Goldman Sachs Funds US Mortgage Backed Securities Portfolio Schedule of Investments As at 30 November 2015

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1 Transferable securities dealt in another regulated market (a)(b) Government Bonds % United States 700,000 United States Treasury Note/Bond 3.000% 15/11/ , T OT AL G O V E RN M E N T B O N D S ( c ost US D 6 9 0,451) 700, Agencies Asset Backed Obligations % United States 85 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ ,173 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ ,098 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/03/2017 3, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,169 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,271 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,123 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 1, ,992 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/ ,741 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/05/ , Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ ,682 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ ,629 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 7, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ ,536 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/

2 1,192 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 1, ,003 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 5, ,505 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 1, ,166 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ ,722 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/09/2017 4, ,845 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 2, ,287 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 3, ,190 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1, ,327 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 2, ,234 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ ,819 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 2, ,087 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1, ,935 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 3, ,164 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ ,189 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ ,919 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1, ,213 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ ,894 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1, ,513 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ ,685 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ ,035 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 4, ,428 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ ,027 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1, ,794 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1, ,591 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 8, ,252 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/ , ,741 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/ ,447 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 2, ,008 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/ ,171 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 2, ,245 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1, ,062 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/ ,631 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/ ,704 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1, ,007 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1, ,488 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/ ,197 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1, ,947 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 4, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/ ,156 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/11/ , ,402 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/ ,237 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 2, ,091 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/ ,007 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/ ,751 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 1, ,424 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 2, ,842 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/ ,281 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 2, ,117 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/ ,057 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 2,

3 581 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/ ,385 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/ ,605 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ ,088 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1, ,101 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ ,330 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 2, ,521 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 2, ,508 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ ,163 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1, ,199 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ ,168 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ ,656 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ ,379 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1, ,089 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1, ,532 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1, ,040 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ ,765 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/01/ , ,377 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1, ,940 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2, ,150 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1, ,305 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ ,201 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ ,388 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ , ,716 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ ,563 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1, ,698 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ ,626 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1, ,867 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2, ,026 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2, ,097 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1, ,154 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ ,144 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1, ,529 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2, ,091 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 3, ,234 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2, ,792 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 3, ,897 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 3, ,247 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ ,008 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1, ,007 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2, ,491 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 5, ,831 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2, ,807 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ ,942 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2, ,727 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, ,317 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2,

4 1,988 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ ,446 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, ,956 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 3, ,251 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, ,249 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2, ,604 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, ,587 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, ,767 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, ,392 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2, ,629 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, ,041 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, ,034 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 3, ,666 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 3, ,013 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2, ,213 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ ,515 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2, ,519 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ ,119 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ ,363 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 3, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ ,194 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ ,291 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ ,132 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ ,030 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, ,139 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, ,332 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/ ,425 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1, ,004 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,296 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,406 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2, ,059 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, ,651 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, ,053 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 3, ,427 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2, ,464 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 3, ,463 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 3, ,202 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 3, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,040 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,007 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,635 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2, ,093 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2, ,175 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, ,247 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, ,473 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, ,233 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, ,227 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,125 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,474 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2, ,880 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,

5 1,026 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,977 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 3, ,141 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, ,650 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,047 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,424 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2, ,498 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/ ,158 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, ,494 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1, ,535 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/ , Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/ ,214 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 3, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/ ,378 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 2, ,712 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 2, ,421 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 1, ,105 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 2, ,390 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 1, ,434 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 1, ,368 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/ ,336 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 2, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/ ,355 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 1, ,606 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 7, ,043 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 6, ,774 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/ ,201 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 2, ,260 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 1, ,338 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 1, ,547 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 3, ,386 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 1, ,482 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 4, ,260 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/2018 3, ,845 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/2018 1, ,253 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/2018 4, ,668 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/2018 3, ,647 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/2018 2, ,443 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/ , ,678 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/2018 1, ,115 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/2018 2, ,156 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/ Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/ ,976 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/08/ , ,874 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/ , ,395 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2018 2, ,987 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2018 3, ,875 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/09/ , ,181 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 2, ,120 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ ,867 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 1, ,674 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 3, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/ ,984 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 3, ,566 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 1, ,283 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 2, ,691 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 1, ,057 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 4, ,227 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 4, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/ ,571 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 4, ,522 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 1, ,997 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 3, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/ ,130 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 2, ,552 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 1,

6 1,459 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2018 1, ,683 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2018 1, ,038 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2018 2, ,224 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2018 1, ,310 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2018 2, ,830 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2018 1, ,329 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2019 1, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ ,365 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/01/2019 9, Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/ ,782 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/2019 5, ,550 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2019 8, ,617 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/ , ,434 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/03/2020 1, ,533 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2020 5, ,000 Federal Home Loan Mortgage Corp. (FHLMC) (c) 3.034% 25/10/ , ,887 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2021 9, ,248 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/03/2021 3, ,900,000 Federal Home Loan Mortgage Corp. (FHLMC) 2.615% 25/01/2023 1,925, ,250,000 Federal Home Loan Mortgage Corp. (FHLMC) 3.111% 25/02/2023 2,342, ,000 Federal Home Loan Mortgage Corp. (FHLMC) (c) 3.458% 25/08/ , ,000 Federal Home Loan Mortgage Corp. (FHLMC) 2.811% 25/01/ , ,617 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/10/ , ,805 Federal Home Loan Mortgage Corp. (FHLMC) 7.000% 15/07/ , ,603 Federal Home Loan Mortgage Corp. (FHLMC) 2.500% 01/10/ , ,904 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/11/ , ,003 Federal Home Loan Mortgage Corp. (FHLMC) 2.500% 01/01/ , ,077,733 Federal Home Loan Mortgage Corp. (FHLMC) 2.500% 01/02/2030 1,093, ,967 Federal Home Loan Mortgage Corp. (FHLMC) 7.000% 15/09/ , ,864 Federal Home Loan Mortgage Corp. (FHLMC) 7.000% 01/04/ , ,848 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 15/07/ , ,280 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 15/08/ , ,906 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/03/ , ,440 Federal Home Loan Mortgage Corp. (FHLMC) (c) 2.500% 01/08/ , ,219 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/2034 8, ,832 Federal Home Loan Mortgage Corp. (FHLMC) (c) 2.500% 01/07/ , ,804 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/ , ,587 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/09/ , ,854 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/ , ,249 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/ , Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/ ,486 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/ , ,007,012 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2036 1,118, ,990 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/ , ,017 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/ , ,893 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/08/ , ,175 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/06/ , ,831 Federal Home Loan Mortgage Corp. (FHLMC) 7.000% 01/02/ , ,750 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/ , ,018 Federal Home Loan Mortgage Corp. (FHLMC) (c) 5.903% 15/07/ , ,433 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/ , ,800 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/02/ , ,351 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/ , ,365 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/06/ , ,390 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/08/ , ,049 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/08/ , ,395 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/08/ , ,733 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/08/ , ,900 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/10/ , ,258 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/10/ , ,261 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/10/ , ,213 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/10/ , ,346 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/11/ , ,115 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/11/ , ,410 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/11/ , ,991 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/11/ , ,216 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/11/ , ,159,492 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/11/2042 9,219, ,906 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/11/ , ,132 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/ , ,283 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/ , ,957 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/ , ,021 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/ , ,815 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/ , ,492 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/ , ,040 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/ , ,187 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/ , ,628 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/ , ,161 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/ ,

