRN 0.5% 04-15-24                            | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  174918790 | PA      | $170737112.22  | 0.92%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.125% 10-15-24                              | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  318471319 | PA      | $308419589.34  | 1.66%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.375% 11-15-49                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8250000 | PA      | $6179924.85    | 0.03%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY NOTE 1.5% 01-15-23                               | CUSIP: 912828Z29<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1993978.40    | 0.01%             | 2023-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 2.0% 02-15-50                               | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   61860000 | PA      | $42372454.52   | 0.23%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.25% 02-15-50                               | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1807092 | PA      | $1294753.55    | 0.01%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY I/L 0.125% 04-15-25                              | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   88542359 | PA      | $85014473.28   | 0.46%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 0.625% 05-15-30                             | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30880000 | PA      | $24858523.52   | 0.13%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.25% 05-15-50                              | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  188750000 | PA      | $105574764.38  | 0.57%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                        | US TREASURY BOND 1.125% 05-15-40                             | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20500000 | PA      | $13157961.90   | 0.07%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 FM1062 06-01-49                                | CUSIP: 3140X4FC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    4751568 | PA      | $4441014.88    | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 931768 08-01-39                                | CUSIP: 31412QFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      12601 | PA      | $12898.31      | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS AT0300 03-01-43                                    | CUSIP: 3138WMKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      46814 | PA      | $44145.36      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 BH2847 05-01-47                                | CUSIP: 3140GREV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      39154 | PA      | $36590.49      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 AD3566 10-01-35                                | CUSIP: 31418Q6C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      42037 | PA      | $42522.28      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 BH2846 05-01-47                                | CUSIP: 3140GREU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      82376 | PA      | $77008.89      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q56591 06-01-48                                    | CUSIP: 3132Y0KD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     178057 | PA      | $166570.25     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 695412 06-01-33                                | CUSIP: 31400RR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |       3713 | PA      | $3824.16       | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q54700 03-01-48                                    | CUSIP: 3132XXGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     436936 | PA      | $409068.37     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q19133 06-01-43                                    | CUSIP: 3132JASX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     340128 | PA      | $321072.99     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.0 BK5232 05-01-48                                | CUSIP: 3140HJY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     787216 | PA      | $764567.17     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 4.0 Q56175 05-01-48                                    | CUSIP: 3132XY2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     742144 | PA      | $720832.54     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 AT7161 06-01-43                                | CUSIP: 3138WU5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     337043 | PA      | $317876.10     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q55056 03-01-48                                    | CUSIP: 3132XXTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     500166 | PA      | $468162.20     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.5 RA1463 10-01-49                                | CUSIP: 3133KGTU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    4304684 | PA      | $4040272.97    | 0.02%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q54781 03-01-48                                    | CUSIP: 3132XXJ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     380766 | PA      | $356322.73     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q54699 03-01-48                                    | CUSIP: 3132XXGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     235432 | PA      | $220269.48     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q54831 03-01-48                                    | CUSIP: 3132XXLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     186618 | PA      | $174579.58     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.0 BK6840 06-01-48                                | CUSIP: 3140HLS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1081329 | PA      | $1048767.29    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 AC0794 10-01-39                                | CUSIP: 31417J3C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     135821 | PA      | $138876.40     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 AX8521 12-01-44                                | CUSIP: 3138YAPF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     192542 | PA      | $180725.96     | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.5 QA2748 09-01-49                                | CUSIP: 31339SBR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     557200 | PA      | $519737.91     | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q28558 09-01-44                                    | CUSIP: 3132M9E75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1532428 | PA      | $1443426.39    | 0.01%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 4.0 Q55971 05-01-48                                    | CUSIP: 3132XYT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     784401 | PA      | $762402.76     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 AR1512 01-01-43                                | CUSIP: 3138NXVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     278012 | PA      | $262503.15     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q54709 03-01-48                                    | CUSIP: 3132XXGT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     606617 | PA      | $567863.59     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q56590 06-01-48                                    | CUSIP: 3132Y0KC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     296241 | PA      | $277191.63     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 AE1248 06-01-41                                | CUSIP: 31419BL60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     222809 | PA      | $228059.03     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q56589 06-01-48                                    | CUSIP: 3132Y0KB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     185183 | PA      | $173293.70     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 CA4151 09-01-49                                | CUSIP: 