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

Transferable securities dealt in another regulated market (a)(b) Government Bonds - 0.38% United States 700,000 United States Treasury Note/Bond 3.000% 15/11/2045 700,014 0.38 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) 700,014 0.38 Agencies Asset Backed Obligations - 95.29% United States 85 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2016 88 0.00 676 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2016 700 0.00 92 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2016 96 0.00 82 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2017 85 0.00 394 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2017 409 0.00 321 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2017 333 0.00 549 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2017 568 0.00 458 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2017 468 0.00 647 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2017 670 0.00 272 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 282 0.00 78 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 81 0.00 477 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 494 0.00 467 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 484 0.00 232 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 237 0.00 308 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 320 0.00 213 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 221 0.00 671 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 695 0.00 835 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 866 0.00 863 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 894 0.00 132 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 135 0.00 79 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 82 0.00 407 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2017 422 0.00 795 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2017 824 0.00 178 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2017 185 0.00 1,173 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2017 1,216 0.00 174 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2017 181 0.00 316 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2017 327 0.00 408 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2017 422 0.00 203 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2017 210 0.00 967 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2017 988 0.00 518 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2017 536 0.00 3,098 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/03/2017 3,125 0.00 600 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 622 0.00 381 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 395 0.00 1,169 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 1,212 0.00 777 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 805 0.00 1,271 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 1,317 0.00 691 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 716 0.00 997 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 1,032 0.00 40 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 41 0.00 103 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 107 0.00 179 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 186 0.00 1,123 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 1,151 0.00 1,992 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2017 2,064 0.00 305 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2017 316 0.00 23,741 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/05/2017 24,433 0.01 159 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/2017 165 0.00 261 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/2017 270 0.00 237 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 245 0.00 800 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 829 0.00 571 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 592 0.00 809 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 838 0.00 408 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 423 0.00 678 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 702 0.00 1,682 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 1,742 0.00 555 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 575 0.00 713 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 739 0.00 946 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 980 0.00 7,629 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 7,904 0.01 742 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 769 0.00 525 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 544 0.00 798 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 827 0.00 1,536 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 1,591 0.00 189 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 196 0.00 580 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 601 0.00 898 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 930 0.00 357 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 370 0.00

