The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete.
The reader should not assume that the information is accurate and complete.
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549

FORM NPORT-P
Monthly Portfolio Investments Report

NPORT-P: Filer Information

Confidential
Filer CIK
0000832327
Filer CCC
********
Filer Investment Company Type
Is this a LIVE or TEST Filing? LIVE TEST
Would you like a Return Copy?
Is this an electronic copy of an official filing submitted in paper format?

Submission Contact Information

Name
Phone
E-Mail Address

Notification Information

Notify via Filing Website only?
Notification E-mail Address
Series ID
Class (Contract) ID

NPORT-P: Part A: General Information

Item A.1. Information about the Registrant.

a. Name of Registrant
BlackRock Income Trust, Inc.
b. Investment Company Act file number for Registrant: (e.g., 811-______)
811-05542
c. CIK number of Registrant
0000832327
d. LEI of Registrant
TZVEKBHO1R4X5PI73286
e. Address and telephone number of Registrant:
i. Street Address 1
100 Bellevue Parkway
ii. Street Address 2
iii. City
Wilmington
iv. State, if applicable
v. Foreign country, if applicable
vi. Zip / Postal Code
19809
vii. Telephone number
800-441-7762

Item A.2. Information about the Series.

a. Name of Series.
BlackRock Income Trust, Inc.
b. EDGAR series identifier (if any).
c. LEI of Series.
TZVEKBHO1R4X5PI73286

Item A.3. Reporting period.

a. Date of fiscal year-end.
2023-12-31
b. Date as of which information is reported.
2023-03-31

Item A.4. Final filing

a. Does the Fund anticipate that this will be its final filing on Form N PORT? Yes No

NPORT-P: Part B: Information About the Fund

Report the following information for the Fund and its consolidated subsidiaries.

Item B.1. Assets and liabilities. Report amounts in U.S. dollars.

a. Total assets, including assets attributable to miscellaneous securities reported in Part D.
481991451.80
b. Total liabilities.
197583858.89
c. Net assets.
284407592.91

Item B.2. Certain assets and liabilities. Report amounts in U.S. dollars.

a. Assets attributable to miscellaneous securities reported in Part D.
0.00000000
b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities.
0.00000000
c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)].
Amounts payable within one year.
Banks or other financial institutions for borrowings.
0.00000000
Controlled companies.
0.00000000
Other affiliates.
0.00000000
Others.
0.00000000
Amounts payable after one year.
Banks or other financial institutions for borrowings.
0.00000000
Controlled companies.
0.00000000
Other affiliates.
0.00000000
Others.
0.00000000
d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis.
(i) On a delayed delivery, when-issued, or other firm commitment basis:
55268757.20000000
(ii) On a standby commitment basis:
0.00000000
e. Liquidation preference of outstanding preferred stock issued by the Fund.
0.00000000
f. Cash and cash equivalents not reported in Parts C and D.
0.00000000

Item B.3. Portfolio level risk metrics.

If the average value of the Fund's debt securities positions for the previous three months, in the aggregate, exceeds 25% or more of the Fund's net asset value, provide:
a. Interest Rate Risk (DV01). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 1 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.
b. Interest Rate Risk (DV100). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 100 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.

Currency Metric RecordISO Currency code3 month1 year5 years10 years30 years
#1 United States Dollar
Interest Rate Risk (DV01)
32.6100000012572.18000000144475.3600000084166.6500000010271.23000000
Interest Rate Risk (DV100)
48124.700000002089765.6800000012563233.8000000010102583.050000001780685.29000000

c. Credit Spread Risk (SDV01, CR01 or CS01). Provide the change in value of the portfolio resulting from a 1 basis point change in credit spreads where the shift is applied to the option adjusted spread, aggregated by investment grade and non-investment grade exposures, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.

Credit Spread Risk3 month1 year5 years10 years30 years
Investment grade 5989.6000000032.4300000048401.0500000082563.30000000127481.19000000
Non-Investment grade 0.300000006202.250000000.1000000048.990000000.00000000

For purposes of Item B.3., calculate value as the sum of the absolute values of:
(i) the value of each debt security,
(ii) the notional value of each swap, including, but not limited to, total return swaps, interest rate swaps, and credit default swaps, for which the underlying reference asset or assets are debt securities or an interest rate;
(iii) the notional value of each futures contract for which the underlying reference asset or assets are debt securities or an interest rate; and
(iv) the delta-adjusted notional value of any option for which the underlying reference asset is an asset described in clause (i),(ii), or (iii).

Report zero for maturities to which the Fund has no exposure. For exposures that fall between any of the listed maturities in (a) and (b), use linear interpolation to approximate exposure to each maturity listed above. For exposures outside of the range of maturities listed above, include those exposures in the nearest maturity.

Item B.4. Securities lending.

a. For each borrower in any securities lending transaction, provide the following information:

Borrower Information RecordName of borrowerLEI (if any) of borrowerAggregate value of all securities on loan to the borrower

b. Did any securities lending counterparty provide any non-cash collateral? Yes No

Item B.5. Return information.

a. Monthly total returns of the Fund for each of the preceding three months. If the Fund is a Multiple Class Fund, report returns for each class. Such returns shall be calculated in accordance with the methodologies outlined in Item 26(b) (1) of Form N-1A, Instruction 13 to sub-Item 1 of Item 4 of Form N-2, or Item 26(b) (i) of Form N-3, as applicable.

Monthly Total Return Record Monthly total returns of the Fund for each of the preceding three months Class identification number(s) (if any) of the Class(es) for which returns are reported
Month 1 Month 2 Month 3
#14.35000000-3.300000003.08000000

b. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to derivatives for each of the following categories: commodity contracts, credit contracts, equity contracts, foreign exchange contracts, interest rate contracts, and other contracts. Within each such asset category, further report the same information for each of the following types of derivatives instrument: forward, future, option, swaption, swap, warrant, and other. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers.

Asset category Instrument type Month 1 Month 2 Month 3
Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation) Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation) Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation)
Commodity Contracts
Credit Contracts
Equity Contracts0.000000000.000000000.000000000.000000000.000000000.00000000
Forward
Future
Option 0.000000000.000000000.000000000.000000000.000000000.00000000
Swaption
Swap
Warrant
Other
Foreign Exchange Contracts
Interest Rate Contracts-9178.05000000-1022661.45000000252064.600000001159765.95000000159737.71000000-801749.77000000
Forward
Future -9178.05000000-1022599.61000000252064.600000001159743.60000000159737.71000000-987180.60000000
Option
Swaption 0.000000000.000000000.000000000.000000000.00000000185453.40000000
Swap 0.00000000-61.840000000.0000000022.350000000.00000000-22.57000000
Warrant
Other
Other Contracts

c. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to investment other than derivatives. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers.

MonthMonthly net realized gain(loss)Monthly net change in unrealized appreciation (or depreciation)
Month 1 876920.6300000011753829.82000000
Month 2 394000.04000000-12016009.94000000
Month 3 -14443118.7100000022778124.92000000

Item B.6. Flow information.

a. Provide the aggregate dollar amounts for sales and redemptions/repurchases of Fund shares during each of the preceding three months. If shares of the Fund are held in omnibus accounts, for purposes of calculating the Fund's sales, redemptions, and repurchases, use net sales or redemptions/repurchases from such omnibus accounts. The amounts to be reported under this Item should be after any front-end sales load has been deducted and before any deferred or contingent deferred sales load or charge has been deducted. Shares sold shall include shares sold by the Fund to a registered unit investment trust. For mergers and other acquisitions, include in the value of shares sold any transaction in which the Fund acquired the assets of another investment company or of a personal holding company in exchange for its own shares. For liquidations, include in the value of shares redeemed any transaction in which the Fund liquidated all or part of its assets. Exchanges are defined as the redemption or repurchase of shares of one Fund or series and the investment of all or part of the proceeds in shares of another Fund or series in the same family of investment companies.

MonthTotal net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions)Total net asset value of shares sold in connection with reinvestments of dividends and distributionsTotal net asset value of shares redeemed or repurchased, including exchanges
Month 1 0.000000000.000000000.00000000
Month 2 0.0000000045445.660000000.00000000
Month 3 0.000000000.000000000.00000000

Item B.7. Highly Liquid Investment Minimum information.

a. If applicable, provide the Fund's current Highly Liquid Investment Minimum.
b. If applicable, provide the number of days that the Fund's holdings in Highly Liquid Investments fell below the Fund's Highly Liquid Investment Minimum during the reporting period.
c. Did the Fund's Highly Liquid Investment Minimum change during the reporting period? Yes No N/A

Item B.8. Derivatives Transactions.