3140QBTH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    6315680 | PA      | $5923192.19    | 0.03%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 4.0 Q15874 02-01-43                                    | CUSIP: 3132J66L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      33174 | PA      | $32564.04      | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 BE5017 02-01-45                                | CUSIP: 3140FQSF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     683351 | PA      | $641527.95     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 4.5 Q58378 09-01-48                                    | CUSIP: 3132Y2JY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     547229 | PA      | $542644.95     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 AY1829 12-01-44                                | CUSIP: 3138YFA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      73664 | PA      | $69471.20      | 0.00%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 AT0412 03-01-43                                | CUSIP: 3138WMN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     126560 | PA      | $119309.16     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q51622 10-01-47                                    | CUSIP: 3132XTYU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     654882 | PA      | $612979.62     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q47615 04-01-47                                    | CUSIP: 3132WMN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     541221 | PA      | $506646.92     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 AT3954 04-01-43                                | CUSIP: 3138WRMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      76961 | PA      | $72665.15      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 4.0 Q56599 06-01-48                                    | CUSIP: 3132Y0KM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1137997 | PA      | $1106462.75    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q18236 05-01-43                                    | CUSIP: 3132J9S25<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     434256 | PA      | $410470.44     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 BE8740 05-01-47                                | CUSIP: 3140FUWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     617201 | PA      | $577658.57     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q54782 03-01-48                                    | CUSIP: 3132XXJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     389232 | PA      | $364204.33     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 4.5 Q57242 07-01-48                                    | CUSIP: 3132Y1BL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     390461 | PA      | $387939.37     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 4.5 Q58411 09-01-48                                    | CUSIP: 3132Y2KZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1428961 | PA      | $1422164.45    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 4.0 Q55970 05-01-48                                    | CUSIP: 3132XYT49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     390381 | PA      | $380409.35     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q17696 04-01-43                                    | CUSIP: 3132J87J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     321673 | PA      | $304055.93     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.0 AJ1873 10-01-41                                | CUSIP: 3138ATCK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     262212 | PA      | $255854.33     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q55060 04-01-48                                    | CUSIP: 3132XXTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     149880 | PA      | $139932.10     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 Q54698 03-01-48                                    | CUSIP: 3132XXGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     155013 | PA      | $145013.33     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 AL3829 06-01-43                                | CUSIP: 3138ELHF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1255966 | PA      | $1188893.45    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 4.5 Q58436 09-01-48                                    | CUSIP: 3132Y2LS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     750362 | PA      | $745493.27     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                                  | SCRT 17-3 HT 3.25% 07-25-56                                  | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2000734 | PA      | $1823551.19    | 0.01%             | 2056-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SCRT SCRT_17-3                                  | SCRT 17-3 MT 3.0% 07-25-56                                   | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9934471 | PA      | $8690367.36    | 0.05%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_18-1SC                                      | SCRT 18-1 HT 3.0% 05-25-57                                   | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10668875 | PA      | $9492781.30    | 0.05%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 BN6708 06-01-49                                | CUSIP: 3140JPN27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   11860589 | PA      | $11041614.91   | 0.06%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCI UMBS 3.5 AY1948 01-01-30                                | CUSIP: 3138YFEW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     100700 | PA      | $98868.94      | 0.00%             | 2030-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCI UMBS 3.5 AZ0554 10-01-30                                | CUSIP: 3138YRTL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     125566 | PA      | $123279.28     | 0.00%             | 2030-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.0 SD0187 01-01-50                                | CUSIP: 3132DMF42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    6962902 | PA      | $6293070.80    | 0.03%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 FM2179 01-01-50                                | CUSIP: 3140X5M59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   11577763 | PA      | $10418330.76   | 0.06%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 FM2664 03-01-50                                | CUSIP: 3140X56A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   22919915 | PA      | $21235713.81   | 0.11%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 FM2777 03-01-50                                | CUSIP: 3140X6CP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3382456 | PA      | $3032192.86    | 0.02%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS ZA6700 04-01-49                                    | CUSIP: 31329QNR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   11003755 | PA      | $10211946.43   | 0.06%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 CA5539 04-01-50                                | CUSIP: 3140QDEM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   14295740 | PA      | $12819576.21   | 0.07%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.0 RA1339 09-01-49                                | CUSIP: 3133KGPY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1774886 | PA      | $1591627.40    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.5 SD7502 07-01-49                                | CUSIP: 3132DVKP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    7753031 | PA      | $7214854.34    | 0.04%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 FM2656 01-01-49                                | CUSIP: 3140X55S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2422671 | PA      | $2267203.52    | 0.01%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 FM2389 02-01-50                                | CUSIP: 3140X5UP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2008126 | PA      | $1864175.50    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.5 