1,192 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 1,235 0.00 5,003 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 5,184 0.00 1,505 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 1,559 0.00 1,166 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 1,208 0.00 92 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 95 0.00 888 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 920 0.00 405 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 420 0.00 426 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2017 441 0.00 4,722 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/09/2017 4,839 0.00 2,845 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 2,948 0.00 3,287 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 3,405 0.00 1,190 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1,233 0.00 2,327 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 2,410 0.00 2,234 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 2,315 0.00 597 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 618 0.00 696 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 721 0.00 2,819 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 2,921 0.00 1,087 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1,127 0.00 2,935 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 3,041 0.00 1,164 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1,206 0.00 781 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 809 0.00 1,189 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1,231 0.00 220 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 228 0.00 1,919 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1,988 0.00 2,213 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 2,293 0.00 184 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 191 0.00 1,894 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1,962 0.00 1,513 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1,568 0.00 836 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 866 0.00 1,685 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1,746 0.00 864 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 895 0.00 874 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 906 0.00 4,035 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 4,181 0.00 1,428 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1,479 0.00 335 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 347 0.00 1,027 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1,064 0.00 815 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 844 0.00 463 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 480 0.00 981 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2017 1,017 0.00 1,794 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1,859 0.00 8,591 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 8,901 0.01 12,252 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 12,694 0.01 1,741 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1,804 0.00 926 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 959 0.00 2,447 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 2,536 0.00 2,008 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 2,080 0.00 839 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 870 0.00 818 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 848 0.00 2,171 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 2,249 0.00 1,245 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1,290 0.00 1,062 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1,100 0.00 349 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 362 0.00 1,631 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1,689 0.00 759 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 787 0.00 1,704 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1,765 0.00 1,007 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1,043 0.00 1,488 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1,541 0.00 140 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 144 0.00 1,197 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 1,241 0.00 3,947 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 4,089 0.00 660 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2017 684 0.00 18,156 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/11/2017 18,608 0.01 1,402 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 1,452 0.00 469 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 486 0.00 2,237 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 2,318 0.00 1,091 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 1,130 0.00 570 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 591 0.00 2,007 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 2,079 0.00 52 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 54 0.00 1,751 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 1,815 0.00 2,424 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 2,511 0.00 1,842 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 1,908 0.00 613 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 635 0.00 2,281 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 2,363 0.00 1,117 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 1,157 0.00 564 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 584 0.00 590 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 611 0.00 2,057 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 2,132 0.00

581 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 602 0.00 898 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 931 0.00 1,385 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 1,435 0.00 459 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2017 475 0.00 1,605 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1,663 0.00 792 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 821 0.00 1,088 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1,127 0.00 2,101 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 2,177 0.00 572 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 592 0.00 2,330 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 2,414 0.00 2,521 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 2,612 0.00 1,508 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1,562 0.00 336 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 346 0.00 711 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 737 0.00 289 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 300 0.00 503 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 520 0.00 1,163 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1,205 0.00 1,199 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1,242 