For portfolio investments of open-end management investment companies, provide the percentage of the Fund's Highly Liquid Investments that it has pledged as margin or collateral in connection with derivatives transactions that are classified among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]:
(1) Moderately Liquid Investments
(2) Less Liquid Investments
(3) Illiquid Investments
For purposes of Item B.8, when computing the required percentage, the denominator should only include assets (and exclude liabilities) that are categorized by the Fund as Highly Liquid Investments.
Classification

Item B.9. Derivatives Exposure for limited derivatives users.

If the Fund is excepted from the rule 18f-4 [17 CFR 270.18f-4] program requirement and limit on fund leverage risk under rule 18f-4(c)(4) [17 CFR 270.18f-4(c)(4)], provide the following information:
a. Derivatives exposure (as defined in rule 18f-4(a) [17 CFR 270.18f-4(a)]), reported as a percentage of the Fund’s net asset value.
b. Exposure from currency derivatives that hedge currency risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value.
c. Exposure from interest rate derivatives that hedge interest rate risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value.
d. The number of business days, if any, in excess of the five-business-day period described in rule 18f-4(c)(4)(ii) [17 CFR 270.18f-4(c)(4)(ii)], that the Fund’s derivatives exposure exceeded 10 percent of its net assets during the reporting period.

Item B.10. VaR information.

For Funds subject to the limit on fund leverage risk described in rule 18f-4(c)(2) [17 CFR 270.18f-4(c)(2)], provide the following information, as determined in accordance with the requirement under rule 18f-4(c)(2)(ii) to determine the fund’s compliance with the applicable VaR test at least once each business day:
a. Median daily VaR during the reporting period, reported as a percentage of the Fund's net asset value.
b. For Funds that were subject to the Relative VaR Test during the reporting period, provide:
i. As applicable, the name of the Fund’s Designated Index, or a statement that the Fund's Designated Reference Portfolio is the Fund’s Securities Portfolio.
Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio
ii. As applicable, the index identifier for the Fund’s Designated Index.
Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio
iii. Median VaR Ratio during the reporting period, reported as a percentage of the VaRof the Fund's Designated Reference Portfolio.
c. Backtesting Results. Number of exceptions that the Fund identified as a result of its backtesting of its VaR calculation model (as described in rule 18f-4(c)(1)(iv) [17 CFR 270.18f-4(c)(1)(iv)] during the reporting period.

NPORT-P: Part C: Schedule of Portfolio Investments

For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public.
Schedule of Portfolio Investments Record: 1

Item C.1. Identification of investment.

a. Name of issuer (if any).
FHLMC Multifamily Structured Pass Through Certs.
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Multifamily Structured Pass Through Certificates
d. CUSIP (if any).
3137F72R5
At least one of the following other identifiers:
- ISIN
US3137F72R56

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3890382.36000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
231687.44000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.081463169681

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-10-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.04000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 2

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138ADDL6
At least one of the following other identifiers:
- ISIN
US3138ADDL61

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
873739.35000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
879002.42000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.309064329473

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 3

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138AD3D5
At least one of the following other identifiers:
- ISIN
US3138AD3D56

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
49374.65000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
50427.06000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.017730560384

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 4

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FHLMC 30YR UMBS SUPER FRSD2443
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N7L4
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-6189953.52000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-6189953.52000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.17643750529

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16189953.52000000 United States Dollar 6205149.86000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 5

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31418QC68
At least one of the following other identifiers:
- ISIN
US31418QC686

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
852684.58000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
857534.38000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.301515993727

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 6

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137GADX2
At least one of the following other identifiers:
- ISIN
US3137GADX24

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1202371.50000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
50619.84000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.017798343385

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-06-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 7

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138ALGM3
At least one of the following other identifiers:
- ISIN
US3138ALGM34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13590.32000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13711.23000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.004820978884

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 8

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140Q9WT6
At least one of the following other identifiers:
- ISIN
US3140Q9WT61

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1404874.74000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1366676.74000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.480534547624

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 9

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138A54P4
At least one of the following other identifiers:
- ISIN
US3138A54P47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2315744.75000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2266377.43000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.796876555513

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 10

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137A3QD4
At least one of the following other identifiers:
- ISIN
US3137A3QD48

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1944879.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.683835259143

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 11

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137ANZV0
At least one of the following other identifiers:
- ISIN
US3137ANZV05

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
598800.24000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
50207.96000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.017653523060

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 12

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31413CRN1
At least one of the following other identifiers:
- ISIN
US31413CRN10

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
334.19000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
336.01000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000118143821

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 13

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138A82M7
At least one of the following other identifiers:
- ISIN
US3138A82M79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12111.94000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
12224.71000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.004298306481

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 14

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31419E6R5
At least one of the following other identifiers:
- ISIN
US31419E6R50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4890.91000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4995.12000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.001756324417

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 15

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNAD1323 4.5 01-FEB
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2E1L0
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1478068.07000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1478068.07000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.51970063628

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11478068.07000000 United States Dollar 1481711.51000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 16

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNAH4429 4.0 01-FEB
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2DZG6
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2172658.44000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2172658.44000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.76392420391

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12172658.44000000 United States Dollar 2178014.04000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 17

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31418VW73
At least one of the following other identifiers:
- ISIN
US31418VW734

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
77397.16000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
78273.47000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.027521582387

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 18

Item C.1. Identification of investment.

a. Name of issuer (if any).
FHLMC Multifamily Structured Pass Through Certs.
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Multifamily Structured Pass Through Certificates
d. CUSIP (if any).
3137F82T9
At least one of the following other identifiers:
- ISIN
US3137F82T94

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1669460.85000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
86009.79000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.030241734800

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-11-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.88000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 19

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31398PPG8
At least one of the following other identifiers:
- ISIN
US31398PPG80

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2092958.80000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2087821.84000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.734094972162

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-05-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 20

Item C.1. Identification of investment.

a. Name of issuer (if any).
IndyMac INDX Mortgage Loan Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IndyMac INDX Mortgage Loan Trust 2006-AR33
d. CUSIP (if any).
45668JAM8
At least one of the following other identifiers:
- ISIN
US45668JAM80

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
18913961.99000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1.89000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000000664539

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.17000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 21

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS, TBA
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Uniform Mortgage-Backed Security, TBA
d. CUSIP (if any).
01F032658
At least one of the following other identifiers:
- ISIN
US01F0326581

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3664000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3406804.35000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.197859844437

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 22

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136AP6K3
At least one of the following other identifiers:
- ISIN
US3136AP6K37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11592678.39000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
862320.22000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.303198733612

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.40000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 23

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137AUW70
At least one of the following other identifiers:
- ISIN
US3137AUW707

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
229585.32000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
25667.39000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.009024861023

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-10-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.47000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 24

Item C.1. Identification of investment.

a. Name of issuer (if any).
Chicago Board of Trade
b. LEI (if any) of issuer. (1)
549300EX04Q2QBFQTQ27
c. Title of the issue or description of the investment.
US 2YR NOTE (CBT) JUN23
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
TUM320233
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-218.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-531214.73000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.18677937693

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Board of Trade549300EX04Q2QBFQTQ27

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
2. The reference instrument is an index or custom basket. (26)
Index name.
CBOT 2 Year U.S. Treasury Notes Futures
Index identifier, if any.
TUM3 Comdty
Narrative description. (27)
iii. Expiration date.
2023-06-30
iv. Aggregate notional amount or contract value on trade date.
-44507925.79000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
-531214.73000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 25

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31418NHS2
At least one of the following other identifiers:
- ISIN
US31418NHS27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
188874.66000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
188723.03000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.066356537133

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-03-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 26

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
BB TREASURY BOND
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF8QQ48
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
784035.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
784035.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.275673019829

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.52000000
e. Maturity date.
2049-12-31
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1784035.00000000 United States Dollar 785610.04000000 United States Dollar U.S. Treasuries (including strips)

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 27

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31417KZE0
At least one of the following other identifiers:
- ISIN
US31417KZE09

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
319972.87000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
321794.04000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.113145375869

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-09-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 28

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137A4U96
At least one of the following other identifiers:
- ISIN
US3137A4U967

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3227722.57000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3146612.81000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.106374403652

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-12-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 29

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140FXFZ0
At least one of the following other identifiers:
- ISIN
US3140FXFZ03

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9834095.07000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9599774.64000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
3.375358070358

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2057-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 30

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137H2JG0
At least one of the following other identifiers:
- ISIN
US3137H2JG08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
18519716.27000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2842170.85000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.999330158846

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2051-04-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 31

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31400CEY6
At least one of the following other identifiers:
- ISIN
US31400CEY66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
275968.20000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
284663.78000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.100090077443

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 32

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fanniemae Strip
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Interest Strip
d. CUSIP (if any).
31364HWH6
At least one of the following other identifiers:
- ISIN
US31364HWH64

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11.80000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11.77000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000004138426

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-06-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 33

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Pool
d. CUSIP (if any).
3133BVX34
At least one of the following other identifiers:
- ISIN
US3133BVX346

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6241655.18000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6238926.52000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.193656806474