QA1442 08-01-49                                | CUSIP: 31334XS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    4231426 | PA      | $3930884.37    | 0.02%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.5 FM1220 07-01-49                                | CUSIP: 3140X4LA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2974385 | PA      | $2761231.71    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 BO2890 11-01-49                                | CUSIP: 3140JXF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2419996 | PA      | $2170366.33    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS AS8804 02-01-47                                    | CUSIP: 3138WJYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   11391398 | PA      | $10660389.30   | 0.06%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 FM2822 03-01-50                                | CUSIP: 3140X6D40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    7264640 | PA      | $6515219.89    | 0.04%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.5 SD7513 04-01-50                                | CUSIP: 3132DVK20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   76915856 | PA      | $71802874.01   | 0.39%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 CA5338 03-01-50                                | CUSIP: 3140QC4Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    5934161 | PA      | $5301443.32    | 0.03%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 3.0 RA2319 03-01-50                                | CUSIP: 3133KHSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    9386637 | PA      | $8387138.57    | 0.05%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 BO2264 10-01-49                                | CUSIP: 3140JWQS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   38295332 | PA      | $34242077.58   | 0.18%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCT UMBS 4.0 MA3099 08-01-37                                | CUSIP: 31418CNR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3108095 | PA      | $3020794.91    | 0.02%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-2                       | SCRT 18-2 MA 3.5% 11-25-57                                   | CUSIP: 35563PFG9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3417612 | PA      | $3265593.60    | 0.02%             | 2057-11-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCN UMBS 1.5 QS0124 11-01-30                                | CUSIP: 3133HMD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     458130 | PA      | $418904.18     | 0.00%             | 2030-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNMDI6 3.0 BF0497 07-01-60                                   | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   27116895 | PA      | $23966725.05   | 0.13%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNMDI4 3.5 BF0481 06-01-60                                   | CUSIP: 3140FXRB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   14462040 | PA      | $13390648.85   | 0.07%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNMDI4 3.5 BF0379 04-01-59                                   | CUSIP: 3140FXM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   20364116 | PA      | $18853831.35   | 0.10%             | 2059-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 CB0041 04-01-51                                | CUSIP: 3140QKBK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   34195515 | PA      | $30701656.65   | 0.17%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNMDI4 3.5 BF0480 06-01-60                                   | CUSIP: 3140FXRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    9264880 | PA      | $8578527.99    | 0.05%             | 2060-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.0 MA4208 12-01-50                                | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2752171 | PA      | $2281885.83    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCT UMBS 2.0 MA4387 07-01-41                                | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2077371 | PA      | $1777514.94    | 0.01%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNMDI3 5.5 BF0320 01-01-49                                   | CUSIP: 3140FXLA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    3762677 | PA      | $3976886.52    | 0.02%             | 2049-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 FM7694 06-01-51                                | CUSIP: 3140XBRQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   34764047 | PA      | $31053611.17   | 0.17%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 G67700 08-01-46                                    | CUSIP: 3132XCRV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3217328 | PA      | $3030762.05    | 0.02%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP - GOLD                        | FGLMC 3.5 G60238 10-01-45                                    | CUSIP: 31335AHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    8697992 | PA      | $8176582.03    | 0.04%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 BT2188 03-01-52                                | CUSIP: 3140LQNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     516984 | PA      | $443033.33     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 FM9672 12-01-51                                | CUSIP: 3140XDXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     508520 | PA      | $437046.45     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 3.0 TBA 01-01-53                                        | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   23926639 | PA      | $21637457.81   | 0.12%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 4.72 710074 04-20-61                                    | CUSIP: 36297E2F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       2198 | PA      | $2103.09       | 0.00%             | 2061-04-20      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 4.7 710077 05-20-61                                     | CUSIP: 36297E2J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       8478 | PA      | $8159.05       | 0.00%             | 2061-05-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 4.952 AG8068 01-20-64                                   | CUSIP: 36182C6D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       1924 | PA      | $1889.54       | 0.00%             | 2064-01-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 QD9460 03-01-52                                | CUSIP: 3133B7QM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    4581462 | PA      | $3930761.46    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 BV8959 06-01-52                                | CUSIP: 3140MN5V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     273148 | PA      | $234429.86     | 0.00%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RM FRN 894482 02-20-64                                     | CUSIP: 3620E1J21<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1675458 | PA      | $1696547.31    | 0.01%             | 2064-02-20      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RM FRN 894475 10-20-63                                     | CUSIP: 3620E1H23<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1221845 | PA      | $1236854.14    | 0.01%             | 2063-10-20      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 BV7520 03-01-52                                | CUSIP: 3140MMLA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2000000 | PA      | $1718154.13    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 BV5642 03-01-52                                | CUSIP: 3140MKHU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     935194 | PA      | $802620.35     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                      | GNR 12-H20 PT FRN  07-20-62                                  | CUSIP: 38375BVS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1156937 | PA      | $1153930.88    | 0.01%             | 2062-07-20      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 4.95 