7 1,147,388 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 1,156, ,136 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/ , ,875 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/01/ , ,279 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/01/ , ,232 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/01/ , ,102 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/01/ , ,109,811 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/01/2043 3,134, ,462 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/01/ , ,773,351 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/04/2043 2,869, ,807,130 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/08/2043 2,908, ,050 Federal Home Loan Mortgage Corp. (FHLMC) (c) 5.903% 15/11/ , ,328 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/06/ , ,350 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 15/10/ , ,605 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/02/ , ,150 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/02/ , ,996 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/03/ , ,484 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/03/ , ,058 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/03/ , Federal National Mortgage Association (FNMA) 7.000% 01/04/ ,601 Federal National Mortgage Association (FNMA) 5.500% 01/01/ , ,970 Federal National Mortgage Association (FNMA) 5.000% 01/03/ , ,945 Federal National Mortgage Association (FNMA) 5.000% 01/03/ , ,240 Federal National Mortgage Association (FNMA) 5.500% 01/04/ , ,623 Federal National Mortgage Association (FNMA) 5.500% 01/04/2018 4, ,273 Federal National Mortgage Association (FNMA) 5.500% 01/05/2018 7, ,810 Federal National Mortgage Association (FNMA) 5.000% 01/06/ , ,262 Federal National Mortgage Association (FNMA) 5.000% 01/06/ , ,042 Federal National Mortgage Association (FNMA) 5.000% 01/09/2018 5, ,806 Federal National Mortgage Association (FNMA) 7.000% 01/11/ , ,612 Federal National Mortgage Association (FNMA) 5.500% 01/08/2019 5, ,171 Federal National Mortgage Association (FNMA) 5.500% 01/08/ , ,767 Federal National Mortgage Association (FNMA) 5.500% 01/08/ , ,760 Federal National Mortgage Association (FNMA) 5.500% 01/09/2019 1, ,328 Federal National Mortgage Association (FNMA) 5.500% 01/09/2019 8, ,641 Federal National Mortgage Association (FNMA) 5.500% 01/09/2019 2, ,844 Federal National Mortgage Association (FNMA) 5.500% 01/10/2019 4, ,139 Federal National Mortgage Association (FNMA) 5.500% 01/10/ , ,870 Federal National Mortgage Association (FNMA) 5.500% 01/10/2019 9, ,717 Federal National Mortgage Association (FNMA) 5.500% 01/11/ , ,506,098 Federal National Mortgage Association (FNMA) 1.520% 25/12/2019 1,511, ,203 Federal National Mortgage Association (FNMA) 6.000% 01/09/ , ,487 Federal National Mortgage Association (FNMA) 5.000% 01/10/2023 1,021, Federal National Mortgage Association (FNMA) 6.000% 01/10/2023 1, ,026 Federal National Mortgage Association (FNMA) 6.000% 01/11/2023 2, ,673 Federal National Mortgage Association (FNMA) 6.000% 01/02/2024 1, ,402 Federal National Mortgage Association (FNMA) 6.000% 01/12/ , ,759 Federal National Mortgage Association (FNMA) 6.000% 01/06/ , ,187 Federal National Mortgage Association (FNMA) 7.000% 01/12/2029 1, ,243 Federal National Mortgage Association (FNMA) 8.500% 25/06/ , ,450 Federal National Mortgage Association (FNMA) 2.500% 01/07/ , ,391 Federal National Mortgage Association (FNMA) 3.000% 01/08/ , ,628 Federal National Mortgage Association (FNMA) 3.000% 01/09/ , ,368 Federal National Mortgage Association (FNMA) 7.000% 01/11/2031 2, ,566 Federal National Mortgage Association (FNMA) 7.000% 01/02/ , ,437 Federal National Mortgage Association (FNMA) 7.000% 01/05/2032 1, ,180 Federal National Mortgage Association (FNMA) 6.000% 01/01/2033 1, ,620 Federal National Mortgage Association (FNMA) 6.000% 01/02/2033 8, ,885 Federal National Mortgage Association (FNMA) 7.000% 01/03/2033 4, ,783 Federal National Mortgage Association (FNMA) 6.000% 01/04/2033 9, ,694 Federal National Mortgage Association (FNMA) (c) 2.492% 01/06/ , ,136 Federal National Mortgage Association (FNMA) 6.000% 01/07/2033 4, ,640 Federal National Mortgage Association (FNMA) 5.000% 01/08/ , ,818 Federal National Mortgage Association (FNMA) 5.000% 01/08/ , ,757 Federal National Mortgage Association (FNMA) 6.000% 01/08/2033 5, ,471 Federal National Mortgage Association (FNMA) 5.500% 01/09/ , Federal National Mortgage Association (FNMA) 7.000% 01/11/ ,408 Federal National Mortgage Association (FNMA) (c) 2.297% 01/12/ , ,286 Federal National Mortgage Association (FNMA) 5.500% 01/01/2034 1, ,825 Federal National Mortgage Association (FNMA) 6.000% 01/01/ , ,936 Federal National Mortgage Association (FNMA) 5.500% 01/02/ , ,575 Federal National Mortgage Association (FNMA) 5.500% 01/04/2034 4, ,956 Federal National Mortgage Association (FNMA) 6.000% 01/05/2034 4, ,750 Federal National Mortgage Association (FNMA) 5.500% 01/08/ , ,390 Federal National Mortgage Association (FNMA) 6.000% 01/08/ , ,137 Federal National Mortgage Association (FNMA) 5.500% 01/10/2034 1, ,934 Federal National Mortgage Association (FNMA) 5.500% 01/10/ , ,048 Federal National Mortgage Association (FNMA) 6.000% 01/10/ , ,503 Federal National Mortgage Association (FNMA) 5.500% 01/11/2034 7,