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 34

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137A2AG6
At least one of the following other identifiers:
- ISIN
US3137A2AG69

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1238904.46000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1206380.49000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.424173095259

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 35

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138WHDX7
At least one of the following other identifiers:
- ISIN
US3138WHDX75

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2292102.21000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2246800.30000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.789993078950

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 36

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138AEJQ7
At least one of the following other identifiers:
- ISIN
US3138AEJQ77

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2257.63000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2300.31000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000808807520

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 37

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38380FH25
At least one of the following other identifiers:
- ISIN
US38380FH253

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9092138.32000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1093281.44000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.384406558493

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-07-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.44000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 38

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137FW3Q1
At least one of the following other identifiers:
- ISIN
US3137FW3Q11

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
20367912.83000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3000926.80000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.055150029327

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-09-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 39

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31417YRW9
At least one of the following other identifiers:
- ISIN
US31417YRW92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6623.50000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6764.85000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.002378575737

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-08-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 40

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Asset Securitization Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Residential Asset Securitization Trust 2005-A15
d. CUSIP (if any).
45660L3P2
At least one of the following other identifiers:
- ISIN
US45660L3P20

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
93821.86000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
66634.73000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.023429307677

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-02-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 41

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31402RF87
At least one of the following other identifiers:
- ISIN
US31402RF871

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
364861.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
372609.04000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.131012339082

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 42

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Ginnie Mae I Pool
d. CUSIP (if any).
36203LBU5
At least one of the following other identifiers:
- ISIN
US36203LBU52

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
41.36000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
41.32000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000014528444

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 43

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138AFW71
At least one of the following other identifiers:
- ISIN
US3138AFW714

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
128142.64000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
130872.71000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.046015898753

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 44

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31417TQD3
At least one of the following other identifiers:
- ISIN
US31417TQD36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1222751.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1229701.39000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.432372911502

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 45

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Pool
d. CUSIP (if any).
3133KPDJ4
At least one of the following other identifiers:
- ISIN
US3133KPDJ49

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6654639.25000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6391278.64000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.247225038757

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 46

Item C.1. Identification of investment.

a. Name of issuer (if any).
FHLMC Multifamily Structured Pass Through Certs.
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Multifamily Structured Pass Through Certificates
d. CUSIP (if any).
3137FWG95
At least one of the following other identifiers:
- ISIN
US3137FWG952

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1951437.50000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
147120.24000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.051728661142

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-06-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.33000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 47

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31359QFX7
At least one of the following other identifiers:
- ISIN
US31359QFX79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11.40000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.01000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000000003516

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.20000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 48

Item C.1. Identification of investment.

a. Name of issuer (if any).
FHLMC Multifamily Structured Pass Through Certs.
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Multifamily Structured Pass Through Certificates
d. CUSIP (if any).
3137FREK3
At least one of the following other identifiers:
- ISIN
US3137FREK38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1351036.40000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
80719.16000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.028381506686

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.13000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 49

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137A63K6
At least one of the following other identifiers:
- ISIN
US3137A63K67

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
304739.18000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1537.96000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000540759121

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-02-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.87000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 50

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Pool
d. CUSIP (if any).
3133KPQ27
At least one of the following other identifiers:
- ISIN
US3133KPQ277

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6401527.63000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6277976.74000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.207387178297

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 51

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31405SL77
At least one of the following other identifiers:
- ISIN
US31405SL771

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
324955.32000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
331861.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.116685140718

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 52

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31358TCF4
At least one of the following other identifiers:
- ISIN
US31358TCF49

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
0.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000000

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-01-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 53

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136BBCM2
At least one of the following other identifiers:
- ISIN
US3136BBCM23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4128705.90000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.451686242886

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 54

Item C.1. Identification of investment.

a. Name of issuer (if any).
FHLMC Multifamily Structured Pass Through Certs.
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Multifamily Structured Pass Through Certificates
d. CUSIP (if any).
3137FRUL3
At least one of the following other identifiers:
- ISIN
US3137FRUL37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1819157.23000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
149291.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.052492093643

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.52000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 55

Item C.1. Identification of investment.

a. Name of issuer (if any).
Natixis Commercial Mortgage Securities
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Natixis Commercial Mortgage Securities Trust 2018-FL1
d. CUSIP (if any).
63874MAA0
At least one of the following other identifiers:
- ISIN
US63874MAA09

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
120449.79000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
116615.15000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.041002825841

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-06-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.63000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 56

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31417SMM9
At least one of the following other identifiers:
- ISIN
US31417SMM97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
485215.84000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
487346.13000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.171354823903

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 57

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Ginnie Mae I Pool
d. CUSIP (if any).
36207DLQ7
At least one of the following other identifiers:
- ISIN
US36207DLQ78

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3264.93000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3257.38000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.001145321039

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 58

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38380XYC5
At least one of the following other identifiers:
- ISIN
US38380XYC54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6192936.23000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5849796.78000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.056835656230

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-07-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 59

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138A9PP3
At least one of the following other identifiers:
- ISIN
US3138A9PP39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
99472.71000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
100392.31000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.035298744654

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 60

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38383GBU4
At least one of the following other identifiers:
- ISIN
US38383GBU40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12072637.87000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1898465.77000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.667515853066

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-01-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 61

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FHLMC 30YR UMBS FRQF0472 4.5 0
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2DZ27
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2837945.86000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2837945.86000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.99784461833

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12837945.86000000 United States Dollar 2844941.40000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 62

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31417SNP1
At least one of the following other identifiers:
- ISIN
US31417SNP10

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
364545.11000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
362124.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.127326055642

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 63

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNAI1888 4.5 01-MAY
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2DZK7
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1472163.96000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1472163.96000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.51762470366

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11472163.96000000 United States Dollar 1475792.84000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 64

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3133TNM68
At least one of the following other identifiers:
- ISIN
US3133TNM686

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
370633.90000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
394766.47000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.138803069904

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 65

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38383REX1
At least one of the following other identifiers:
- ISIN
US38383REX17

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4299883.58000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3624853.46000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.274527667461

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-10-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 66

Item C.1. Identification of investment.

a. Name of issuer (if any).
FHLMC Structured Pass Through Securities
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Freddie Mac Structured Pass-Through Certificates
d. CUSIP (if any).
3133TDPY6
At least one of the following other identifiers:
- ISIN
US3133TDPY66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
87957.68000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
86919.30000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.030561525840

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.13000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 67

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2018-2
d. CUSIP (if any).
35563PFG9
At least one of the following other identifiers:
- ISIN
US35563PFG90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
560356.62000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
538015.76000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.189170673854

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2057-11-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 68

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138EGUH5
At least one of the following other identifiers:
- ISIN
US3138EGUH51

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
468313.58000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
493006.16000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.173344936032

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 69

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38378XYD7
At least one of the following other identifiers:
- ISIN
US38378XYD73

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12863405.90000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
282897.17000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.099468923141

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2056-10-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.63000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 70

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31410KXM1
At least one of the following other identifiers:
- ISIN
US31410KXM16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
699725.37000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
740718.18000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.260442477087

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 71

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31398STJ2
At least one of the following other identifiers:
- ISIN
US31398STJ23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3060000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2994011.10000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.052718413515

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-12-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 72

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138AD3K9
At least one of the following other identifiers:
- ISIN
US3138AD3K99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
199874.74000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
204135.28000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.071775608348

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 73

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FNMA 30YR UMBS SUPER FNFS3394
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N858
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-6036863.47000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-6036863.47000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.12260981088

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16036863.47000000 United States Dollar 6051683.97000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 74

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138EJLW6
At least one of the following other identifiers:
- ISIN
US3138EJLW68

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1095824.97000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1102047.56000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.387488796879

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-09-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 75

Item C.1. Identification of investment.

a. Name of issuer (if any).
RFC PRINCIPAL STRIP
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Resolution Funding Corp Principal Strip
d. CUSIP (if any).
76116FAC1
At least one of the following other identifiers:
- ISIN
US76116FAC14

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9760285.21000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
3.431794879361

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-04-15
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 76

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2019-1
d. CUSIP (if any).
35563PJF7
At least one of the following other identifiers:
- ISIN
US35563PJF71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1017139.06000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
972217.83000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.341839618293

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2058-07-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 77

Item C.1. Identification of investment.

a. Name of issuer (if any).
United States Treasury
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Note/Bond
d. CUSIP (if any).
912810QY7
At least one of the following other identifiers:
- ISIN
US912810QY73

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-917000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-777658.99000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.27343116336

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
U.S. Treasury

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 78

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Pool
d. CUSIP (if any).
3133KQW44
At least one of the following other identifiers:
- ISIN
US3133KQW448

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6267000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6269103.08000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.204267127982

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-03-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 79

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FHLMC 30YR UMBS FRRA8767 5.0 0
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N7N0
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-6017824.74000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-6017824.74000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.11591564009