751409 07-20-61                                    | CUSIP: 36230KR60<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       1139 | PA      | $1070.63       | 0.00%             | 2061-07-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.5 MA4805 11-01-52                                | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   54172916 | PA      | $52801420.72   | 0.28%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 4.5 SD8275 12-01-52                                | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  477671777 | PA      | $465578560.62  | 2.51%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 4.7 756695 11-20-61                                     | CUSIP: 36230RNL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       3390 | PA      | $3365.26       | 0.00%             | 2061-11-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RM FRN AG8149 06-20-64                                     | CUSIP: 36182DBS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     190538 | PA      | $189784.44     | 0.00%             | 2064-06-20      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 4.953 795533 05-20-63                                   | CUSIP: 36177QEF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        425 | PA      | $417.69        | 0.00%             | 2063-05-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 5.104 795471 02-20-62                                   | CUSIP: 36177QCH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        773 | PA      | $763.23        | 0.00%             | 2062-02-20      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 FM7408 05-01-51                                | CUSIP: 3140XBGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     918596 | PA      | $787715.90     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 BW1205 09-01-52                                | CUSIP: 3140MSKT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      51979 | PA      | $44561.59      | 0.00%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 4.734 759735 03-20-62                                   | CUSIP: 36230UY86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        765 | PA      | $754.66        | 0.00%             | 2062-03-20      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 4.477 767641 05-20-63                                   | CUSIP: 36176JS68<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        493 | PA      | $477.17        | 0.00%             | 2063-05-20      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 FM9067 10-01-51                                | CUSIP: 3140XDCD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     551778 | PA      | $474412.64     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 BV7745 04-01-52                                | CUSIP: 3140MMTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2000001 | PA      | $1716271.00    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 4.605 767610 11-20-62                                   | CUSIP: 36176JR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        388 | PA      | $381.97        | 0.00%             | 2062-11-20      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                      | GNR 12-H12 FT FRN 2.76% 05-20-62                             | CUSIP: 38375BRN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     669574 | PA      | $668695.79     | 0.00%             | 2062-05-20      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 QE2005 05-01-52                                | CUSIP: 3133BBGN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     916762 | PA      | $786424.12     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 BV7096 04-01-52                                | CUSIP: 3140ML3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     671449 | PA      | $576126.54     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 QD7266 02-01-52                                | CUSIP: 3133B5CB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      32870 | PA      | $28217.37      | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 CB0520 05-01-51                                | CUSIP: 3140QKSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |      45882 | PA      | $39342.43      | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 CB2090 11-01-51                                | CUSIP: 3140QMKC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    2000001 | PA      | $1718481.07    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 QC7537 09-01-51                                | CUSIP: 3133ASLS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     521635 | PA      | $448308.96     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 BR7222 04-01-51                                | CUSIP: 3140L6AY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    1869952 | PA      | $1609137.10    | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 SD8271 10-01-52                                | CUSIP: 3132DWFL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1418529 | PA      | $1216269.49    | 0.01%             | 2052-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RM FRN 892950 07-20-60                                     | CUSIP: 3620E0DY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     513544 | PA      | $514118.84     | 0.00%             | 2060-07-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 4.857 AG8150 07-20-64                                   | CUSIP: 36182DBT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       1846 | PA      | $1814.14       | 0.00%             | 2064-07-20      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 5.163 AG8155 07-20-64                                   | CUSIP: 36182DBY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       3945 | PA      | $3904.78       | 0.00%             | 2064-07-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RM FRN AG8156 07-20-64                                     | CUSIP: 36182DBZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     178377 | PA      | $178452.48     | 0.00%             | 2064-07-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 5.2 AG8171 07-20-64                                     | CUSIP: 36182DCG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |        415 | PA      | $391.82        | 0.00%             | 2064-07-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 6.64 AA7554 07-20-64                                    | CUSIP: 36178FMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      45493 | PA      | $45162.82      | 0.00%             | 2064-07-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 2.5 BU3295 10-01-51                                | CUSIP: 3140M4UV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   15000014 | PA      | $12903071.74   | 0.07%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 RA6107 10-01-51                                | CUSIP: 3133KMYC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1999998 | PA      | $1713766.41    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 3.75 AH5901 11-20-34                                    | CUSIP: 36182NRW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     841460 | PA      | $833824.82     | 0.00%             | 2034-11-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 4.353 AL7438 01-20-65                                   | CUSIP: 36184EHP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       2095 | PA      | $2060.22       | 0.00%             | 2065-01-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                      | GNR 10-H23 PT FRN 10-20-60                                   | CUSIP: 38375BGY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     174808 | PA      | $174463.39     | 0.00%             | 2060-10-20      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 5.156 AG8189 09-20-64                                   | CUSIP: 36182DC29<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       3328 | PA      | $3294.51       | 0.00%             | 2064-09-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-1                       | SCRT 17-1 HA FRN 01-25-56                                    | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16271718 | PA      | $15320700.99   | 0.08%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                       | SCRT 17-2 HA FRN 08-25-56                                    | CUSIP: 35563PBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18473097 | PA      | $17379268.41   | 0.09%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 QD5343 12-01-51                                | CUSIP: 3133B25C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    6000001 | PA      | $5154480.52    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 4.5 QF2136 10-01-52                                | CUSIP: 3133BPLR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1900000 | PA      | $1851896.12    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-2                       | SCRT 17-2 MA 3.0% 08-25-56                                   | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   18185243 | PA      | $17011003.69   | 0.09%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-4                       | SCRT 17-4 MT 3.5% 06-25-57                                   | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    6352614 | PA      | $5751675.94    | 0.03%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_17-4                       | SCRT 17-4 HT FRN% 06-25-57                                   | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   11312045 | PA      | $10419230.62   | 0.06%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_18-2                       | SCRT 18-2 MT 3.5% 11-25-57                                   | CUSIP: 35563PFF1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   12287727 | PA      | $11103067.24   | 0.06%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.5 BW1215 10-01-52                                | CUSIP: 3140MSK53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   16326414 | PA      | $15913078.59   | 0.09%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 QE0025 04-01-52                                | CUSIP: 3133B9A20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     116324 | PA      | $99819.01      | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SEASONED LOAN STRUCTURED TRANSACTION SLST_18-1                | SLST 18-1 A1 3.5% 06-25-28                                   | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13694882 | PA      | $13143279.32   | 0.07%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_18-2                                  | SLST 18-2 A1 3.5% 11-25-28                                   | CUSIP: 35564CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   65761329 | PA      | $63104374.49   | 0.34%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                       | SCRT 19-2 MA 3.5% 08-25-58                                   | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   22483372 | PA      | $21361339.42   | 0.12%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1                       | SCRT 19-1 MA 3.5% 07-25-58                                   | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    3836774 | PA      | $3653076.72    | 0.02%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_19-2                                  | SLST 19-2 A1C 2.75% 09-25-29                                 | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   41699251 | PA      | $38609044.46   | 0.21%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-4                       | SCRT 19-4 MA 3.0% 02-25-59                                   | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13453053 | PA      | $12566106.60   | 0.07%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC - SLST SLST_19-3                                  | SLST 19-3 A1C 2.75% 11-25-2029                               | CUSIP: 35564CEE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   23359643 | PA      | $21598466.41   | 0.12%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-3                       | SCRT 19-3 MT 3.5% 10-25-58                                   | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4689173 | PA      | $4237656.97    | 0.02%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-2                       | SCRT 19-2 MT 3.5% 08-25-58                                   | CUSIP: 35563PKF5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   10503739 | PA      | $9484970.86    | 0.05%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_19-3SC                    | SCRT 19-3 MA 3.5% 10-25-58                                   | CUSIP: 35563PLH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     534720 | PA      | $509404.93     | 0.00%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 4.5 QE9813 09-01-52                                | CUSIP: 3133BK3W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    1847000 | PA      | $1800241.44    | 0.01%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.5 BW8497 09-01-52                                | CUSIP: 3140N1NP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    6710000 | PA      | $6563494.34    | 0.04%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 4.0 CB3774 06-01-52                                | CUSIP: 3140QPFQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   39691110 | PA      | $37603119.84   | 0.20%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 4.0 SD8256 10-01-52                                | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  313076480 | PA      | $296509411.84  | 1.60%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER SCRT_19-1                       | SCRT 19-1 MT 3.5% 07-25-58                                   | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    9123672 | PA      | $8217664.21    | 0.04%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_20-1         | SLST 20-1 A1D 2.0% 07-25-30                                  | CUSIP: 35564CEV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   16641592 | PA      | $15018720.63   | 0.08%             | 2030-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_20-1         | SLST 20-1 A2D 2.0% 07-25-30                                  | CUSIP: 35564CEZ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    4381000 | PA      | $3631196.23    | 0.02%             | 2030-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SLST_22-1         | SLST 22-1 A1 3.5% 05-25-32                                   | CUSIP: 35564CLZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   60632073 | PA      | $58871923.49   | 0.32%             | 2032-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 2.5 RA5559 07-01-51                                | CUSIP: 3133KME84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    6858932 | PA      | $5879490.13    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 5.0 SD8276 12-01-52                                | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  127210775 | PA      | $126750780.84  | 0.68%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMINISTRATION PARTICIPATION CERTI SBAP_03-20B | SBAP 2003-20B SF 4.84% 02-01-23                              | CUSIP: 83162CMU4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |      30709 | PA      | $30676.61      | 0.00%             | 2023-02-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 5.5 UMBS TBA 12-01-52                                   | CUSIP: 01F0526C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  242110535 | PA      | $244934754.39  | 1.32%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORP                               | FNCL UMBS 5.0 SD8288 01-01-53                                | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    4257693 | PA      | $4242297.18    | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 5.0 MA4868 01-01-53                                | CUSIP: 31418EMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   14336000 | PA      | $14288590.85   | 0.08%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 3.5 UMBS TBA 12-01-52                                   | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  262020844 | PA      | $239912835.29  | 1.29%             | 2052-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 4.5 UMBS TBA 12-01-52                                   | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   32794610 | PA      | $31928635.53   | 0.17%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 4.0 UMBS TBA 12-01-52                                   | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  442079287 | PA      | $418161913.41  | 2.25%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 2.0 UMBS TBA 12-01-52                                   | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   45934383 | PA      | $37854616.90   | 0.20%             | 2052-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNA 14-M3 A2 (MF) 3.46% 01-25-24                             | CUSIP: 3136AJLC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    1886201 | PA      | $1850336.73    | 0.01%             | 2024-01-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNGT 99-T2 A1 7.5% 01-19-39                                  | CUSIP: 31359VYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |      93058 | PA      | $93925.05      | 0.00%             | 2039-01-19      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNR 2001-4 NA WAC FRN 10-25-25                               | CUSIP: 31359SGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |        458 | PA      | $464.61        | 0.00%             | 2025-10-25      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNGT 01-T10 A1 7.0% 12-25-41                                 | CUSIP: 3139216A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |      34096 | PA      | $35036.31      | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH FHLMC_K033          | FHMS K033 A2 (MF) 3.06% 07-25-23                             | CUSIP: 3137B4WB8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   21150000 | PA      | $20894508.00   | 0.11%             | 2023-07-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNCL UMBS 3.0 AT5898 06-01-43                                | CUSIP: 3138WTRU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    8199354 | PA      | $7532442.69    | 0.04%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 6.0 UMBS TBA 12-01-52                                   | CUSIP: 01F0606C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  224196613 | PA      | $229292377.82  | 1.24%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 5.0 UMBS TBA 12-01-52                                   | CUSIP: 01F0506C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  153335114 | PA      | $152616432.32  | 0.82%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                         | FNA 14-M1 A2 (MF) FRN 07-25-23                               | CUSIP: 3136AH2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    1007928 | PA      | $996997.67     | 0.01%             | 2023-07-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 4.0 4367 02-20-39                                       | CUSIP: 36202EZ85<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      17445 | PA      | $17023.40      | 0.00%             | 2039-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2RF 4.251 AG8194 09-20-64                                   | CUSIP: 36182DC78<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      11183 | PA      | $10939.06      | 0.00%             | 2064-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                      | GNR 12-H23 FI I/O FRN 10-20-62                               | CUSIP: 38375BXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     144091 | PA      | $1620.73       | 0.00%             | 2062-10-20      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 2.5 UMBS TBA 12-01-52                                   | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    7300000 | PA      | $6247770.70    | 0.03%             | 2052-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCI 2.5 UMBS TBA 12-01-37                                   | CUSIP: 01F0224C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   28000000 | PA      | $25877992.00   | 0.14%             | 2037-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCI 4.0 UMBS TBA 12-01-37                                   | CUSIP: 01F0404C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   11000000 | PA      | $10755943.00   | 0.06%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 6.0 UMBS TBA 01-01-53                                   | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  424852171 | PA      | $434110124.66  | 2.34%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 6.5 UMBS TBA 01-01-53                                   | CUSIP: 01F062614<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        | 1143279512 | PA      | $1175249036.99 | 6.33%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 5.5 UMBS TBA 01-01-53                                   | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  641300000 | PA      | $648429973.40  | 3.49%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 4.5 UMBS TBA 01-01-53                                   | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   27119204 | PA      | $26405209.60   | 0.14%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCL 5.0 UMBS TBA 01-01-53                                   | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  146142820 | PA      | $145434904.18  | 0.78%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | UMBS  30YR TBA(REG A) 2.0 UMBS TBA 01-01-53                  | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    7100000 | PA      | $5856946.20    | 0.03%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNIFORM MBS                                                   | FNCI 2.0 UMBS TBA 01-01-38                                   | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    9100000 | PA      | $8200483.20    | 0.04%             | 2038-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                      | GNR 03-46 NB PAC1 5.0% 06-20-33                              | CUSIP: 38373Q3R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     127104 | PA      | $125794.69     | 0.00%             | 2033-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                             | GNSF 6.0 782365 07-15-38                                     | CUSIP: 36241KTW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125957 | PA      | $134409.48     | 0.00%             | 2038-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL GROUP CENTRAL CASH FUND                               | CAPITAL GROUP CENTRAL CASH FUND                              | CUSIP: 14020B102<br>LEI: 549300YD0SRETB6WWP29 | Long             | STIV             | RF                | US        |   52222609 | NS      | $5221738687.91 | 28.14%            |  |  |  | No            |                  1 | On Loan: No      |