0.00 527 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 546 0.00 2,168 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 2,240 0.00 331 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 343 0.00 576 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 597 0.00 192 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 199 0.00 1,656 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1,716 0.00 187 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 191 0.00 1,379 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1,429 0.00 1,089 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1,128 0.00 1,532 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 1,587 0.00 2,040 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 2,114 0.00 492 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 509 0.00 793 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 822 0.00 841 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 869 0.00 420 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2018 435 0.00 13,765 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/01/2018 14,246 0.01 1,377 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1,427 0.00 1,940 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2,012 0.00 1,150 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1,191 0.00 1,305 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1,352 0.00 625 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 648 0.00 620 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 642 0.00 927 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 961 0.00 247 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 254 0.00 1,201 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1,243 0.00 342 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 352 0.00 17,388 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 18,015 0.01 1,716 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1,778 0.00 444 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 460 0.00 1,563 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1,615 0.00 2,698 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2,796 0.00 167 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 173 0.00 344 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 357 0.00 482 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 499 0.00 911 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 940 0.00 1,626 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1,687 0.00 2,867 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2,966 0.00 2,026 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2,099 0.00 1,097 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1,136 0.00 1,154 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1,196 0.00 810 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 839 0.00 1,144 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1,186 0.00 2,529 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2,610 0.00 3,091 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 3,194 0.00 2,234 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2,312 0.00 3,792 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 3,928 0.00 2,897 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 3,001 0.00 2,247 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2,328 0.00 183 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 189 0.00 679 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 704 0.00 882 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 915 0.00 1,008 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 1,045 0.00 2,007 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 2,079 0.00 5,491 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2018 5,689 0.00 2,831 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2,933 0.00 1,807 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,872 0.00 963 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 998 0.00 1,942 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2,012 0.00 1,727 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,790 0.00 2,317 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2,403 0.00

1,988 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2,060 0.00 540 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 560 0.00 892 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 924 0.00 836 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 868 0.00 1,446 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,498 0.00 2,956 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 3,063 0.00 1,251 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,299 0.00 2,249 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2,329 0.00 1,604 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,662 0.00 1,587 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,644 0.00 1,767 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,831 0.00 2,392 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2,478 0.00 1,629 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,687 0.00 1,041 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,078 0.00 3,034 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 3,143 0.00 3,666 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 3,798 0.00 2,013 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2,086 0.00 2,213 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2,287 0.00 300 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 311 0.00 183 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 190 0.00 919 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 952 0.00 2,515 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2,605 0.00 2,519 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2,616 0.00 184 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 