8 125,700 Federal National Mortgage Association (FNMA) 5.500% 01/12/ , ,347 Federal National Mortgage Association (FNMA) 6.000% 01/02/ , ,487 Federal National Mortgage Association (FNMA) 5.000% 01/04/ , ,314 Federal National Mortgage Association (FNMA) 5.000% 01/07/2035 7, ,453 Federal National Mortgage Association (FNMA) 5.500% 01/07/2035 1, ,666,866 Federal National Mortgage Association (FNMA) 5.500% 25/07/2035 1,839, ,515 Federal National Mortgage Association (FNMA) 5.500% 01/08/2035 2, ,246 Federal National Mortgage Association (FNMA) 5.500% 01/09/ , ,922 Federal National Mortgage Association (FNMA) 5.500% 01/09/2035 6, ,139 Federal National Mortgage Association (FNMA) 5.500% 01/12/ , ,512 Federal National Mortgage Association (FNMA) 6.000% 01/12/ , ,536 Federal National Mortgage Association (FNMA) (c) 5.000% 01/02/ , Federal National Mortgage Association (FNMA) 5.500% 01/02/ ,338 Federal National Mortgage Association (FNMA) 6.000% 01/04/ , ,278 Federal National Mortgage Association (FNMA) 4.500% 01/07/ , ,844 Federal National Mortgage Association (FNMA) 4.500% 01/12/ , ,845 Federal National Mortgage Association (FNMA) 5.500% 01/01/2037 3, ,278 Federal National Mortgage Association (FNMA) 6.000% 01/01/ , ,526 Federal National Mortgage Association (FNMA) 5.500% 01/02/2037 1, ,371 Federal National Mortgage Association (FNMA) 6.000% 01/02/ , ,867 Federal National Mortgage Association (FNMA) 5.500% 01/04/2037 3, Federal National Mortgage Association (FNMA) 5.500% 01/04/ Federal National Mortgage Association (FNMA) 5.500% 01/05/2037 1, ,676 Federal National Mortgage Association (FNMA) 5.500% 01/05/2037 1, Federal National Mortgage Association (FNMA) 5.500% 01/06/ ,165 Federal National Mortgage Association (FNMA) 5.500% 01/06/2037 1, Federal National Mortgage Association (FNMA) 5.500% 01/08/ Federal National Mortgage Association (FNMA) 5.500% 01/12/ ,669 Federal National Mortgage Association (FNMA) 5.500% 01/02/2038 1, ,929 Federal National Mortgage Association (FNMA) 5.500% 01/03/2038 4, ,154 Federal National Mortgage Association (FNMA) 5.500% 01/03/2038 4, ,399 Federal National Mortgage Association (FNMA) 5.500% 01/05/2038 1, Federal National Mortgage Association (FNMA) 5.500% 01/05/ ,373 Federal National Mortgage Association (FNMA) 5.500% 01/06/2038 3, Federal National Mortgage Association (FNMA) 5.500% 01/06/2038 1, Federal National Mortgage Association (FNMA) 5.500% 01/06/ ,057 Federal National Mortgage Association (FNMA) 5.500% 01/06/2038 2, ,813 Federal National Mortgage Association (FNMA) 5.500% 01/06/2038 2, ,802 Federal National Mortgage Association (FNMA) 5.500% 01/07/2038 4, Federal National Mortgage Association (FNMA) 5.500% 01/07/ Federal National Mortgage Association (FNMA) 5.500% 01/07/ ,077 Federal National Mortgage Association (FNMA) 5.500% 01/07/2038 2, ,831 Federal National Mortgage Association (FNMA) 5.500% 01/08/2038 3, ,615 Federal National Mortgage Association (FNMA) 5.500% 01/08/2038 2, ,358 Federal National Mortgage Association (FNMA) 5.500% 01/08/2038 1, ,161 Federal National Mortgage Association (FNMA) 5.500% 01/09/2038 3, Federal National Mortgage Association (FNMA) 5.500% 01/09/ ,940 Federal National Mortgage Association (FNMA) 5.500% 01/09/2038 5, ,079 Federal National Mortgage Association (FNMA) 5.500% 01/12/2038 1, ,612 Federal National Mortgage Association (FNMA) 5.500% 01/12/2038 5, ,057,228 Federal National Mortgage Association (FNMA) 5.000% 01/01/2039 1,182, ,202 Federal National Mortgage Association (FNMA) 4.500% 01/03/2039 6, ,625 Federal National Mortgage Association (FNMA) 7.000% 01/03/ , ,432 Federal National Mortgage Association (FNMA) 4.500% 01/05/ , ,085 Federal National Mortgage Association (FNMA) 4.500% 01/05/ , ,419 Federal National Mortgage Association (FNMA) 4.500% 01/05/2039 9, ,002 Federal National Mortgage Association (FNMA) 4.500% 01/06/ , ,147 Federal National Mortgage Association (FNMA) 5.500% 01/06/ , ,308 Federal National Mortgage Association (FNMA) 4.000% 01/08/ , ,161 Federal National Mortgage Association (FNMA) 4.500% 01/08/ , ,207 Federal National Mortgage Association (FNMA) 4.500% 01/08/ , ,596 Federal National Mortgage Association (FNMA) 4.000% 01/09/ , ,796 Federal National Mortgage Association (FNMA) 4.500% 01/09/ , ,593 Federal National Mortgage Association (FNMA) 4.500% 01/10/ , ,515 Federal National Mortgage Association (FNMA) 5.500% 01/11/ , ,331 Federal National Mortgage Association (FNMA) 4.500% 01/02/ , ,190 Federal National Mortgage Association (FNMA) 4.500% 01/03/ , ,652 Federal National Mortgage Association (FNMA) 5.000% 01/03/ , ,734 Federal National Mortgage Association (FNMA) 4.500% 01/04/ , ,096 Federal National Mortgage Association (FNMA) 4.500% 01/04/ , ,023 Federal National Mortgage Association (FNMA) 4.500% 01/06/ , ,989 Federal National Mortgage Association (FNMA) 5.000% 01/06/ , ,617,480 Federal National Mortgage Association (FNMA) (c) 4.807% 25/11/ , ,956 Federal National Mortgage Association (FNMA) 4.500% 01/12/ , ,790 Federal National Mortgage Association (FNMA) 4.500% 01/01/ , ,137 Federal National Mortgage Association (FNMA) 4.500% 01/04/ , ,588 Federal National Mortgage Association (FNMA) 4.500% 01/04/ , ,231 Federal National Mortgage Association (FNMA) 4.500% 01/06/ ,