| RISKLESS ISSUER                                               | FSWP: IRS PAYFIX USD 1.867% 07-11-22/07-11-25 LCH            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $11927617.92   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                             | GNSF 5.5 700778 10-15-38                                     | CUSIP: 36296TQ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62044 | PA      | $65574.15      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                             | GNSF 5.0 698406 07-15-39                                     | CUSIP: 36296Q3P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     280903 | PA      | $289458.11     | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | FSWP: OIS PAYFIX USD 0.11% 05-18-23/05-18-24 LCH             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $31179052.45   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | FSWP: OIS RECFIX USD 3.16% 06-20-23/06-20-28 LCH             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-289868.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 4.5 004636 02-20-40                                     | CUSIP: 36202FEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     427109 | PA      | $431622.88     | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                             | GNSF 4.0 741910 100% MOD 02-15-39                            | CUSIP: 3620AWGT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123847 | PA      | $120684.65     | 0.00%             | 2039-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | FSWP: OIS PAYFIX USD 3.1% 06-20-23/06-20-33 LCH              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $213210.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | IRS PAYFIX USD 1.495% 11-10-16/11-10-23 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $3760569.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                             | GNSF 5.0 736084 100% MOD 06-15-40                            | CUSIP: 3620APXM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106169 | PA      | $107685.36     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE I POOL                                             | GNSF 736089 06-15-40                                         | CUSIP: 3620APXS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132547 | PA      | $134440.40     | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF MA5332 07-20-48                                         | CUSIP: 36179T4R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      12595 | PA      | $12697.53      | 0.00%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 5.0 MA6042 07-20-49                                     | CUSIP: 36179UWB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      24877 | PA      | $25196.32      | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | IRS RECFIX USD 2.91% 02-01-23/02-01-28 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-2332294.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | IRS PAYFIX USD 2.9625% 02-01-28/02-01-38 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $1346265.36    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 6.5 738836 11-20-38                                     | CUSIP: 3620ASY94<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      65439 | PA      | $65090.63      | 0.00%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 6.5 754287 11-20-38                                     | CUSIP: 36230NXQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      57520 | PA      | $57490.89      | 0.00%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | IRS RECFIX USD 2.908% 02-01-23/02-01-28 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-2333896.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | IRS PAYFIX USD 2.963% 02-01-28/02-01-38 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $1344973.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2 6.5 005112 07-20-41                                       | CUSIP: 36202FVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     107310 | PA      | $109728.94     | 0.00%             | 2041-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 4.0 754591 01-20-42                                     | CUSIP: 36230PC40<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     965346 | PA      | $943585.63     | 0.01%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 3.5 754636 11-20-41                                     | CUSIP: 36230PEH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     455765 | PA      | $426611.49     | 0.00%             | 2041-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 4.0 754637 01-20-42                                     | CUSIP: 36230PEJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     469067 | PA      | $459713.08     | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | IRS PAYFIX USD 2.986% 02-01-28/02-01-38 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $1034074.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | IRS RECFIX USD 2.925% 02-01-23/02-01-28 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-1831656.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 6.5 754319 01-20-37                                     | CUSIP: 36230NYQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     108007 | PA      | $109107.01     | 0.00%             | 2037-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 6.5 754314 01-20-39                                     | CUSIP: 36230NYK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     462977 | PA      | $481290.66     | 0.00%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | IRS RECFIX USD 2.92% 02-02-23/02-02-28 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-1737888.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | IRS RECFIX USD 0.833% 04-03-20/04-03-40 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-7766247.60   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 6.5 754334 10-20-32                                     | CUSIP: 36230NY74<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     279552 | PA      | $281868.75     | 0.00%             | 2032-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 6.5 754335 08-20-29                                     | CUSIP: 36230NY82<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     152890 | PA      | $154124.61     | 0.00%             | 2029-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | IRS RECFIX USD 0.913% 06-09-20/06-09-30 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-41958827.00  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | IRS PAYFIX USD 0.81% 07-28-15/07-28-45 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $103055121.44  | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2 5.0 005040 04-20-41                                       | CUSIP: 36202FS56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      28614 | PA      | $29050.85      | 0.00%             | 2041-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2 5.5 004182 07-20-38                                       | CUSIP: 36202EUF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      12033 | PA      | $11909.50      | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS PAYFIX USD 2.4325% 12-21-18/12-21-23 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $2288298.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS PAYFIX USD 2.32625% 04-18-19/04-18-29 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $3783579.25    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2 5.5 005187 09-20-41                                       | CUSIP: 36202FXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      64980 | PA      | $64314.42      | 0.00%             | 2041-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2 4.0 005157 08-20-41                                       | CUSIP: 36202FWS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      90735 | PA      | $84832.41      | 0.00%             | 2041-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 6.5 AA4873 12-20-38                                     | CUSIP: 36178CMW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      79985 | PA      | $79387.19      | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 5.5 783689 02-20-40                                     | CUSIP: 3622A2C26<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1151208 | PA      | $1229071.57    | 0.01%             | 2040-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 6.0 783690 09-20-39                                     | CUSIP: 3622A2C34<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     686152 | PA      | $729850.16     | 0.00%             | 2039-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 5.0 783688 06-20-41                                     | CUSIP: 3622A2CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2001518 | PA      | $2072753.74    | 0.01%             | 2041-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 1.2525% 02-14-20/02-14-23 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-3824975.