191 0.00 2,119 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 2,196 0.00 263 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 272 0.00 3,363 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 3,488 0.00 734 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 761 0.00 1,194 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,237 0.00 809 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 839 0.00 1,291 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,338 0.00 424 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 439 0.00 1,132 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,172 0.00 405 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 417 0.00 896 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 929 0.00 817 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 849 0.00 357 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 370 0.00 1,030 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,068 0.00 1,139 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,176 0.00 1,332 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,380 0.00 627 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 649 0.00 1,425 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2018 1,477 0.00 1,004 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,040 0.00 620 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 643 0.00 257 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 267 0.00 295 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 303 0.00 952 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 987 0.00 2,296 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2,378 0.00 723 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 747 0.00 2,406 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2,493 0.00 1,059 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,097 0.00 1,651 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,712 0.00 3,053 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 3,163 0.00 2,427 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2,515 0.00 3,464 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 3,589 0.00 3,463 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 3,588 0.00 3,202 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 3,317 0.00 387 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 398 0.00 1,040 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,082 0.00 613 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 635 0.00 2,007 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2,082 0.00 460 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 473 0.00 326 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 335 0.00 355 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 368 0.00 2,635 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2,736 0.00 2,093 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2,169 0.00 1,175 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,216 0.00 1,247 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,292 0.00 969 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,004 0.00 1,473 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,533 0.00 1,233 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,280 0.00 1,227 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,273 0.00 558 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 579 0.00 949 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 980 0.00 1,125 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,165 0.00 578 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 598 0.00 2,474 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2,563 0.00 1,880 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,947 0.00

1,026 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,063 0.00 643 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 666 0.00 2,977 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 3,084 0.00 1,141 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,182 0.00 2,650 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2,742 0.00 434 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 449 0.00 785 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 814 0.00 765 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 795 0.00 1,047 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,085 0.00 279 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 289 0.00 2,424 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 2,511 0.00 1,498 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,557 0.00 660 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 684 0.00 403 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 418 0.00 1,158 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,201 0.00 1,494 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2018 1,549 0.00 14,535 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 15,059 0.01 570 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 590 0.00 3,214 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 3,330 0.00 827 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 857 0.00 147 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 152 0.00 2,378 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 2,463 0.00 2,712 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 2,806 0.00 1,421 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 1,473 0.00 2,105 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 2,189 0.00 1,390 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 1,444 0.00 1,434 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 1,491 0.00 1,368 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 1,417 0.00 787 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 816 0.00 2,336 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 2,420 0.00 533 