9 1,405,072 Federal National Mortgage Association (FNMA) 5.000% 25/06/2041 1,542, ,262 Federal National Mortgage Association (FNMA) 4.500% 01/07/ , ,038 Federal National Mortgage Association (FNMA) 4.500% 01/08/ , ,157 Federal National Mortgage Association (FNMA) 4.500% 01/08/ , ,287 Federal National Mortgage Association (FNMA) 4.500% 01/09/ , ,945 Federal National Mortgage Association (FNMA) 4.500% 01/09/ , ,238 Federal National Mortgage Association (FNMA) 3.500% 01/10/ , ,257 Federal National Mortgage Association (FNMA) 4.500% 01/10/ , ,425,000 Federal National Mortgage Association (FNMA) 5.000% 25/10/2041 1,561, ,300 Federal National Mortgage Association (FNMA) 4.500% 01/11/ , ,083 Federal National Mortgage Association (FNMA) 4.500% 01/12/ , ,475 Federal National Mortgage Association (FNMA) 3.500% 01/01/ , ,279 Federal National Mortgage Association (FNMA) 3.500% 01/01/ , ,484 Federal National Mortgage Association (FNMA) 4.500% 01/01/ , ,673 Federal National Mortgage Association (FNMA) 4.500% 01/01/ , ,067 Federal National Mortgage Association (FNMA) 4.500% 01/03/ , ,146,847 Federal National Mortgage Association (FNMA) 4.500% 01/04/2042 1,241, ,518 Federal National Mortgage Association (FNMA) 4.500% 01/04/ , ,291 Federal National Mortgage Association (FNMA) 3.500% 01/06/ , ,076 Federal National Mortgage Association (FNMA) 3.500% 01/06/ , ,525 Federal National Mortgage Association (FNMA) 3.500% 01/06/ , ,183 Federal National Mortgage Association (FNMA) 3.500% 01/07/ , ,504 Federal National Mortgage Association (FNMA) 3.500% 01/07/ , ,585 Federal National Mortgage Association (FNMA) 7.000% 25/07/ , ,204 Federal National Mortgage Association (FNMA) 3.000% 01/09/ , ,695 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,843 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,936 Federal National Mortgage Association (FNMA) 3.500% 01/10/ , ,359 Federal National Mortgage Association (FNMA) 3.500% 01/10/ , ,131 Federal National Mortgage Association (FNMA) 7.000% 25/10/ , ,964 Federal National Mortgage Association (FNMA) 3.500% 01/11/ , ,500 Federal National Mortgage Association (FNMA) 3.000% 01/12/ , ,508 Federal National Mortgage Association (FNMA) 3.000% 01/12/ , ,880 Federal National Mortgage Association (FNMA) 3.000% 01/12/ , ,900 Federal National Mortgage Association (FNMA) 3.000% 01/12/ , ,785 Federal National Mortgage Association (FNMA) 3.500% 01/12/ , ,741 Federal National Mortgage Association (FNMA) 3.000% 01/01/ , ,596 Federal National Mortgage Association (FNMA) 3.000% 01/01/ , ,382 Federal National Mortgage Association (FNMA) 3.000% 01/01/ , ,349 Federal National Mortgage Association (FNMA) 3.000% 01/01/ , ,302 Federal National Mortgage Association (FNMA) 3.000% 01/01/ , ,735 Federal National Mortgage Association (FNMA) 3.500% 01/01/ , ,094,807 Federal National Mortgage Association (FNMA) 3.500% 25/01/ , ,609 Federal National Mortgage Association (FNMA) 3.000% 01/02/ , ,288 Federal National Mortgage Association (FNMA) 3.000% 01/02/ , ,762 Federal National Mortgage Association (FNMA) 3.000% 01/02/ , ,967 Federal National Mortgage Association (FNMA) 3.500% 01/02/ , ,265 Federal National Mortgage Association (FNMA) 3.500% 01/02/ , ,959 Federal National Mortgage Association (FNMA) 3.000% 01/03/ , ,587 Federal National Mortgage Association (FNMA) 3.000% 01/03/ , ,655 Federal National Mortgage Association (FNMA) 3.000% 01/03/ , ,605 Federal National Mortgage Association (FNMA) 3.500% 01/03/ , ,448 Federal National Mortgage Association (FNMA) 3.500% 01/03/ , ,734,093 Federal National Mortgage Association (FNMA) 3.500% 01/03/2043 1,797, ,607 Federal National Mortgage Association (FNMA) 3.000% 01/04/ , ,703 Federal National Mortgage Association (FNMA) 3.000% 01/04/ , ,688 Federal National Mortgage Association (FNMA) 3.000% 01/04/ , ,655 Federal National Mortgage Association (FNMA) 3.000% 01/04/ , ,160 Federal National Mortgage Association (FNMA) 3.000% 01/04/ , ,476 Federal National Mortgage Association (FNMA) 3.000% 01/05/ , ,567 Federal National Mortgage Association (FNMA) 3.000% 01/05/ , ,265 Federal National Mortgage Association (FNMA) 3.000% 01/05/ , ,554 Federal National Mortgage Association (FNMA) 3.500% 01/05/ , ,535 Federal National Mortgage Association (FNMA) 3.000% 01/06/ , ,432 Federal National Mortgage Association (FNMA) 3.000% 01/06/ , ,455 Federal National Mortgage Association (FNMA) 3.500% 01/06/ , ,004 Federal National Mortgage Association (FNMA) 3.500% 01/06/ , ,484 Federal National Mortgage Association (FNMA) 3.000% 01/07/ , ,696 Federal National Mortgage Association (FNMA) 3.000% 01/07/ , ,139 Federal National Mortgage Association (FNMA) 3.500% 01/07/ , ,405 Federal National Mortgage Association (FNMA) 3.500% 01/07/ , ,373 Federal National Mortgage Association (FNMA) 3.500% 01/07/ , ,691,844 Federal National Mortgage Association (FNMA) 3.000% 01/08/2043 1,702, ,104 Federal National Mortgage Association (FNMA) 3.500% 01/08/ , ,886 Federal National Mortgage Association (FNMA) 3.500% 01/08/ , ,679 Federal National Mortgage Association (FNMA) 5.000% 01/09/ , ,205 Federal National Mortgage Association (FNMA) (c) 5.879% 25/09/ , ,828 Federal National Mortgage Association (FNMA) 4.500% 01/10/ ,