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS PAYFIX USD 0.5385% 03-26-20/03-26-30 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $42475631.00   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 4.5 783687 12-20-41                                     | CUSIP: 3622A2CY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    4470414 | PA      | $4451607.39    | 0.02%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 3.5 AA2589 03-20-43                                     | CUSIP: 36177Y2W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     860766 | PA      | $791866.29     | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 5.0 TBA 12-01-52                                        | CUSIP: 21H0506C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  126771000 | PA      | $126691768.13  | 0.68%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 4.0 TBA 12-01-52                                        | CUSIP: 21H0406C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  143612251 | PA      | $137121695.32  | 0.74%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS PAYFIX USD 0.1275% 06-25-20/06-25-25 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $14172192.54   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS PAYFIX USD 0.126% 06-25-20/06-25-25 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $14177553.76   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS PAYFIX USD 0.106% 06-30-20/06-30-25 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $15965142.49   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS PAYFIX USD 0.666% 11-19-20/11-19-30 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $20700508.92   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 0.2405% 03-01-21/03-01-24 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-25438030.75  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 3.497% 06-16-22/06-16-24 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-5236518.44   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 4.5 TBA 12-01-52                                        | CUSIP: 21H0426C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  551052607 | PA      | $539881117.50  | 2.91%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 5.5 TBA 12-01-52                                        | CUSIP: 21H0526C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   36073587 | PA      | $36512674.70   | 0.20%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 4.0 TBA 01-01-53                                        | CUSIP: 21H040616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  244396681 | PA      | $233456019.18  | 1.26%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 5.5 TBA 01-01-53                                        | CUSIP: 21H052611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  140806163 | PA      | $142432051.76  | 0.77%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 2.0 TBA 01-01-53                                        | CUSIP: 21H020618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   20900120 | PA      | $17810831.46   | 0.10%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 3.5 TBA 01-01-53                                        | CUSIP: 21H032613<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   19457630 | PA      | $18080399.49   | 0.10%             | 2053-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 3.52647% 06-16-22/06-16-24 LCH                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-5551767.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 3.5291% 06-16-22/06-16-24 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-5985142.66   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL                                            | G2SF 2.5 TBA 01-01-53                                        | CUSIP: 21H022614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   29830106 | PA      | $26253983.40   | 0.14%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 3.4325% 06-17-22/06-17-24 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-4060371.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 3.4585% 06-17-22/06-17-24 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-837713.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 4.345% 09-29-22/09-29-24 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-508623.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 4.197% 09-30-22/09-30-24 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-1096434.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 4.1735% 09-30-22/09-30-24 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-1218074.62   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 4.15% 10-06-22/10-06-24 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $-1274137.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 4.5645% 10-19-22/10-19-24 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $194594.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 4.533% 10-20-22/10-20-24 LCH                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $183341.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 4.5245% 10-27-22/10-27-24 LCH                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $229542.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RISKLESS ISSUER                                               | OIS RECFIX USD 4.56% 10-27-22/10-27-24 LCH                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |          1 | NC      | $259993.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | EURO$90DAY FUT EDZ22 12-19-22                               | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       3812 | NC      | $-37014779.18  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | EURO$90DAY FUT EDU3 09-18-23                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      17770 | NC      | $-183590652.40 | -0.99%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | EURO$90DAY FUT EDZ3 12-18-23                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      10965 | NC      | $101574491.21  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | EURO$90DAY FUT EDZ4 12-16-24                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      10342 | NC      | $48113584.34   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | FED FUND 30DAY FUT FFX2 11-30-22                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       8148 | NC      | $-2034066.58   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | FED FUND 30DAY FUT FFF3 01-31-23                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         71 | NC      | $325354.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | SOFR 90DAY FUT SFRH3 06-20-23                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       3180 | NC      | $13041487.67   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | SOFR 90DAY FUT SFRZ2 03-14-23                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |          3 | NC      | $-9304.56      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | UST 10YR FUT ULTRA UXYH3 03-22-23                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       1346 | NC      | $326676.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | UST 20YR FUT USH3 03-22-23                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       3849 | NC      | $-374189.62    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | UST 10YR FUT TYH3 03-22-23                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       7378 | NC      | $4285187.68    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | UST 30YR FUT ULTRA WNH3 03-22-23                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        590 | NC      | $269503.65     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | UST 5YR FUT FVH3 03-31-23                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      44400 | NC      | $23328271.38   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| CME CHICAGO MERCANTILE EXCHANGE                               | UST 2YR FUT TUH3 03-31-23                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       3133 | NC      | $-1619562.82   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

**Name of Applicant:** AMERICAN FUNDS INCOME SERIES

**Signature:** Scott Lewis

**Name of Signer:** Scott Lewis

**Title:** Analyst