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 552 0.00 1,355 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 1,404 0.00 7,606 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 7,880 0.01 6,043 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 6,261 0.00 1,774 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2018 1,840 0.00 556 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 577 0.00 2,201 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 2,286 0.00 1,260 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 1,306 0.00 1,338 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 1,388 0.00 3,547 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 3,687 0.00 1,386 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 1,441 0.00 4,482 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/06/2018 4,644 0.00 3,260 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/2018 3,393 0.00 1,845 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/2018 1,923 0.00 4,253 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/2018 4,426 0.00 3,668 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/2018 3,818 0.00 2,647 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/2018 2,755 0.00 12,443 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/2018 12,935 0.01 1,678 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/2018 1,738 0.00 2,115 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/2018 2,193 0.00 1,156 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/2018 1,205 0.00 836 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/2018 868 0.00 568 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/2018 589 0.00 46 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/08/2018 48 0.00 9,976 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/08/2018 11,378 0.01 110,874 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2018 115,534 0.06 2,395 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2018 2,481 0.00 2,987 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/09/2018 3,105 0.00 18,875 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/09/2018 21,527 0.01 2,181 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 2,290 0.00 1,120 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 1,169 0.00 859 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 897 0.00 1,867 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 1,934 0.00 3,674 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 3,836 0.00 779 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 813 0.00 2,984 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 3,092 0.00 1,566 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 1,623 0.00 2,283 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 2,382 0.00 1,691 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/10/2018 1,752 0.00 4,057 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 4,224 0.00 4,227 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 4,405 0.00 929 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 968 0.00 4,571 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 4,773 0.00 1,522 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 1,577 0.00 2,997 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 3,106 0.00 864 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 895 0.00 2,130 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 2,213 0.00 1,552 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/11/2018 1,608 0.00

1,459 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2018 1,532 0.00 1,683 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2018 1,743 0.00 2,038 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2018 2,111 0.00 1,224 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2018 1,268 0.00 2,310 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2018 2,393 0.00 1,830 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2018 1,896 0.00 1,329 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2019 1,381 0.00 304 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2019 319 0.00 8,365 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/01/2019 9,541 0.01 401 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/02/2019 421 0.00 5,782 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/2019 5,931 0.00 8,550 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2019 8,952 0.01 34,617 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/12/2019 35,812 0.02 1,434 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/03/2020 1,635 0.00 5,533 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/04/2020 5,845 0.00 800,000 Federal Home Loan Mortgage Corp. (FHLMC) (c) 3.034% 25/10/2020 833,419 0.45 8,887 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2021 9,269 0.01 3,248 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/03/2021 3,705 0.00 1,900,000 Federal Home Loan Mortgage Corp. (FHLMC) 2.615% 25/01/2023 1,925,526 1.04 2,250,000 Federal Home Loan Mortgage Corp. (FHLMC) 3.111% 25/02/2023 2,342,444 1.26 300,000 Federal Home Loan Mortgage Corp. (FHLMC) (c) 3.458% 25/08/2023 318,164 0.17 400,000 Federal Home Loan Mortgage Corp. (FHLMC) 2.811% 25/01/2025 400,708 0.22 251,617 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/10/2026 280,388 0.15 99,805 Federal Home Loan Mortgage Corp. (FHLMC) 7.000% 15/07/2027 113,569 0.06 63,603 Federal Home Loan Mortgage Corp. (FHLMC) 2.500% 01/10/2029 64,622 0.04 56,904 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/11/2029 61,727 0.03 793,003 Federal Home Loan Mortgage Corp. (FHLMC) 2.500% 01/01/2030 804,713 0.43 1,077,733 Federal Home Loan Mortgage Corp. (FHLMC) 2.500% 01/02/2030 1,093,646 0.59 325,967 Federal Home Loan Mortgage Corp. (FHLMC) 7.000% 15/09/2030 371,520 0.20 23,864 Federal Home Loan Mortgage Corp. (FHLMC) 7.000% 01/04/2031 