10 296,037 Federal National Mortgage Association (FNMA) 4.500% 01/11/ , ,132 Federal National Mortgage Association (FNMA) 4.500% 01/11/ , ,463 Federal National Mortgage Association (FNMA) (c) 5.879% 25/12/ , ,083 Federal National Mortgage Association (FNMA) 4.500% 01/04/ , ,361 Federal National Mortgage Association (FNMA) 4.500% 01/05/ , ,780 Federal National Mortgage Association (FNMA) 4.500% 01/07/ , ,773 Federal National Mortgage Association (FNMA) 3.500% 01/08/ , ,462 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,841 Federal National Mortgage Association (FNMA) 4.000% 01/10/ , ,238 Federal National Mortgage Association (FNMA) 5.000% 01/10/2044 1,012, ,983 Federal National Mortgage Association (FNMA) 3.500% 01/12/ , ,447 Federal National Mortgage Association (FNMA) 3.500% 01/01/ , ,624 Federal National Mortgage Association (FNMA) (c) 6.029% 25/01/ , ,691 Federal National Mortgage Association (FNMA) 3.500% 01/02/ , ,503 Federal National Mortgage Association (FNMA) 3.500% 01/02/ , ,036 Federal National Mortgage Association (FNMA) 3.500% 01/02/ , ,698 Federal National Mortgage Association (FNMA) 3.000% 01/03/ , ,835 Federal National Mortgage Association (FNMA) 3.500% 01/03/ , ,058 Federal National Mortgage Association (FNMA) 3.500% 01/03/ , ,939 Federal National Mortgage Association (FNMA) 3.500% 01/03/ , ,724 Federal National Mortgage Association (FNMA) 3.500% 01/03/ , ,365 Federal National Mortgage Association (FNMA) 3.500% 01/03/ , ,464 Federal National Mortgage Association (FNMA) 3.500% 01/04/ , ,930 Federal National Mortgage Association (FNMA) 3.500% 01/05/ , ,830 Federal National Mortgage Association (FNMA) 3.500% 01/05/ , ,031 Federal National Mortgage Association (FNMA) 3.500% 01/07/ , ,114 Federal National Mortgage Association (FNMA) 3.500% 01/07/ , ,850 Federal National Mortgage Association (FNMA) 3.500% 01/07/ , ,514 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,800,525 Federal National Mortgage Association (FNMA) 3.500% 01/09/ ,641, ,999 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,082 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,709 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,492 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,127 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,109 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,168 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,876 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,154 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,959 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,155 Federal National Mortgage Association (FNMA) 3.500% 01/09/ , ,374 Federal National Mortgage Association (FNMA) (c) 5.479% 25/11/ , ,080 Federal National Mortgage Association (FNMA) (c) 5.479% 25/11/ , ,955 Federal National Mortgage Association (FNMA) (c) 6.029% 25/11/ , ,425 Government National Mortgage Association (GNMA) (c) 1.750% 20/06/ , ,544 Government National Mortgage Association (GNMA) (c) 1.875% 20/07/ , ,767 Government National Mortgage Association (GNMA) (c) 1.875% 20/08/ , ,049 Government National Mortgage Association (GNMA) (c) 1.875% 20/09/ , ,249 Government National Mortgage Association (GNMA) (c) 1.750% 20/03/ , ,160 Government National Mortgage Association (GNMA) (c) 1.750% 20/04/ , ,694 Government National Mortgage Association (GNMA) (c) 1.750% 20/04/ , ,915 Government National Mortgage Association (GNMA) (c) 1.750% 20/05/ , ,124 Government National Mortgage Association (GNMA) (c) 1.750% 20/06/ , ,097 Government National Mortgage Association (GNMA) (c) 1.750% 20/06/ , ,697 Government National Mortgage Association (GNMA) (c) 2.000% 20/06/ , ,628 Government National Mortgage Association (GNMA) (c) 1.875% 20/07/ , ,286 Government National Mortgage Association (GNMA) (c) 2.000% 20/07/ , ,382 Government National Mortgage Association (GNMA) (c) 1.875% 20/08/ , ,456 Government National Mortgage Association (GNMA) (c) 2.000% 20/08/ , ,453 Government National Mortgage Association (GNMA) (c) 1.875% 20/09/2024 8, ,884 Government National Mortgage Association (GNMA) (c) 1.875% 20/09/ , ,295 Government National Mortgage Association (GNMA) (c) 2.000% 20/11/ , ,836 Government National Mortgage Association (GNMA) (c) 2.000% 20/12/ , ,973 Government National Mortgage Association (GNMA) (c) 2.500% 20/12/ , ,710 Government National Mortgage Association (GNMA) (c) 2.000% 20/01/ , ,082 Government National Mortgage Association (GNMA) (c) 2.000% 20/02/ , ,419 Government National Mortgage Association (GNMA) (c) 2.000% 20/05/ , ,190 Government National Mortgage Association (GNMA) 3.950% 15/07/ , ,058 Government National Mortgage Association (GNMA) 7.000% 15/07/ , ,921 Government National Mortgage Association (GNMA) (c) 2.000% 20/07/ , ,349 Government National Mortgage Association (GNMA) (c) 1.750% 20/02/ , ,343 Government National Mortgage Association (GNMA) 7.000% 15/04/2026 3, Government National Mortgage Association (GNMA) (c) 1.875% 20/07/ ,013 Government National Mortgage Association (GNMA) 7.000% 15/10/2026 6,

11 18,140 Government National Mortgage Association (GNMA) (c) 1.750% 20/01/ , ,062 Government National Mortgage Association (GNMA) (c) 2.000% 20/01/ , ,551 Government National Mortgage Association (GNMA) (c) 1.750% 20/02/ , ,970 Government National Mortgage Association (GNMA) (c) 1.750% 20/04/ , ,728 Government National Mortgage Association (GNMA) (c) 1.750% 20/04/ , ,618 Government National Mortgage Association (GNMA) (c) 1.750% 20/05/ , ,414 Government National Mortgage Association (GNMA) (c) 1.750% 20/06/ , ,530 Government National Mortgage Association (GNMA) (c) 1.625% 20/11/2027 4, ,457 Government National Mortgage Association (GNMA) (c) 1.625% 20/12/ , ,593 Government National Mortgage Association (GNMA) (c) 1.750% 20/01/ , ,690 Government National Mortgage Association (GNMA) 7.000% 15/02/2028 4, ,129 Government National Mortgage Association (GNMA) (c) 1.750% 20/02/ , ,645 Government National Mortgage Association (GNMA) (c) 1.750% 20/03/ , Government National Mortgage Association (GNMA) 7.000% 15/06/ ,232 Government National Mortgage Association (GNMA) (c) 1.875% 20/07/ , ,585 Government National Mortgage Association (GNMA) (c) 1.875% 20/08/ , ,257 Government National Mortgage Association (GNMA) (c) 1.875% 20/09/2029 7, ,620 Government National Mortgage Association (GNMA) (c) 1.625% 20/10/ , ,961 Government National Mortgage Association (GNMA) (c) 1.625% 20/10/ , ,505 Government National Mortgage Association (GNMA) (c) 1.625% 20/11/ , ,210 Government National Mortgage Association (GNMA) (c) 1.625% 20/11/ , ,204 Government National Mortgage Association (GNMA) (c) 1.625% 20/12/2029 7, ,334 Government National Mortgage Association (GNMA) (c) 1.625% 20/12/2029 1, ,048 Government National Mortgage Association (GNMA) (c) 1.750% 20/01/ , ,473 Government National Mortgage Association (GNMA) (c) 1.750% 20/02/2030 5, ,983 Government National Mortgage Association (GNMA) (c) 1.750% 20/03/ , ,547 Government National Mortgage Association (GNMA) (c) 1.750% 20/04/2030 8, ,231 Government National Mortgage Association (GNMA) (c) 1.750% 20/04/ , ,471 Government National Mortgage Association (GNMA) (c) 1.750% 20/05/ , ,304 Government National Mortgage Association (GNMA) (c) 1.750% 20/05/2030 4, ,470 Government National Mortgage Association (GNMA) (c) 2.000% 20/05/ , ,344 Government National Mortgage Association (GNMA) (c) 1.750% 20/06/2030 8, ,444 Government National Mortgage Association (GNMA) (c) 2.000% 20/07/ , ,469 Government National Mortgage Association (GNMA) (c) 2.000% 20/09/ , ,894 Government National Mortgage Association (GNMA) (c) 1.625% 20/10/ , ,858 Government National Mortgage Association (GNMA) 7.000% 15/06/2031 3, ,811 Government National Mortgage Association (GNMA) 7.000% 15/07/2031 9, ,338 Government National Mortgage Association (GNMA) 7.000% 15/11/ , Government National Mortgage Association (GNMA) 6.500% 15/01/2032 1, ,140 Government National Mortgage Association (GNMA) 6.500% 15/02/2032 1, ,030 Government National Mortgage Association (GNMA) 6.500% 15/02/2032 1, ,000,926 Government National Mortgage Association (GNMA) 5.500% 15/04/2033 1,133, ,263 Government National Mortgage Association (GNMA) 6.500% 15/08/2034 2, Government National Mortgage Association (GNMA) 6.500% 15/10/ ,770 Government National Mortgage Association (GNMA) (c) 6.473% 20/12/ , ,885 Government National Mortgage Association (GNMA) 6.500% 15/02/2036 2, ,938 Government National Mortgage Association (GNMA) 6.500% 15/02/2036 2, ,899 Government National Mortgage Association (GNMA) 6.500% 15/02/2036 2, ,260 Government National Mortgage Association (GNMA) 6.500% 15/03/2036 1, ,707 Government National Mortgage Association (GNMA) 6.500% 15/03/2036 1, ,503 Government National Mortgage Association (GNMA) 6.500% 15/03/2036 4, ,751 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2, ,542 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2, ,040 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2, ,338 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2, ,917 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2, ,163 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2, ,946 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2, ,212 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 3, ,962 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 3, ,691 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 3, ,666 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 8, ,088 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 3, ,040 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 2, ,011 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 1, Government National Mortgage Association (GNMA) 6.500% 15/05/ ,710 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 3, ,908 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 2, ,423 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 1, ,536 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 9, Government National Mortgage Association (GNMA) 6.500% 15/06/ ,615 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 1, ,880 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 6,