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16017824.74000000 United States Dollar 6032598.50000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 80

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140H8QD0
At least one of the following other identifiers:
- ISIN
US3140H8QD00

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
568392.08000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
552939.02000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.194417812247

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 81

Item C.1. Identification of investment.

a. Name of issuer (if any).
Citimortgage Alternative Loan Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CitiMortgage Alternative Loan Trust Series 2007-A5
d. CUSIP (if any).
12566WAG5
At least one of the following other identifiers:
- ISIN
US12566WAG50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
135430.87000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
24030.69000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.008449384123

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-05-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 82

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140J8SJ3
At least one of the following other identifiers:
- ISIN
US3140J8SJ32

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
549536.84000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
535093.76000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.188143275123

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 83

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137AAW82
At least one of the following other identifiers:
- ISIN
US3137AAW824

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6730475.60000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6889530.87000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.422414535247

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 84

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31418UFY5
At least one of the following other identifiers:
- ISIN
US31418UFY55

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
271767.34000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
271549.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.095478815182

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 85

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137FAP36
At least one of the following other identifiers:
- ISIN
US3137FAP363

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8236954.43000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1383579.36000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.486477644933

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 86

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 40YR REPERFORMING MODIFIE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2DZV3
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-20843360.14000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-20843360.14000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-7.32869327669

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#120843360.14000000 United States Dollar 20894739.02000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 87

Item C.1. Identification of investment.

a. Name of issuer (if any).
FannieMae Whole Loan
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMIC Trust 1999-W4
d. CUSIP (if any).
31359VB36
At least one of the following other identifiers:
- ISIN
US31359VB361

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
34929.64000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1744.02000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000613211476

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-12-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 88

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNAD0576 4.5 01-DEC
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N8A7
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3190582.52000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3190582.52000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.12183450777

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13190582.52000000 United States Dollar 3198415.40000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 89

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138ADKK0
At least one of the following other identifiers:
- ISIN
US3138ADKK06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
29741.10000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
30078.91000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.010575986981

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 90

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140FXDJ8
At least one of the following other identifiers:
- ISIN
US3140FXDJ88

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
22270760.14000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
21740121.86000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
7.644001919062

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2056-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 91

Item C.1. Identification of investment.

a. Name of issuer (if any).
FannieMae Whole Loan
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMIC Trust 1999-W4
d. CUSIP (if any).
31359VB28
At least one of the following other identifiers:
- ISIN
US31359VB288

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
16537.82000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
15377.27000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.005406771965

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-02-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 92

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38383PBF7
At least one of the following other identifiers:
- ISIN
US38383PBF71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
24838496.45000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3168435.86000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.114047563773

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2051-02-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 93

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31398SPL1
At least one of the following other identifiers:
- ISIN
US31398SPL15

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6655329.10000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6618980.35000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.327286793673

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-12-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 94

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138ADC60
At least one of the following other identifiers:
- ISIN
US3138ADC604

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
235560.86000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
236898.77000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.083295515276

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 95

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31418V4Y5
At least one of the following other identifiers:
- ISIN
US31418V4Y59

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
49206.40000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
50254.82000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.017669999413

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-08-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 96

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140XJXY4
At least one of the following other identifiers:
- ISIN
US3140XJXY40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6590376.43000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6303031.80000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.216196739161

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 97

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31403DGY9
At least one of the following other identifiers:
- ISIN
US31403DGY94

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
992886.52000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1013993.92000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.356528427959

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 98

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38378KPD5
At least one of the following other identifiers:
- ISIN
US38378KPD53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3876952.73000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
82693.08000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.029075552854

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2051-09-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.74000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 99

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31412QSU4
At least one of the following other identifiers:
- ISIN
US31412QSU49

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
612720.02000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
616203.46000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.216662098819

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 100

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140XKP20
At least one of the following other identifiers:
- ISIN
US3140XKP203

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6255430.19000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6249827.14000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.197489552248

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 101

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140H37J9
At least one of the following other identifiers:
- ISIN
US3140H37J95

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5251908.56000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5111592.64000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.797277135852

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 102

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138AAS28
At least one of the following other identifiers:
- ISIN
US3138AAS283

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1313.62000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1314.98000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000462357557

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-03-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 103

Item C.1. Identification of investment.

a. Name of issuer (if any).
Wells Fargo Commercial Mortgage Trust
b. LEI (if any) of issuer. (1)
549300AGZIS1CJS4RM30
c. Title of the issue or description of the investment.
Wells Fargo Commercial Mortgage Trust 2018-C44
d. CUSIP (if any).
95001JAY3
At least one of the following other identifiers:
- ISIN
US95001JAY38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4826396.38000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
136242.41000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.047903928515

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2051-05-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.71000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 104

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS, TBA
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Uniform Mortgage-Backed Security, TBA
d. CUSIP (if any).
01F050643
At least one of the following other identifiers:
- ISIN
US01F0506430

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
641732.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
640027.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.225038787977

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 105

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136AFN75
At least one of the following other identifiers:
- ISIN
US3136AFN758

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6700652.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.356003203515

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 106

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31418MPN6
At least one of the following other identifiers:
- ISIN
US31418MPN64

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2403421.06000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2495258.57000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.877353007516

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 107

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FNMA 30YR UMBS FNBV9960 4.0 01
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N7S9
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-6065337.02000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-6065337.02000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.13262134035

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16065337.02000000 United States Dollar 6080227.42000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 108

Item C.1. Identification of investment.

a. Name of issuer (if any).
Federal Housing Authority
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FHA ML 54
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
3629939X7
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.34000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000000

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.43000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 109

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 40YR REPERFORMING MODIFIE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2DZN1
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-9203788.60000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-9203788.60000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-3.23612618982

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#19203788.60000000 United States Dollar 9226475.94000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 110

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FHLMC 30YR UMBS FRRA7673 4.5 0
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N7K6
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-6017837.50000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-6017837.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.11592012661

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16017837.50000000 United States Dollar 6032611.29000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 111

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31419AMU8
At least one of the following other identifiers:
- ISIN
US31419AMU87

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
50507.62000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
51585.89000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.018138014344

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-08-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 112

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Pool
d. CUSIP (if any).
3132DPWC8
At least one of the following other identifiers:
- ISIN
US3132DPWC84

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6572765.03000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6456083.99000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.270011121694

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 113

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38375GYA3
At least one of the following other identifiers:
- ISIN
US38375GYA39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4879924.09000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
146142.99000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.051385052172

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-08-16
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.52000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 114

Item C.1. Identification of investment.

a. Name of issuer (if any).
Vendee Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Vendee Mortgage Trust 1999-2
d. CUSIP (if any).
911760MW3
At least one of the following other identifiers:
- ISIN
US911760MW30

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6181152.91000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6.18000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000002172937

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-05-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 115

Item C.1. Identification of investment.

a. Name of issuer (if any).
GS Mortgage Securities Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GS Mortgage Securities Corp Trust 2023-FUN
d. CUSIP (if any).
36267CAA3
At least one of the following other identifiers:
- ISIN
US36267CAA36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
280000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
279302.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.098205173477

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-03-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 116

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136A1LW3
At least one of the following other identifiers:
- ISIN
US3136A1LW36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
32350761.47000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
32312390.23000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
11.36129661637

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-10-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 117

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136B2MC3
At least one of the following other identifiers:
- ISIN
US3136B2MC36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2001000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1963252.94000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.690295543769

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-07-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 118

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fanniemae Strip
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Interest Strip
d. CUSIP (if any).
3136FGRR0
At least one of the following other identifiers:
- ISIN
US3136FGRR06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2297201.09000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1800353.71000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.633018862674

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-09-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 119

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136ACAB7
At least one of the following other identifiers:
- ISIN
US3136ACAB77

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3792327.79000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
457141.22000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.160734534307

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 120

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FNMA 30YR UMBS FNCB4379 4.0 01
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N7V2
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-6039731.46000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-6039731.46000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.12361821926

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16039731.46000000 United States Dollar 6054559.00000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 121

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Pool
d. CUSIP (if any).
3133BMQZ1
At least one of the following other identifiers:
- ISIN
US3133BMQZ14

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3013952.28000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2960286.48000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.040860565539

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-09-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 122

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31394BGX6
At least one of the following other identifiers:
- ISIN
US31394BGX64

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
268880.67000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
263949.26000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.092806685397

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.51000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 123

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38377VHH2
At least one of the following other identifiers:
- ISIN
US38377VHH24

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3524811.82000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
258347.21000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.090836959504

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-04-16
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.94000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 124

Item C.1. Identification of investment.

a. Name of issuer (if any).
FHLMC-GNMA
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FHLMC-GNMA
d. CUSIP (if any).
3133T55A7
At least one of the following other identifiers:
- ISIN
US3133T55A70

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3169.14000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3165.89000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.001113152418

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-08-17
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 125

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136A2V67
At least one of the following other identifiers:
- ISIN
US3136A2V671