27,849 0.02 286,848 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 15/07/2031 332,050 0.18 511,280 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 15/08/2031 575,653 0.31 791,906 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/03/2033 891,152 0.48 177,440 Federal Home Loan Mortgage Corp. (FHLMC) (c) 2.500% 01/08/2033 187,368 0.10 7,219 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/2034 8,127 0.01 471,832 Federal Home Loan Mortgage Corp. (FHLMC) (c) 2.500% 01/07/2034 501,038 0.27 180,804 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/2035 203,793 0.11 51,587 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/09/2035 56,105 0.03 210,854 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2035 234,320 0.13 480,249 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/12/2035 533,245 0.29 736 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/2036 826 0.00 173,486 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/02/2036 194,677 0.11 1,007,012 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/03/2036 1,118,137 0.60 651,990 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/2036 723,938 0.39 475,017 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/01/2037 527,436 0.28 826,893 Federal Home Loan Mortgage Corp. (FHLMC) 6.500% 01/08/2037 964,650 0.52 681,175 Federal Home Loan Mortgage Corp. (FHLMC) 6.000% 01/06/2038 776,677 0.42 697,831 Federal Home Loan Mortgage Corp. (FHLMC) 7.000% 01/02/2039 811,941 0.44 10,750 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/07/2039 11,870 0.01 374,018 Federal Home Loan Mortgage Corp. (FHLMC) (c) 5.903% 15/07/2039 61,040 0.03 372,433 Federal Home Loan Mortgage Corp. (FHLMC) 5.500% 01/04/2040 417,226 0.23 89,800 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 01/02/2041 97,187 0.05 118,351 Federal Home Loan Mortgage Corp. (FHLMC) 5.000% 01/05/2041 130,597 0.07 307,365 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/06/2042 319,612 0.17 61,390 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/08/2042 61,841 0.03 61,049 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/08/2042 61,497 0.03 35,395 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/08/2042 35,655 0.02 149,733 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/08/2042 156,027 0.08 55,900 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/10/2042 56,310 0.03 126,258 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/10/2042 130,973 0.07 219,261 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/10/2042 227,449 0.12 146,213 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/10/2042 151,673 0.08 139,346 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/11/2042 140,369 0.08 327,115 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/11/2042 329,517 0.18 20,410 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/11/2042 20,560 0.01 38,991 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/11/2042 39,277 0.02 834,216 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/11/2042 840,342 0.45 9,159,492 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/11/2042 9,219,601 4.95 400,906 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/11/2042 415,877 0.22 86,132 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 86,765 0.05 69,283 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 69,835 0.04 331,957 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 334,394 0.18 42,021 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 42,330 0.02 330,815 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 333,244 0.18 32,492 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 32,751 0.02 60,040 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 60,518 0.03 50,187 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 50,587 0.03 110,628 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 111,440 0.06 48,161 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 48,545 0.03

1,147,388 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 1,156,531 0.62 22,136 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/12/2042 22,312 0.01 32,875 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/01/2043 33,137 0.02 783,279 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/01/2043 789,521 0.43 100,232 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/01/2043 101,031 0.06 21,102 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/01/2043 21,270 0.01 3,109,811 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/01/2043 3,134,593 1.68 518,462 Federal Home Loan Mortgage Corp. (FHLMC) 3.000% 01/01/2043 522,189 0.28 2,773,351 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/04/2043 2,869,985 1.54 2,807,130 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/08/2043 2,908,217 1.56 766,050 Federal Home Loan Mortgage Corp. (FHLMC) (c) 5.903% 15/11/2043 119,531 0.07 890,328 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/06/2044 924,828 0.50 326,350 Federal Home Loan Mortgage Corp. (FHLMC) 4.500% 15/10/2044 66,500 0.04 31,605 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/02/2045 32,814 0.02 50,150 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/02/2045 52,070 0.03 113,996 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/03/2045 118,288 0.06 75,484 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/03/2045 78,327 0.04 112,058 Federal Home Loan Mortgage Corp. (FHLMC) 3.500% 01/03/2045 116,347 0.06 120 Federal National Mortgage Association (FNMA) 7.000% 01/04/2016 121 0.00 15,601 Federal National Mortgage Association (FNMA) 5.500% 01/01/2017 15,859 0.01 56,970 Federal National Mortgage Association (FNMA) 5.000% 01/03/2018 58,995 0.03 47,945 Federal National Mortgage Association (FNMA) 5.000% 01/03/2018 49,649 0.03 31,240 Federal National Mortgage Association (FNMA) 5.500% 01/04/2018 