12 1,827 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 2, ,656 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 3, ,492 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 1, ,735 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 6, ,214 Government National Mortgage Association (GNMA) 6.500% 15/07/ , ,550 Government National Mortgage Association (GNMA) 6.500% 15/07/ , ,607 Government National Mortgage Association (GNMA) 6.500% 15/07/ , ,129 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 4, ,036 Government National Mortgage Association (GNMA) 6.500% 15/07/ , ,824 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 4, ,099 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 3, ,749 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 6, Government National Mortgage Association (GNMA) 6.500% 15/08/2036 1, ,970 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 8, ,229 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 6, ,280 Government National Mortgage Association (GNMA) 6.500% 15/08/ , ,363 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 1, ,019 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 8, ,198 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 2, ,511 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 2, ,532 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 1, Government National Mortgage Association (GNMA) 6.500% 15/08/ Government National Mortgage Association (GNMA) 6.500% 15/08/2036 1, ,365 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 2, ,665 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 1, ,454 Government National Mortgage Association (GNMA) 6.500% 15/08/ , Government National Mortgage Association (GNMA) 6.500% 15/08/ ,234 Government National Mortgage Association (GNMA) 6.500% 15/08/ , ,681 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 7, ,772 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 2, ,404 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 6, ,017 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 3, ,028 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 7, ,761 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 3, ,088 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 1, ,085 Government National Mortgage Association (GNMA) 6.500% 15/08/ , ,015 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 2, ,228 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 2, ,885 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 6, ,690 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 4, ,342 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 3, Government National Mortgage Association (GNMA) 6.500% 15/09/ ,135 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 2, ,536 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 1, ,322 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 4, ,517 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 2, Government National Mortgage Association (GNMA) 6.500% 15/09/ ,088 Government National Mortgage Association (GNMA) 6.500% 15/09/ , ,573 Government National Mortgage Association (GNMA) 6.500% 15/09/ , ,540 Government National Mortgage Association (GNMA) 6.500% 15/09/ , ,489 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 6, ,480 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 1, ,282 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 1, ,175 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 1, Government National Mortgage Association (GNMA) 6.500% 15/09/ ,661 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 3, ,555 Government National Mortgage Association (GNMA) 6.500% 15/09/ , ,210 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 1, ,333 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 5, ,099 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 2, ,994 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 3, ,071 Government National Mortgage Association (GNMA) 6.500% 15/09/ , ,593 Government National Mortgage Association (GNMA) 6.500% 15/09/ , ,813 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 4, ,745 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 3, ,499 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 8, ,853 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 5, ,447 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 2, ,944 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 3, ,927 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 6, ,949 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 4, ,026 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 2, ,526 Government National Mortgage Association (GNMA) 6.500% 15/10/ , ,134 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 1, ,408 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 1, ,399 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 5, ,170 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 7, ,467 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 1,

13 7,374 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 8, ,708 Government National Mortgage Association (GNMA) 6.500% 15/10/ , Government National Mortgage Association (GNMA) 6.500% 15/10/2036 1, ,334 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 4, ,914 Government National Mortgage Association (GNMA) 6.500% 15/10/ , ,856 Government National Mortgage Association (GNMA) 6.500% 15/11/ , ,548 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 4, ,883 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 5, ,320 Government National Mortgage Association (GNMA) 6.500% 15/11/ , ,010 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 5, ,313 Government National Mortgage Association (GNMA) 6.500% 15/11/ , ,853 Government National Mortgage Association (GNMA) 6.500% 15/11/ , ,841 Government National Mortgage Association (GNMA) 6.500% 15/11/ , ,680 Government National Mortgage Association (GNMA) 6.500% 15/11/ , ,933 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 5, ,336 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 5, ,857 Government National Mortgage Association (GNMA) 6.500% 15/12/ , ,478 Government National Mortgage Association (GNMA) 6.500% 15/12/2036 9, ,385 Government National Mortgage Association (GNMA) 6.500% 15/12/2036 9, ,304 Government National Mortgage Association (GNMA) 6.500% 15/12/ , ,777 Government National Mortgage Association (GNMA) 6.500% 15/01/ , ,324 Government National Mortgage Association (GNMA) 6.500% 15/01/2037 7, ,705 Government National Mortgage Association (GNMA) 6.500% 15/01/2037 5, ,312 Government National Mortgage Association (GNMA) 6.500% 15/03/2037 5, ,264 Government National Mortgage Association (GNMA) 6.500% 15/04/2037 4, ,094 Government National Mortgage Association (GNMA) 6.500% 15/04/2037 9, ,972 Government National Mortgage Association (GNMA) 6.500% 15/05/ , ,667 Government National Mortgage Association (GNMA) (c) 5.903% 20/07/2037 3, ,088 Government National Mortgage Association (GNMA) 6.500% 15/08/2037 5, ,331 Government National Mortgage Association (GNMA) 6.500% 15/09/2037 8, ,306 Government National Mortgage Association (GNMA) 6.500% 15/09/ , ,839 Government National Mortgage Association (GNMA) 6.500% 15/10/ , ,745 Government National Mortgage Association (GNMA) 6.500% 15/11/2037 7, ,268 Government National Mortgage Association (GNMA) 6.500% 15/11/2037 6, ,552 Government National Mortgage Association (GNMA) 6.500% 15/11/2037 7, ,452 Government National Mortgage Association (GNMA) 6.500% 15/05/2038 8, ,032 Government National Mortgage Association (GNMA) 6.500% 15/11/2038 8, ,844 Government National Mortgage Association (GNMA) 5.500% 15/01/ , ,451 Government National Mortgage Association (GNMA) 6.500% 15/01/2039 2, ,296 Government National Mortgage Association (GNMA) 6.500% 15/02/2039 6, ,546 Government National Mortgage Association (GNMA) 4.500% 20/12/ , ,472 Government National Mortgage Association (GNMA) 5.000% 20/01/ , ,496 Government National Mortgage Association (GNMA) (c) 5.583% 20/01/2040 5, ,339 Government National Mortgage Association (GNMA) (c) 6.393% 20/01/ , ,036 Government National Mortgage Association (GNMA) 4.500% 20/02/ , ,433 Government National Mortgage Association (GNMA) (c) 5.543% 20/03/ , ,739 Government National Mortgage Association (GNMA) 4.500% 20/05/ , ,987 Government National Mortgage Association (GNMA) (c) 5.733% 20/07/ , ,583 Government National Mortgage Association (GNMA) (c) 5.893% 20/09/ , ,575 Government National Mortgage Association (GNMA) 3.500% 15/02/ , ,788 Government National Mortgage Association (GNMA) 3.500% 15/11/ , ,780 Government National Mortgage Association (GNMA) 4.500% 20/12/ , ,914 Government National Mortgage Association (GNMA) (c) 6.503% 16/08/ , ,440 Government National Mortgage Association (GNMA) (c) 5.893% 20/09/ , ,000,002 Government National Mortgage Association (GNMA) 4.000% 20/02/2044 7,429, ,453 Government National Mortgage Association (GNMA) (c) 5.893% 20/03/ , ,999,899 Government National Mortgage Association (GNMA) 4.000% 20/09/2044 3,185, ,263 Government National Mortgage Association (GNMA) (c) 5.393% 20/09/ , ,000,002 Government National Mortgage Association (GNMA) 4.000% 20/10/2044 4,247, ,000,000 Government National Mortgage Association (GNMA) 4.000% 20/01/2045 1,061, ,900 Government National Mortgage Association (GNMA) 4.000% 20/03/2045 1,061, ,052 Government National Mortgage Association (GNMA) 3.500% 20/04/ , ,244 Government National Mortgage Association (GNMA) 3.500% 20/05/ , ,774 Government National Mortgage Association (GNMA) 3.500% 20/06/ , ,295,830 Government National Mortgage Association (GNMA) 4.000% 20/08/ ,994, ,905,470 Government National Mortgage Association (GNMA) 4.500% 20/08/2045 2,049, ,968 Government National Mortgage Association (GNMA) (c) 5.503% 20/08/ , ,236,830 Government National Mortgage Association (GNMA) 4.000% 20/09/2045 7,684, ,955,430 Government National Mortgage Association (GNMA) (c) 5.993% 20/09/ , ,366,497 Government National Mortgage Association (GNMA) 4.000% 20/10/2045 2,514, ,000,000 Government National Mortgage Association (GNMA) TBA (d) 4.000% 17/12/2045 3,182,