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12935838.44000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1507454.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.530033194464

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.15000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 126

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2018-4
d. CUSIP (if any).
35563PHF9
At least one of the following other identifiers:
- ISIN
US35563PHF99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3211520.99000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3081086.35000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.083334772632

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2058-03-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 127

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137FCZ49
At least one of the following other identifiers:
- ISIN
US3137FCZ491

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3351000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2977622.20000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.046955944295

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 128

Item C.1. Identification of investment.

a. Name of issuer (if any).
FHLMC Multifamily Structured Pass Through Certs.
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Multifamily Structured Pass Through Certificates
d. CUSIP (if any).
3137FMU26
At least one of the following other identifiers:
- ISIN
US3137FMU269

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1402872.24000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
62521.39000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.021983024208

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-06-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.88000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 129

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138AFC24
At least one of the following other identifiers:
- ISIN
US3138AFC245

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1526581.89000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1531302.28000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.538418213217

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 130

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS, TBA
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Uniform Mortgage-Backed Security, TBA
d. CUSIP (if any).
01F022444
At least one of the following other identifiers:
- ISIN
US01F0224448

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
180000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
167055.47000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.058738048548

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 131

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Ginnie Mae I Pool
d. CUSIP (if any).
36203YHK3
At least one of the following other identifiers:
- ISIN
US36203YHK38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
48.37000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
48.27000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000016972120

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-09-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 132

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNAC6751 4.5 01-JAN
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2E1B2
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1182447.61000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1182447.61000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.41575810192

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11182447.61000000 United States Dollar 1185362.34000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 133

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136B8H36
At least one of the following other identifiers:
- ISIN
US3136B8H361

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7816366.59000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1589490.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.558877825214

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-03-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 134

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31418MUA8
At least one of the following other identifiers:
- ISIN
US31418MUA88

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3300710.58000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3319471.62000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.167152953279

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 135

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31392B5G7
At least one of the following other identifiers:
- ISIN
US31392B5G75

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
22174.61000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
20389.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.007169112396

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-03-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 136

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38378DHX6
At least one of the following other identifiers:
- ISIN
US38378DHX66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5623829.90000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5459121.42000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.919471053547

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-09-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 137

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNAS7317 4.0 01-JUN-
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2DZ92
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2160459.61000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2160459.61000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.75963499704

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12160459.61000000 United States Dollar 2165785.14000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 138

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137AJ4M3
At least one of the following other identifiers:
- ISIN
US3137AJ4M38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
10268151.49000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1074186.24000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.377692532400

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-11-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.32000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 139

Item C.1. Identification of investment.

a. Name of issuer (if any).
CSAIL Commercial Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSAIL 2018-C14 Commercial Mortgage Trust
d. CUSIP (if any).
12596GBB4
At least one of the following other identifiers:
- ISIN
US12596GBB41

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1999286.60000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
50416.41000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.017726815759

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2051-11-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.55000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 140

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137H0JN9
At least one of the following other identifiers:
- ISIN
US3137H0JN92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
20001052.33000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2873477.18000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.010337716584

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2051-06-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 141

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31415YHF9
At least one of the following other identifiers:
- ISIN
US31415YHF97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
657399.34000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
657721.80000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.231260281510

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 142

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138ETS56
At least one of the following other identifiers:
- ISIN
US3138ETS566

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
459172.28000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
447578.78000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.157372303397

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 143

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31397QJJ8
At least one of the following other identifiers:
- ISIN
US31397QJJ85

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3948346.88000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3824395.24000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.344688164218

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 144

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38377VGR1
At least one of the following other identifiers:
- ISIN
US38377VGR15

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2843098.07000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
143324.84000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.050394167938

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-04-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.89000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 145

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137B75D7
At least one of the following other identifiers:
- ISIN
US3137B75D79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
963371.80000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.338729282908

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2044-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 146

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS, TBA
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Uniform Mortgage-Backed Security, TBA
d. CUSIP (if any).
01F030652
At least one of the following other identifiers:
- ISIN
US01F0306526

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
26600000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
23892042.06000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
8.400634390784

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 147

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31359FQ68
At least one of the following other identifiers:
- ISIN
US31359FQ685

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2938.71000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2950.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.001037584816

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 148

Item C.1. Identification of investment.

a. Name of issuer (if any).
Chicago Board of Trade
b. LEI (if any) of issuer. (1)
549300EX04Q2QBFQTQ27
c. Title of the issue or description of the investment.
US 5YR NOTE (CBT) JUN23
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
FVM320236
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-132.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-326958.93000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.11496139278

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Board of Trade549300EX04Q2QBFQTQ27

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
2. The reference instrument is an index or custom basket. (26)
Index name.
CBOT 5 Year U.S. Treasury Notes
Index identifier, if any.
FVM3 Comdty
Narrative description. (27)
iii. Expiration date.
2023-06-30
iv. Aggregate notional amount or contract value on trade date.
-14146634.75000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
-326958.93000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 149

Item C.1. Identification of investment.

a. Name of issuer (if any).
FHLMC Multifamily Structured Pass Through Certs.
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Multifamily Structured Pass Through Certificates
d. CUSIP (if any).
3137FRZC8
At least one of the following other identifiers:
- ISIN
US3137FRZC82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1229574.57000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
105931.54000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.037246382530

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.59000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 150

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136A03W5
At least one of the following other identifiers:
- ISIN
US3136A03W59

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3732888.06000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2875963.66000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.011211982976

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-09-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 151

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136BFRC9
At least one of the following other identifiers:
- ISIN
US3136BFRC99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
19517241.90000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3439529.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.209366235552

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-07-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 152

Item C.1. Identification of investment.

a. Name of issuer (if any).
Chicago Board of Trade
b. LEI (if any) of issuer. (1)
549300EX04Q2QBFQTQ27
c. Title of the issue or description of the investment.
US LONG BOND(CBT) JUN23
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
USM320236
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-125.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-676164.46000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.23774486928

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Board of Trade549300EX04Q2QBFQTQ27

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
2. The reference instrument is an index or custom basket. (26)
Index name.
CBOT U.S. Long Bond Futures
Index identifier, if any.
USM3 Comdty
Narrative description. (27)
iii. Expiration date.
2023-06-21
iv. Aggregate notional amount or contract value on trade date.
-15741804.29000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
-676164.46000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 153

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31419B4V4
At least one of the following other identifiers:
- ISIN
US31419B4V45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
69604.28000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
69789.87000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.024538680309

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-09-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 154

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fanniemae Strip
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Interest Strip
d. CUSIP (if any).
3136FAT59
At least one of the following other identifiers:
- ISIN
US3136FAT599

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2006115.37000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1691049.72000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.594586699566

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-07-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 155

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3129127E2
At least one of the following other identifiers:
- ISIN
US3129127E20

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
0.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000000

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2022-11-15
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 156

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31416PRP4
At least one of the following other identifiers:
- ISIN
US31416PRP44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
179460.41000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
180481.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.063458801557

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 157

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Ginnie Mae I Pool
d. CUSIP (if any).
36208DU29
At least one of the following other identifiers:
- ISIN
US36208DU298

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
856.84000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
857.61000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000301542582

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-06-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 158

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR UMBS FNCA4181 4.5 01
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2E0D9
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2632886.65000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2632886.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.92574414876

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12632886.65000000 United States Dollar 2639376.72000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 159

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31393YBA2
At least one of the following other identifiers:
- ISIN
US31393YBA29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2073325.32000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2268778.73000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.797720871931

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-05-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 160

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS, TBA
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Uniform Mortgage-Backed Security, TBA
d. CUSIP (if any).
01F030645
At least one of the following other identifiers:
- ISIN
US01F0306450

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
15300000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13728071.42000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
4.826900463358

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 161

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3133T4GR1
At least one of the following other identifiers:
- ISIN
US3133T4GR18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
9367.96000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9190.74000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.003231538196

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-03-15
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 162

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136B1C69
At least one of the following other identifiers:
- ISIN
US3136B1C698

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4544673.38000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4033595.32000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.418244597033

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.58000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 163

Item C.1. Identification of investment.

a. Name of issuer (if any).
Chicago Mercantile Exchange
b. LEI (if any) of issuer. (1)
SNZ2OJLFK8MNNCLQOF39
c. Title of the issue or description of the investment.
SWP: OIS 0.17314 SOFR 21-OCT-2025
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRW846EM7
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
136615.00000000
b. Units
Other units
c. Description of other units.
Notional Amount
d. Currency. (3)
United States Dollar
e. Value. (4)
-13260.89000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.00466263571

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
N/A
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
N/A
If other identifier provided, indicate the type of identifier used.
N/A
Custom swap Flag Yes No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. Fixed Floating Other
Receipts: Fixed rate.
0.17000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
45.99000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. Fixed Floating Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
USD - Secured Overnight Financing Rate (SOFR)
Payments: Floating rate Spread.
0.00000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
United States Dollar
Payments: Amount
-1215.86000000

ii. Termination or maturity date.
2025-10-21
iii. Upfront payments or receipts
Upfront payments.
0.00000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-17.79000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
136615.00000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-13243.10000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 164