32,515 0.02 4,623 Federal National Mortgage Association (FNMA) 5.500% 01/04/2018 4,805 0.00 7,273 Federal National Mortgage Association (FNMA) 5.500% 01/05/2018 7,593 0.01 51,810 Federal National Mortgage Association (FNMA) 5.000% 01/06/2018 53,775 0.03 25,262 Federal National Mortgage Association (FNMA) 5.000% 01/06/2018 26,279 0.02 5,042 Federal National Mortgage Association (FNMA) 5.000% 01/09/2018 5,244 0.00 11,806 Federal National Mortgage Association (FNMA) 7.000% 01/11/2018 12,097 0.01 5,612 Federal National Mortgage Association (FNMA) 5.500% 01/08/2019 5,928 0.00 10,171 Federal National Mortgage Association (FNMA) 5.500% 01/08/2019 10,754 0.01 10,767 Federal National Mortgage Association (FNMA) 5.500% 01/08/2019 11,373 0.01 1,760 Federal National Mortgage Association (FNMA) 5.500% 01/09/2019 1,859 0.00 8,328 Federal National Mortgage Association (FNMA) 5.500% 01/09/2019 8,835 0.01 2,641 Federal National Mortgage Association (FNMA) 5.500% 01/09/2019 2,795 0.00 3,844 Federal National Mortgage Association (FNMA) 5.500% 01/10/2019 4,078 0.00 10,139 Federal National Mortgage Association (FNMA) 5.500% 01/10/2019 10,720 0.01 8,870 Federal National Mortgage Association (FNMA) 5.500% 01/10/2019 9,403 0.01 9,717 Federal National Mortgage Association (FNMA) 5.500% 01/11/2019 10,300 0.01 1,506,098 Federal National Mortgage Association (FNMA) 1.520% 25/12/2019 1,511,549 0.81 61,203 Federal National Mortgage Association (FNMA) 6.000% 01/09/2020 65,722 0.04 926,487 Federal National Mortgage Association (FNMA) 5.000% 01/10/2023 1,021,606 0.55 917 Federal National Mortgage Association (FNMA) 6.000% 01/10/2023 1,038 0.00 2,026 Federal National Mortgage Association (FNMA) 6.000% 01/11/2023 2,293 0.00 1,673 Federal National Mortgage Association (FNMA) 6.000% 01/02/2024 1,893 0.00 10,402 Federal National Mortgage Association (FNMA) 6.000% 01/12/2028 11,442 0.01 297,759 Federal National Mortgage Association (FNMA) 6.000% 01/06/2029 339,175 0.18 1,187 Federal National Mortgage Association (FNMA) 7.000% 01/12/2029 1,222 0.00 248,243 Federal National Mortgage Association (FNMA) 8.500% 25/06/2030 292,535 0.16 481,450 Federal National Mortgage Association (FNMA) 2.500% 01/07/2030 489,424 0.26 170,391 Federal National Mortgage Association (FNMA) 3.000% 01/08/2030 176,527 0.10 867,628 Federal National Mortgage Association (FNMA) 3.000% 01/09/2030 898,844 0.48 2,368 Federal National Mortgage Association (FNMA) 7.000% 01/11/2031 2,448 0.00 83,566 Federal National Mortgage Association (FNMA) 7.000% 01/02/2032 98,314 0.05 1,437 Federal National Mortgage Association (FNMA) 7.000% 01/05/2032 1,451 0.00 1,180 Federal National Mortgage Association (FNMA) 6.000% 01/01/2033 1,374 0.00 7,620 Federal National Mortgage Association (FNMA) 6.000% 01/02/2033 8,722 0.01 3,885 Federal National Mortgage Association (FNMA) 7.000% 01/03/2033 4,008 0.00 7,783 Federal National Mortgage Association (FNMA) 6.000% 01/04/2033 9,035 0.01 267,694 Federal National Mortgage Association (FNMA) (c) 2.492% 01/06/2033 284,055 0.15 4,136 Federal National Mortgage Association (FNMA) 6.000% 01/07/2033 4,654 0.00 35,640 Federal National Mortgage Association (FNMA) 5.000% 01/08/2033 39,470 0.02 15,818 Federal National Mortgage Association (FNMA) 5.000% 01/08/2033 17,522 0.01 4,757 Federal National Mortgage Association (FNMA) 6.000% 01/08/2033 5,522 0.00 14,471 Federal National Mortgage Association (FNMA) 5.500% 01/09/2033 16,354 0.01 819 Federal National Mortgage Association (FNMA) 7.000% 01/11/2033 966 0.00 140,408 Federal National Mortgage Association (FNMA) (c) 2.297% 01/12/2033 147,966 0.08 1,286 Federal National Mortgage Association (FNMA) 5.500% 01/01/2034 1,454 0.00 15,825 Federal National Mortgage Association (FNMA) 6.000% 01/01/2034 18,141 0.01 20,936 Federal National Mortgage Association (FNMA) 5.500% 01/02/2034 23,665 0.01 3,575 Federal National Mortgage Association (FNMA) 5.500% 01/04/2034 4,060 0.00 3,956 Federal National Mortgage Association (FNMA) 6.000% 01/05/2034 4,536 0.00 25,750 Federal National Mortgage Association (FNMA) 5.500% 01/08/2034 29,222 0.02 9,390 Federal National Mortgage Association (FNMA) 6.000% 01/08/2034 10,771 0.01 1,137 Federal National Mortgage Association (FNMA) 5.500% 01/10/2034 1,290 0.00 8,934 Federal National Mortgage Association (FNMA) 5.500% 01/10/2034 10,099 0.01 21,048 Federal National Mortgage Association (FNMA) 6.000% 01/10/2034 24,138 0.01 6,503 Federal National Mortgage Association (FNMA) 5.500% 01/11/2034 7,351 0.00

125,700 Federal National Mortgage Association (FNMA) 5.500% 01/12/2034 142,085 0.08 11,347 Federal National Mortgage Association (FNMA) 6.000% 01/02/2035 13,028 0.01 82,487 Federal National Mortgage Association (FNMA) 5.000% 01/04/2035 92,053 0.05 6,314 Federal National Mortgage Association (FNMA) 5.000% 01/07/2035 7,010 0.00 1,453 Federal National Mortgage Association (FNMA) 5.500% 01/07/2035 1,648 0.00 1,666,866 Federal National Mortgage Association (FNMA) 5.500% 25/07/2035 1,839,597 0.99 2,515 Federal National Mortgage Association (FNMA) 5.500% 01/08/2035 2,853 0.00 23,246 Federal National Mortgage Association (FNMA) 5.500% 01/09/2035 26,276 0.02 5,922 Federal National Mortgage Association (FNMA) 5.500% 01/09/2035 6,694 0.00 12,139 Federal National Mortgage Association (FNMA) 5.500% 01/12/2035 13,771 0.01 9,512 Federal National Mortgage Association (FNMA) 6.000% 01/12/2035 10,865 0.01 31,536 Federal National Mortgage Association (FNMA) (c) 5.000% 01/02/2036 34,862 0.02 458 Federal National Mortgage Association (FNMA) 5.500% 01/02/2036 516 0.00 9,338 Federal National Mortgage Association (FNMA) 6.000% 01/04/2036 10,660 0.01 645,278 Federal National Mortgage Association (FNMA) 4.500% 01/07/2036 699,975 0.38 64,844 Federal National Mortgage Association (FNMA) 4.500% 01/12/2036 70,340 0.04 2,845 Federal