14 18,000,000 Government National Mortgage Association (GNMA) TBA (d) 4.000% 21/01/ ,061, ,368, T OT AL AG E N CI ES AS S ET B A C KE D O BL I G AT I O N S ( c ost US D 1 7 5,293,470) 177,368, Non-Agencies Asset Backed Obligations % Cayman Islands 900,000 Acis CLO Ltd. "4A" 144A (c)(e) 0.000% 01/05/ , ,050,000 Anchorage Capital CLO Ltd. "A1A" 144A (c)(e) 1.773% 28/07/2026 1,034, ,000 Anchorage Capital CLO Ltd. "A2" 144A (c)(e) 2.483% 28/07/ , ,250 Callidus Debt Partners Clo Fund VI Ltd. "A1T" 144A (c)(e) 0.576% 23/10/ , ,000 Cutwater Ltd. "A2" 144A (c)(e) 1.851% 15/07/ , ,250,000 Hildene CLO II Ltd. "A" 144A (c)(e) 1.765% 19/07/2026 1,230, ,000 Monroe Capital BSL CLO Ltd. "1A" 144A (c)(e) 1.931% 22/05/ , ,050,000 Regatta Funding Ltd. "1A" 144A (c)(e) 0.000% 25/07/2026 2,007, ,000 Silvermore CLO Ltd. "A1" 144A (c)(e) 1.812% 15/05/ , ,050,000 Trinitas CLO Ltd. "2A" 144A (c)(e) 0.000% 15/07/2026 1,990, ,467, United States 4,286,431 Banc of America Commercial Mortgage Trust "A4" 5.414% 10/09/2047 4,325, ,125 Bear Stearns Commercial Mortgage Securities "A1A" 5.533% 11/09/ , ,856 Brazos Higher Education Authority, Inc. "A2" (c) 1.182% 25/02/ , ,213,914 Citigroup Commercial Mortgage Trust "A3B" (c) 5.898% 10/12/2049 4,212, ,000 COMM Mortgage Trust "A4" 3.147% 15/08/ , ,028 Credit Suisse First Boston Mortgage Securities Corp. "1A2" 5.250% 25/07/ ,941 Credit Suisse First Boston Mortgage Securities Corp. "2X" (c)(f) 0.000% 25/07/ ,411 Credit Suisse First Boston Mortgage Securities Corp. "2X" (c)(f) 0.000% 25/08/ FNT Mortgage-Backed Pass-Through Certificate Trust "1A1" 6.750% 21/09/ ,000 Ford Credit Auto Owner Trust "A" 144A (e) 2.120% 15/07/ , ,154 Goal Capital Funding Trust "A3" (c) 0.416% 25/09/ , ,919 Impac CMB Trust "1A" (c) 0.941% 25/10/ , ,893 KnowledgeWorks Foundation "A" (c) 1.343% 25/02/ , ,668 MASTR Adjustable Rate Mortgages Trust "3AX" (c) 0.123% 25/08/ ,097 MASTR Adjustable Rate Mortgages Trust "4AX" (c) 0.320% 25/07/ ,050,000 Nelnet Student Loan Trust "A5" (c) 0.488% 23/08/2027 1,024, ,500,000 Nelnet Student Loan Trust "A5" (c) 0.420% 25/01/2030 1,470, ,432 New Residential Mortgage Loan Trust "A1" 144A (c) 3.750% 28/05/ , ,685 Scholar Funding Trust "A" 144A (c)(e) 1.073% 28/10/ , ,108 Securitized Asset Backed Receivables LLC Trust "A2" (c) 0.921% 25/08/2034 6, ,156 Sequoia Mortgage Trust "1A2" (c) 1.116% 20/07/ , ,050,000 SLC Student Loan Trust "A5" (c) 0.437% 15/09/2026 1,017, ,000 SLM Student Loan Trust "A2" (c) 0.571% 25/10/ , ,561,102 SLM Student Loan Trust "A5" (c) 0.430% 25/07/2025 1,537, ,915 SLM Student Loan Trust "A5" (c) 0.420% 27/10/ , ,725,523 Structured Asset Mortgage Investments Trust "A2" (c) 1.594% 25/02/2036 1,473, ,403 Student Loan Consolidation Center "A" 144A (c)(e) 1.441% 25/10/ , ,370 Wells Fargo Mortgage Backed Securities Trust "3A2" (c) 2.725% 25/06/ , ,444, T OT AL N O N - AG E N C I E S AS S ET B AC KE D O BL I G AT I O N S ( c ost US D 3 2,982,436) 31,912, T OT AL T R AN S FE R AB L E S E C U R IT I E S DE AL T I N AN O T H ER R E G U L AT E D M A R K E T ( c ost US D 2 0 8,966,357) 209,980, M AR K E T V AL UE O F I N V E ST M EN T S E XC L U DI NG D E R I V A T I V E S ( c ost US D 2 0 8,966,357) 209,980, Covered Forward Mortgage Backed Securities - (4.95%) (1,000,000) Federal National Mortgage Association (FNMA) TBA (g) 3.000% (1,034,687) (0.55) (5,000,000) Federal National Mortgage Association (FNMA) TBA (g) 3.500% (5,173,047) (2.78)