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31394ED96
At least one of the following other identifiers:
- ISIN
US31394ED964

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
44437.02000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
42853.46000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.015067621634

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-08-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.95000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 165

Item C.1. Identification of investment.

a. Name of issuer (if any).
Sterling Bank Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Sterling COOFS Trust 2004-2
d. CUSIP (if any).
859245AB8
At least one of the following other identifiers:
- ISIN
US859245AB84

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
341626.09000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3416.26000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.001201184527

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-03-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.08000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 166

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31402DC40
At least one of the following other identifiers:
- ISIN
US31402DC407

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
464835.65000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
474704.91000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.166910069152

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 167

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31417JQU7
At least one of the following other identifiers:
- ISIN
US31417JQU78

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
383868.94000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
382813.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.134600362136

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 168

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31410KXZ2
At least one of the following other identifiers:
- ISIN
US31410KXZ29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
747280.90000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
775820.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.272784788219

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 169

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31416XJ92
At least one of the following other identifiers:
- ISIN
US31416XJ921

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1441729.20000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1411001.89000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.496119627314

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 170

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31416TL49
At least one of the following other identifiers:
- ISIN
US31416TL495

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1249667.44000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1253528.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.440750715258

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-08-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 171

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138AP5N4
At least one of the following other identifiers:
- ISIN
US3138AP5N49

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
285800.65000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
291218.36000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.102394720555

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-09-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 172

Item C.1. Identification of investment.

a. Name of issuer (if any).
FHLMC Multifamily Structured Pass Through Certs.
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Multifamily Structured Pass Through Certificates
d. CUSIP (if any).
3137FTZS9
At least one of the following other identifiers:
- ISIN
US3137FTZS90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
393321.04000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
35737.19000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.012565483795

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-04-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.70000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 173

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140H1XR6
At least one of the following other identifiers:
- ISIN
US3140H1XR69

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
241263.49000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
242859.39000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.085391317269

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 174

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31417SNL0
At least one of the following other identifiers:
- ISIN
US31417SNL06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
707170.30000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
705684.99000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.248124525361

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 175

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136B4ZB7
At least one of the following other identifiers:
- ISIN
US3136B4ZB71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8683398.80000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
992157.33000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.348850507065

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.20000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 176

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNBJ2696 4.0 01-APR-
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N7Q3
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4913903.96000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-4913903.96000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.72776820397

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14913903.96000000 United States Dollar 4925967.59000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 177

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Ginnie Mae I Pool
d. CUSIP (if any).
36203N7F9
At least one of the following other identifiers:
- ISIN
US36203N7F99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
24.29000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
24.24000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000008522979

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 178

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Ginnie Mae I Pool
d. CUSIP (if any).
36217FMY2
At least one of the following other identifiers:
- ISIN
US36217FMY24

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
217.34000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
216.87000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000076253238

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-09-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 179

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38377WSG0
At least one of the following other identifiers:
- ISIN
US38377WSG05

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8124025.44000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7927200.61000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.787267572180

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-06-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 180

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR UMBS FNBW9908 4.5 01
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2E072
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3122879.57000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3122879.57000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.09802960534

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13122879.57000000 United States Dollar 3130577.47000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 181

Item C.1. Identification of investment.

a. Name of issuer (if any).
Chicago Board of Trade
b. LEI (if any) of issuer. (1)
549300EX04Q2QBFQTQ27
c. Title of the issue or description of the investment.
US 10YR NOTE (CBT)JUN23
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
TYM320235
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
397.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1430812.49000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.503085193809

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Board of Trade549300EX04Q2QBFQTQ27

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
2. The reference instrument is an index or custom basket. (26)
Index name.
CBOT 10 Year U.S. Treasury Notes
Index identifier, if any.
TYM3 Comdty
Narrative description. (27)
iii. Expiration date.
2023-06-21
iv. Aggregate notional amount or contract value on trade date.
44249000.01000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
1430812.49000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 182

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136A8DZ0
At least one of the following other identifiers:
- ISIN
US3136A8DZ02

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1639065.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1554207.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.546471925765

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-09-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 183

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac Gold Pool
d. CUSIP (if any).
31335ARP5
At least one of the following other identifiers:
- ISIN
US31335ARP56

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4636819.36000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4790304.90000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.684309779140

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 184

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNAL2140 4.5 01-SEP-
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2DZP6
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1059725.32000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1059725.32000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.37260795647

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11059725.32000000 United States Dollar 1062337.54000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 185

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136AXT39
At least one of the following other identifiers:
- ISIN
US3136AXT394

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
17533495.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1873979.95000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.658906441570

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.30000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 186

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
31394PCV3
At least one of the following other identifiers:
- ISIN
US31394PCV31

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1577706.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1558881.29000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.548115215226

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 187

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Ginnie Mae I Pool
d. CUSIP (if any).
36205KZ39
At least one of the following other identifiers:
- ISIN
US36205KZ397

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1878.68000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1883.16000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000662134221

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 188

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31395DPW3
At least one of the following other identifiers:
- ISIN
US31395DPW38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2280255.34000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
200976.01000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.070664783574

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 189

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140MQB65
At least one of the following other identifiers:
- ISIN
US3140MQB658

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6589744.48000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6312597.88000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.219560249925

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 190

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137F4VK5
At least one of the following other identifiers:
- ISIN
US3137F4VK57

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5677160.60000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5674575.79000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.995226545092

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 191

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140N3AJ8
At least one of the following other identifiers:
- ISIN
US3140N3AJ88

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3320108.04000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3260167.61000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.146301185788

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 192

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31406UT99
At least one of the following other identifiers:
- ISIN
US31406UT992

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11022.37000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11164.25000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.003925440205

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 193

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31418NX21
At least one of the following other identifiers:
- ISIN
US31418NX218

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3971775.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4046893.86000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.422920470790

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 194

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FNMA 30YR UMBS SUPER FNFS4040
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N866
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-6005546.08000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-6005546.08000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.11159836435

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16005546.08000000 United States Dollar 6020289.70000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 195

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31417Y2B2
At least one of the following other identifiers:
- ISIN
US31417Y2B21

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
157834.18000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
161206.87000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.056681633690

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 196

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138A2XW4
At least one of the following other identifiers:
- ISIN
US3138A2XW45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
17301.28000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
17400.12000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.006118022315

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 197

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNBH4093 5.0 01-OCT-
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2DZJ0
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1478196.11000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1478196.11000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.51974565618

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11478196.11000000 United States Dollar 1481839.86000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 198

Item C.1. Identification of investment.

a. Name of issuer (if any).
Chicago Board of Trade
b. LEI (if any) of issuer. (1)
549300EX04Q2QBFQTQ27
c. Title of the issue or description of the investment.
US 10YR ULTRA FUT JUN23
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
UXYM32029
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-175.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-682514.53000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.23997760503

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Board of Trade549300EX04Q2QBFQTQ27

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
2. The reference instrument is an index or custom basket. (26)
Index name.
CBOT Ultra 10-Year U.S. Treasury Notes Futures
Index identifier, if any.
UXYM3 Comdty
Narrative description. (27)
iii. Expiration date.
2023-06-21
iv. Aggregate notional amount or contract value on trade date.
-20538969.85000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
-682514.53000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 199

Item C.1. Identification of investment.

a. Name of issuer (if any).
DEUTSCHE BANK AG
b. LEI (if any) of issuer. (1)
7LTWFZYICNSX8D621K86
c. Title of the issue or description of the investment.
10Y RTR 3.000000 11-DEC-2023
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYEZRVE1
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
15000000.00000000
b. Units
Other units
c. Description of other units.
Notional Amount
d. Currency. (3)
United States Dollar
e. Value. (4)
413453.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.145373544978

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swaption
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AG7LTWFZYICNSX8D621K86

ii. Type, selected from among the following (put, call). Respond call for warrants. Put Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. Written Purchased
1. The reference instrument is a derivative. (25)
Start of Nested Derivatives
a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AG7LTWFZYICNSX8D621K86

Identification of investment.
Name of issuer (if any).
DEUTSCHE BANK AG
LEI (if any) of issuer. (22)
7LTWFZYICNSX8D621K86
Title of the issue or description of the investment.
IRS Swap
CUSIP (if any).
N/A
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
AEIG55124E
Description of other unique identifier.
Internal Identifier

Amount of each investment.
Balance. (2)
Balance
15000000.00000000
Units
Other units
Description of other units.
Notional Amount
Currency. (3)
N/A
Value. (4)
413453.40000000
Exchange rate.
Percentage value compared to net assets of the Fund.
0.15000000

Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
Asset type. (6)
Derivative-interest rate
Issuer type. (7)

Country of investment or issuer.
ISO country code. (8)
UNITED STATES OF AMERICA
Investment ISO country code. (9)


ii. Description and terms of payments (23)

Description of reference instrument.

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
N/A
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
N/A
If other identifier provided, indicate the type of identifier used.
N/A

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. Fixed Floating Other
Receipts: Floating rate Index.
USD - Secured Overnight Financing Rate (SOFR)
Receipts: Floating rate Spread.
0.00000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
12
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
12
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.00000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. Fixed Floating Other
Payments: Fixed rate.
3.00000000
Payments: Base currency
United States Dollar
Payments: Amount
0.00000000

ii. Termination or maturity date.
2033-12-11
iii. Upfront payments or receipts
Upfront payments.
0.00000000
ISO Currency Code.
N/A
Upfront receipts.
0.00000000
ISO Currency Code.
N/A
iv. Notional amount.
15000000.00000000
ISO Currency Code.
USD
End of Nested Derivatives
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
1.00000000
v. Exercise price or rate.
3.00000000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2023-12-11
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
185453.40000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 200

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNAD1596 5.0 01-FEB
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N890
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3888274.85000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3888274.85000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.36714874951

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13888274.85000000 United States Dollar 3897820.56000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 201

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137AN5V3
At least one of the following other identifiers:
- ISIN
US3137AN5V38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
15407765.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
15057209.07000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
5.294235964637

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-09-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 202

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137BDKG0
At least one of the following other identifiers:
- ISIN
US3137BDKG02

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4222797.71000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4088875.06000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.437681398785

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 203

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNAA9346 4.5 01-AUG
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2E171
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1204000.16000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1204000.16000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.42333615206

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11204000.16000000 United States Dollar 1206968.02000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 204

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140GYG29
At least one of the following other identifiers:
- ISIN
US3140GYG299

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1033628.57000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1006013.84000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.353722567568

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 205

Item C.1. Identification of investment.

a. Name of issuer (if any).
BlackRock Liquidity Funds
b. LEI (if any) of issuer. (1)
5493007YVNX55LTRQ706
c. Title of the issue or description of the investment.
BlackRock Liquidity Funds: T-Fund, Institutional Shares
d. CUSIP (if any).
09248U718
At least one of the following other identifiers:
- ISIN
US09248U7182

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
10522265.15000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
10522265.15000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
3.699713162485

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
b. Issuer type. (7)
Registered fund

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 206

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FHLMC GOLD 30YR GIANT FGG60494
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N7H3
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4612246.22000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-4612246.22000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.62170291334

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14612246.22000000 United States Dollar 4623569.28000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 207

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31358U6R2
At least one of the following other identifiers:
- ISIN
US31358U6R23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4.95000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4.94000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000001736943

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-05-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 208

Item C.1. Identification of investment.

a. Name of issuer (if any).
STERLING COOFS TR
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STERLING COOFS TR
d. CUSIP (if any).
859245AA0
At least one of the following other identifiers:
- ISIN
US859245AA02

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
537149.20000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5371.49000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.001888659140

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-04-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.36000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 209

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31417Y6Y8
At least one of the following other identifiers:
- ISIN
US31417Y6Y87

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7380.43000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7538.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.002650421503

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 210

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31418AAR9
At least one of the following other identifiers:
- ISIN
US31418AAR95

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
58096.38000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
59336.81000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.020863300235

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 211

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38376PA59
At least one of the following other identifiers:
- ISIN
US38376PA594

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
370854.68000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
29436.70000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.010350180773

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-12-16
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.74000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 212

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136B5JD8
At least one of the following other identifiers:
- ISIN
US3136B5JD86

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2810031.40000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
293331.03000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.103137552341

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 213

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31418TDT1
At least one of the following other identifiers:
- ISIN
US31418TDT16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13099.24000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13378.94000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.004704143044

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 214

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNCA2457 4.0 01-OCT-
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2E0C1
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1313717.53000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1313717.53000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.46191366290

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11313717.53000000 United States Dollar 1316955.84000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 215

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31418NPH7
At least one of the following other identifiers:
- ISIN
US31418NPH79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1537047.12000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1537807.85000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.540705624018

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 216

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140QBUF3
At least one of the following other identifiers:
- ISIN
US3140QBUF35

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2762496.29000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2745959.90000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.965501614040

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-09-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 217

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137FFQC4
At least one of the following other identifiers:
- ISIN
US3137FFQC46

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13785555.99000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1394759.14000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.490408545611

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-07-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 218

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Ginnie Mae II Pool
d. CUSIP (if any).
36202FB47
At least one of the following other identifiers:
- ISIN
US36202FB478

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1028872.23000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1056292.96000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.371401111057

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-10-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 219

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
31395MHU6
At least one of the following other identifiers:
- ISIN
US31395MHU62

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1656189.49000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1676425.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.589444871301

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 220

Item C.1. Identification of investment.

a. Name of issuer (if any).
SBA
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SBA
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B04294813
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4578.49000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000000

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2021-11-10
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 221

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FHLMC 30YR UMBS FRQF7898 5.0 0
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N7P5
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-5988352.47000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-5988352.47000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.10555295262

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#15988352.47000000 United States Dollar 6003053.88000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 222

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNAB2087 4.0 01-JAN
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2E1D8
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1352871.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1352871.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.47568033826

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11352871.00000000 United States Dollar 1356205.83000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 223

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137AFMM1
At least one of the following other identifiers:
- ISIN
US3137AFMM19

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
16693151.74000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1607840.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.565329832986

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-09-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.32000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 224

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140QP2M8
At least one of the following other identifiers:
- ISIN
US3140QP2M86

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6589601.96000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6305085.15000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.216918713557

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-08-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 225

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31412RH59
At least one of the following other identifiers:
- ISIN
US31412RH595

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
36922.71000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
37710.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.013259480738

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 226

Item C.1. Identification of investment.

a. Name of issuer (if any).
CSAIL Commercial Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSAIL 2019-C16 Commercial Mortgage Trust
d. CUSIP (if any).
12596WAE4
At least one of the following other identifiers:
- ISIN
US12596WAE49

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6367494.09000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
447481.38000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.157338056773

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-06-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.55000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 227

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3138AMQY4
At least one of the following other identifiers:
- ISIN
US3138AMQY45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
117669.21000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
119185.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.041906405796

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 228

Item C.1. Identification of investment.

a. Name of issuer (if any).
FHLMC Multifamily Structured Pass Through Certs.
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Multifamily Structured Pass Through Certificates
d. CUSIP (if any).
3137FV5Q1
At least one of the following other identifiers:
- ISIN
US3137FV5Q11

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1591548.13000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
122974.47000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.043238813964

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-06-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.38000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 229

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38379UH41
At least one of the following other identifiers:
- ISIN
US38379UH411

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3437219.44000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
179051.64000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.062955998525

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2058-02-16
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.18000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 230

Item C.1. Identification of investment.

a. Name of issuer (if any).
FHLMC Multifamily Structured Pass Through Certs.
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Multifamily Structured Pass Through Certificates
d. CUSIP (if any).
3137FTG27
At least one of the following other identifiers:
- ISIN
US3137FTG271

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
939214.51000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
80971.19000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.028470122464

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-04-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.58000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 231

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31416TAH2
At least one of the following other identifiers:
- ISIN
US31416TAH23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
40686.37000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
40563.95000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.014262611481

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 232

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137B5KE2
At least one of the following other identifiers:
- ISIN
US3137B5KE23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8884000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8527546.38000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.998353979493

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 233

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
3140GSRP9
At least one of the following other identifiers:
- ISIN
US3140GSRP98

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1521124.56000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1539352.18000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.541248622882

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 234

Item C.1. Identification of investment.

a. Name of issuer (if any).
Kidder Peabody Acceptance Corp
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Kidder Peabody Acceptance Corp I
d. CUSIP (if any).
493918BN5
At least one of the following other identifiers:
- ISIN
US493918BN59

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
90.86000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
90.76000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000031911946

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-08-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.62000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 235

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137AJGT5
At least one of the following other identifiers:
- ISIN
US3137AJGT57

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2859000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2790873.75000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.981293685391

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 236

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136BHEV7
At least one of the following other identifiers:
- ISIN
US3136BHEV73

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
27827656.27000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4466797.99000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.570562144384

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-05-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 237

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3133T0EZ3
At least one of the following other identifiers:
- ISIN
US3133T0EZ30

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
0.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000000

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-08-15
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 238

Item C.1. Identification of investment.

a. Name of issuer (if any).
BSST Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Beast Mortgage Trust
d. CUSIP (if any).
05601PAA4
At least one of the following other identifiers:
- ISIN
US05601PAA49

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
250000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
237580.63000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.083535262743

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.43000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 239