15 Covered Forward Mortgage Backed Securities - (continued) (3,000,000) Federal National Mortgage Association (FNMA) TBA (g) 3.000% (3,009,375) (1.62) (9,217,109) (4.95) T OT AL C O V E RE D F O R W AR D M O RT G AG E B A C K E D SE C U R IT I ES ( c ost US D ( 9,166, 70 5) ) (9,217,109) (4.95) Futures Contracts % Commitment Market Value Unrealised Gain Shareholders' Number of Contracts Security Description 47 US Treasury Long Bond Futures 21/03/2016 Long 7,230,656 5, US Treasury Notes 10YR Futures 21/03/2016 Long 13,029,500 29, ,260,156 35, U NR E AL I SE D G AI N O N F U T U R E S CO N T R ACT S 35, Commitment Market Value Unrealised Loss Shareholders' Number of Contracts Security Description (25) US Treasury Bond Ultra Long Futures 21/03/2016 Short (3,952,344) (6,619) (0.01) (24) US Treasury Notes 2YR Futures 31/03/2016 Short (5,222,625) (2,338) (0.00) (42) US Treasury Notes 5YR Futures 31/03/2016 Short (4,986,515) (5,299) (0.00) (14,161,484) (14,256) (0.01) U NR E AL I SE D L O S S O N F UT U RE S C O NT R AC T S (14,256) (0.01) Share Class Specific Forward Currency Contracts - (0.41%) Unrealised Gain Shareholders' Currency Amount Bought Currency Amount Sold Maturity Date 14,492,092 EUR 13,352,815 21/12/ , U NR E AL I SE D G AI N O N F O R W AR D C U R RE N C Y CO NT R AC T S H E LD FOR HE D G I NG P U R P O SE S 357, Unrealised Loss Shareholders' Currency Amount Bought Currency Amount Sold Maturity Date EUR 32,198,486 35,209,613 21/12/2015 (1,125,955) (0.60) GBP 72, ,540 13/01/2016 (668) (0.00) U NR E AL I SE D L O S S O N FOR W AR D C U RR E N CY C O N T R AC T S H EL D F O R H E D G I N G P UR P O S E S (1,126,623) (0.60) Swap Contracts % Net Local Notional Amount Pay Receive Currency Maturity Date Unrealised Gain Shareholders' Interest Rate Swaps 11,280,000 Floating ( 3 month LIBOR) Fixed 2.810% 02/09/ , U NR E AL I SE D G AI N O N I NT E RE S T R AT E S W AP S 66, Credit Default Swaps 10,000,000 Floating (CMBX.NA.AAA.7 Index) Fixed 0.500% 17/01/2047 2, ,000,000 Floating (CMBX.NA.AAA.7 Index) Fixed 0.500% 17/01/ , ,000,000 Floating (CMBX.NA.AAA.7 Index) Fixed 0.500% 17/01/ , U NR E AL I SE D G AI N O N C R E D IT D E F AU L T S W AP S 126, T OT AL U NR E AL I SE D G AI N O N S W AP C O N T RA C T S 192, Net Local Notional Amount Pay Receive Currency Maturity Date Unrealised Loss Shareholders' Interest Rate Swaps 10,970,000 Floating ( 3 month LIBOR) Fixed 2.922% 24/06/2021 (222) (0.00) 2,750,000 Fixed 3.218% Floating ( 3 month LIBOR) 24/06/2029 (11,866) (0.01)

16 Swap Contracts - (continued) Net Local Notional Amount Pay Receive Currency Maturity Date Unrealised Loss Shareholders' Interest Rate Swaps - (continued) 2,690,000 Fixed 3.004% Floating ( 3 month LIBOR) 02/09/2030 (65,057) (0.03) U NR E AL I SE D L O S S O N I N T ER E S T R AT E S W AP S (77,145) (0.04) Credit Default Swaps 1,000,000 Fixed 0.500% Floating (CMBX.NA.AAA.7 Index) 17/01/2047 (1,466) (0.00) 1,200,000 Floating (CMBX.NA.AAA.8 Index) Fixed 0.500% 17/10/2057 (5,943) (0.00) 1,500,000 Floating (CMBX.NA.AAA.8 Index) Fixed 0.500% 17/10/2057 (7,428) (0.00) 2,400,000 Floating (CMBX.NA.AAA.8 Index) Fixed 0.500% 17/10/2057 (9,524) (0.01) 3,200,000 Floating (CMBX.NA.AAA.8 Index) Fixed 0.500% 17/10/2057 (15,847) (0.01) 1,100,000 Floating (CMBX.NA.AAA.8 Index) Fixed 0.500% 17/10/2057 (3,175) (0.00) U NR E AL I SE D L O S S O N CR E D IT D EF AU LT SW AP S (43,383) (0.02) T OT AL U NR E AL I SE D L O S S O N S W AP CO N T R A CT S (120,528) (0.06) M AR K E T V AL UE O F I N V E ST M EN T S ( c ost US D 1 9 9,799,652) 200,087, O T H E R AS S E T S AN D L I A BI L I T I E S (13,953,518) (7.50) S HAREHO L DE RS' E QUIT Y 186,134, T OT AL I N V E ST M EN T S Total Investments excluding derivatives (cost 208,966,357) 209,980, Market value of covered forward mortgage backed securities (cost (9,166,705)) (9,217,109) (4.95) Unrealised gain on futures contracts 35, Unrealised loss on futures contracts (14,256) (0.01) Unrealised gain on forward currency contracts held for hedging purposes 357, Unrealised loss on forward currency contracts held for hedging purposes (1,126,623) (0.60) Unrealised gain on swap contracts 192, Unrealised loss on swap contracts (120,528) (0.06) Other Assets and Liabilities (13,953,518) (7.50) Shareholders' 186,134, Rates disclosed for Government Bonds, Agencies and Non-Agencies Asset Backed Obligations and Covered Forward Mortgage Backed Securities are those that were in effect at 30 November The Futures Commission Merchant was Goldman, Sachs & Co. The counterparties for forward currency contracts were Bank of America NA, Citibank NA London, Deutsche Bank AG, JP Morgan Chase Bank NA London, Merrill Lynch International, Royal Bank of Canada, State Street Bank & Trust and UBS AG London. The counterparties for swap contracts were Credit Suisse Debt Capital Markets, Credit Suisse International, Deutsche Bank AG Frankfurt, JP Morgan Chase Bank NA, JP Morgan Chase Bank NA London and Morgan Stanley and Co. International. The maximum individual counterparty exposure as at 30 November 2015 is 0.09 the NAV. (a) (b) (c) (d) (e) (f) (g) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices. Maturity dates represent either the stated date on the security, or the next interest reset date for floating rate securities or the prerefunded date for those type of securities. Variable and floating coupon rates are those quoted as of 30 November TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/-2.5%) principal amount and no defined maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. 144A: This security is issued to qualified institutional investors, pursuant to private placements, and is transferable as stated in rule 144A of the US Securities Act of Valuation of this security is determined by the Valuer. See Note 4. These represent TBA sales covered by long FNMA positions. These amounts are disclosed separately as Covered Forward Mortgage Backed Securities in the Statement of Assets and Liabilities.

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