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Government National Mortgage Association
d. CUSIP (if any).
38379MCQ5
At least one of the following other identifiers:
- ISIN
US38379MCQ50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8525535.96000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8059125.20000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.833653320412

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-07-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 240

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fanniemae-Aces
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae-Aces
d. CUSIP (if any).
3136B9L70
At least one of the following other identifiers:
- ISIN
US3136B9L700

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1715722.66000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
185549.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.065240663268

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2058-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.56000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 241

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137BRYR0
At least one of the following other identifiers:
- ISIN
US3137BRYR07

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7368478.24000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7407094.22000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.604393977042

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-09-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 242

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137H8LQ2
At least one of the following other identifiers:
- ISIN
US3137H8LQ22

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6295076.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5898043.04000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.073799429773

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 243

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Home Loans
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHL Mortgage Pass-Through Trust 2003-J8
d. CUSIP (if any).
12669EX27
At least one of the following other identifiers:
- ISIN
US12669EX275

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8016.67000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7750.88000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.002725271825

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-09-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 244

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2019-2
d. CUSIP (if any).
35563PKG3
At least one of the following other identifiers:
- ISIN
US35563PKG36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
407049.11000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
388352.25000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.136547778498

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2058-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 245

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31402RCV9
At least one of the following other identifiers:
- ISIN
US31402RCV96

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
818937.35000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
836336.34000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.294062592156

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 246

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Ginnie Mae I Pool
d. CUSIP (if any).
36207RFG5
At least one of the following other identifiers:
- ISIN
US36207RFG56

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2541.26000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2594.56000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000912268189

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 247

Item C.1. Identification of investment.

a. Name of issuer (if any).
Government National Mortgage Association
b. LEI (if any) of issuer. (1)
549300M8ZYFG0OCMTT87
c. Title of the issue or description of the investment.
Ginnie Mae I Pool
d. CUSIP (if any).
36203LBV3
At least one of the following other identifiers:
- ISIN
US36203LBV36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6.21000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6.20000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000002179969

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government agency

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 248

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
RRP FNMA 30YR FNAD0428 5.5 01-OCT
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2E1J5
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2401348.90000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2401348.90000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.84433361129

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? Yes No
d. Repurchase rate.
4.93000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12401348.90000000 United States Dollar 2407268.23000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 249

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137AHVU9
At least one of the following other identifiers:
- ISIN
US3137AHVU99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
556963.15000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
551964.52000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.194075170199

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 250

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31418TWD5
At least one of the following other identifiers:
- ISIN
US31418TWD52

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
17851.14000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
18080.36000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.006357200177

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 251

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136A14G7
At least one of the following other identifiers:
- ISIN
US3136A14G72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
14350496.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13935396.42000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
4.899797602945

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-11-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 252

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31410GYE7
At least one of the following other identifiers:
- ISIN
US31410GYE78

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
0.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000000

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 253

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP GLOBAL MARKETS INC
b. LEI (if any) of issuer. (1)
MBNUM2BPBDO7JBLYG310
c. Title of the issue or description of the investment.
RRP FHLMC 30YR UMBS FRRA7305 4.0 0
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRYF2N7R1
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-6142313.65000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-6142313.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.15968694335

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP GLOBAL MARKETS INCMBNUM2BPBDO7JBLYG310

c. Tri-party? Yes No
d. Repurchase rate.
4.91000000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16142313.65000000 United States Dollar 6157393.03000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 254

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Pool
d. CUSIP (if any).
31412QQL6
At least one of the following other identifiers:
- ISIN
US31412QQL67

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
175084.94000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
174808.31000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.061464009526

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-10-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 255

Item C.1. Identification of investment.

a. Name of issuer (if any).
Chicago Mercantile Exchange
b. LEI (if any) of issuer. (1)
SNZ2OJLFK8MNNCLQOF39
c. Title of the issue or description of the investment.
SWP: OIS 0.18350 FED 21-OCT-2025
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BRW846SN0
Description of other unique identifier.
BlackRock Identifier

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
136615.00000000
b. Units
Other units
c. Description of other units.
Notional Amount
d. Currency. (3)
United States Dollar
e. Value. (4)
13158.45000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.004626616984

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
N/A
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
N/A
If other identifier provided, indicate the type of identifier used.
N/A
Custom swap Flag Yes No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. Fixed Floating Other
Receipts: Floating rate Index.
USD - 1D Overnight Fed Funds Effective Rate (FEDL01)
Receipts: Floating rate Spread.
0.00000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United States Dollar
Receipts: Amount.
1218.60000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. Fixed Floating Other
Payments: Fixed rate.
0.18000000
Payments: Base currency
United States Dollar
Payments: Amount
-48.74000000

ii. Termination or maturity date.
2025-10-21
iii. Upfront payments or receipts
Upfront payments.
0.00000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-14.99000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
136615.00000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
13173.44000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 256

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137A24M0
At least one of the following other identifiers:
- ISIN
US3137A24M06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3421432.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.203003043973

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 257

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136AD3V9
At least one of the following other identifiers:
- ISIN
US3136AD3V90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1354843.23000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
124092.53000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.043631932864

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-04-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 258

Item C.1. Identification of investment.

a. Name of issuer (if any).
Washington Mutual Mortgage Pass-Through CTFS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust
d. CUSIP (if any).
93934FFP2
At least one of the following other identifiers:
- ISIN
US93934FFP27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
44964.61000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
24920.11000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.008762111357

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 259

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
31359RSW3
At least one of the following other identifiers:
- ISIN
US31359RSW33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
49658.19000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
797.03000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000280242166

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-01-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 260

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac REMICS
d. CUSIP (if any).
3137FHSG9
At least one of the following other identifiers:
- ISIN
US3137FHSG97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1069000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1019112.55000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.358328179487

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No

NPORT-P: Part E: Explanatory Notes (if any)

The Fund may provide any information it believes would be helpful in understanding the information reported in response to any Item of this Form. The Fund may also explain any assumptions that it made in responding to any Item of this Form. To the extent responses relate to a particular Item, provide the Item number(s), as applicable.

Explanatory Note RecordNote ItemExplanatory Notes
#1B.5.aMonthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees.
#2C.11.f.i.2IBORs are undergoing a change as regulators and industry groups have recommended that firms consider adoption of alternative, overnight risk-free rates (RFRs). Floating rate swap terms reflected as Libors may be using the RFR to calculate the actual rate.

NPORT-P: Additional notes

IdentifierNote
(1) LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
(2) Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
(3) Currency. Indicate the currency in which the investment is denominated.
(4) Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
(5) Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item [C/D].11.
(6) Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other” provide a brief description.
(7) Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other” provide a brief description.
(8) Report the ISO country code that corresponds to the country where the issuer is organized.
(9) If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments.
(10) Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]: Highly Liquid Investments, Moderately Liquid Investments, Less Liquid Investments, Illiquid Investments. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
(11) Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
(12) Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7 (ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
(13) Select the category that most closely reflects the coupon type among the following (fixed, floating, variable, none).
(14) Are there any interest payments in arrears or have any coupon payments been legally deferred by the issuer? [Y/N]
(15) Enter "N" if the interest may be paid in kind but is not actually paid in kind or if the Fund has the option of electing in-kind payment and has elected to be paid in-kind.
(16) Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
(17) Conversion ratio per US$1000 notional, or, if bond currency is not in U.S. dollars, per 1000 units of the relevant currency, indicating the relevant currency. If there is more than one conversion ratio, provide each conversion ratio.
(18) Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral.
(19) If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated.
(20) Category of investments that most closely represents the collateral, selected from among the following (asset-backed securities; agency collateralized mortgage obligations; agency debentures and agency strips; agency mortgage-backed securities; private label collateralized mortgage obligations; corporate debt securities; equities; money market; U.S. Treasuries (including strips); other instrument). If "other instrument", include a brief description, including, if applicable, whether it is a collateralized debt obligation, municipal debt, whole loan, or international debt
(21) Type of derivative instrument that most closely represents the investment, selected from among the following (forward, future, option, swaption, swap (including but not limited to total return swaps, credit default swaps, and interest rate swaps), warrant, other).
(22) In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
(23) Description and terms of payments necessary for a user of financial information to understand the terms of payments to be paid and received, including, as applicable, description of the reference instrument, obligation, or index, financing rate, floating coupon rate, fixed coupon rate, and payment frequency.
(24) Depreciation shall be reported as a negative number.
(25) If the reference instrument is a derivative, indicate the category of derivative from among the categories listed in sub-Item C.11.a. and provide all information required to be reported on this Form for that category.
(26) If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.

If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%, but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i) 50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
(27) If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
(28) If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the reference instrument, ISIN (if CUSIP is not available), ticker if (CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).

NPORT-P: Signatures

The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Registrant:
BlackRock Income Trust, Inc.
By (Signature):
Chuck Pulsfort
Name:
Chuck Pulsfort
Title:
Assistant Treasurer
Date:
2023-05-01


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