National Mortgage Association (FNMA) 5.500% 01/01/2037 3,195 0.00 10,278 Federal National Mortgage Association (FNMA) 6.000% 01/01/2037 11,754 0.01 1,526 Federal National Mortgage Association (FNMA) 5.500% 01/02/2037 1,714 0.00 9,371 Federal National Mortgage Association (FNMA) 6.000% 01/02/2037 10,680 0.01 2,867 Federal National Mortgage Association (FNMA) 5.500% 01/04/2037 3,215 0.00 410 Federal National Mortgage Association (FNMA) 5.500% 01/04/2037 460 0.00 945 Federal National Mortgage Association (FNMA) 5.500% 01/05/2037 1,060 0.00 1,676 Federal National Mortgage Association (FNMA) 5.500% 01/05/2037 1,882 0.00 242 Federal National Mortgage Association (FNMA) 5.500% 01/06/2037 272 0.00 1,165 Federal National Mortgage Association (FNMA) 5.500% 01/06/2037 1,306 0.00 62 Federal National Mortgage Association (FNMA) 5.500% 01/08/2037 70 0.00 676 Federal National Mortgage Association (FNMA) 5.500% 01/12/2037 757 0.00 1,669 Federal National Mortgage Association (FNMA) 5.500% 01/02/2038 1,869 0.00 3,929 Federal National Mortgage Association (FNMA) 5.500% 01/03/2038 4,400 0.00 4,154 Federal National Mortgage Association (FNMA) 5.500% 01/03/2038 4,651 0.00 1,399 Federal National Mortgage Association (FNMA) 5.500% 01/05/2038 1,567 0.00 541 Federal National Mortgage Association (FNMA) 5.500% 01/05/2038 606 0.00 3,373 Federal National Mortgage Association (FNMA) 5.500% 01/06/2038 3,778 0.00 914 Federal National Mortgage Association (FNMA) 5.500% 01/06/2038 1,024 0.00 354 Federal National Mortgage Association (FNMA) 5.500% 01/06/2038 396 0.00 2,057 Federal National Mortgage Association (FNMA) 5.500% 01/06/2038 2,305 0.00 1,813 Federal National Mortgage Association (FNMA) 5.500% 01/06/2038 2,034 0.00 3,802 Federal National Mortgage Association (FNMA) 5.500% 01/07/2038 4,259 0.00 648 Federal National Mortgage Association (FNMA) 5.500% 01/07/2038 726 0.00 356 Federal National Mortgage Association (FNMA) 5.500% 01/07/2038 398 0.00 2,077 Federal National Mortgage Association (FNMA) 5.500% 01/07/2038 2,326 0.00 2,831 Federal National Mortgage Association (FNMA) 5.500% 01/08/2038 3,160 0.00 2,615 Federal National Mortgage Association (FNMA) 5.500% 01/08/2038 2,930 0.00 1,358 Federal National Mortgage Association (FNMA) 5.500% 01/08/2038 1,521 0.00 3,161 Federal National Mortgage Association (FNMA) 5.500% 01/09/2038 3,542 0.00 191 Federal National Mortgage Association (FNMA) 5.500% 01/09/2038 214 0.00 4,940 Federal National Mortgage Association (FNMA) 5.500% 01/09/2038 5,534 0.00 1,079 Federal National Mortgage Association (FNMA) 5.500% 01/12/2038 1,210 0.00 4,612 Federal National Mortgage Association (FNMA) 5.500% 01/12/2038 5,210 0.00 1,057,228 Federal National Mortgage Association (FNMA) 5.000% 01/01/2039 1,182,320 0.64 6,202 Federal National Mortgage Association (FNMA) 4.500% 01/03/2039 6,770 0.00 446,625 Federal National Mortgage Association (FNMA) 7.000% 01/03/2039 522,154 0.28 25,432 Federal National Mortgage Association (FNMA) 4.500% 01/05/2039 27,870 0.02 29,085 Federal National Mortgage Association (FNMA) 4.500% 01/05/2039 31,873 0.02 8,419 Federal National Mortgage Association (FNMA) 4.500% 01/05/2039 9,192 0.01 42,002 Federal National Mortgage Association (FNMA) 4.500% 01/06/2039 46,028 0.03 17,147 Federal National Mortgage Association (FNMA) 5.500% 01/06/2039 19,200 0.01 24,308 Federal National Mortgage Association (FNMA) 4.000% 01/08/2039 25,813 0.01 61,161 Federal National Mortgage Association (FNMA) 4.500% 01/08/2039 67,024 0.04 23,207 Federal National Mortgage Association (FNMA) 4.500% 01/08/2039 25,461 0.01 12,596 Federal National Mortgage Association (FNMA) 4.000% 01/09/2039 13,376 0.01 31,796 Federal National Mortgage Association (FNMA) 4.500% 01/09/2039 34,412 0.02 52,593 Federal National Mortgage Association (FNMA) 4.500% 01/10/2039 56,888 0.03 15,515 Federal National Mortgage Association (FNMA) 5.500% 01/11/2039 17,382 0.01 47,331 Federal National Mortgage Association (FNMA) 4.500% 01/02/2040 51,779 0.03 16,190 Federal National Mortgage Association (FNMA) 4.500% 01/03/2040 17,527 0.01 38,652 Federal National Mortgage Association (FNMA) 5.000% 01/03/2040 42,620 0.02 12,734 Federal National Mortgage Association (FNMA) 4.500% 01/04/2040 13,785 0.01 220,096 Federal National Mortgage Association (FNMA) 4.500% 01/04/2040 238,259 0.13 38,023 Federal National Mortgage Association (FNMA) 4.500% 01/06/2040 41,632 0.02 14,989 Federal National Mortgage Association (FNMA) 5.000% 01/06/2040 16,576 0.01 1,617,480 Federal National Mortgage Association (FNMA) (c) 4.807% 25/11/2040 325,167 0.18 14,956 Federal National Mortgage Association (FNMA) 4.500% 01/12/2040 16,198 0.01 267,790 Federal National Mortgage Association (FNMA) 4.500% 01/01/2041 290,322 0.16 54,137 Federal National Mortgage Association (FNMA) 4.500% 01/04/2041 58,676 0.03 18,588 Federal National Mortgage Association (FNMA) 4.500% 01/04/2041 20,146 0.01 102,231 Federal National Mortgage Association (FNMA) 4.500% 01/06/2041 110,760 0.06

1,405,072 Federal National Mortgage Association (FNMA) 5.000% 25/06/2041 1,542,872 0.83 108,262 Federal National Mortgage Association (FNMA) 4.500% 01/07/2041 117,337 0.06 374,038 Federal National Mortgage Association (FNMA) 4.500% 01/08/2041 405,744 0.22 40,157 Federal National Mortgage Association (FNMA) 4.500% 01/08/2041 43,508 0.02 394,287 Federal National Mortgage Association (FNMA) 4.500% 01/09/2041 427,770 0.23 58,945 Federal National Mortgage Association (FNMA) 4.500% 01/09/2041 63,887 0.04 141,238 Federal National Mortgage Association (FNMA) 3.500% 01/10/2041 146,849 0.08 339,257 Federal National Mortgage Association (FNMA) 4.500% 01/10/2041 367,591 0.20 1,425,000 Federal National Mortgage Association (FNMA) 5.000% 25/10/2041 1,561,881 0.84 311,300 Federal National Mortgage Association (FNMA) 4.500% 01/11/2041 337,299 0.18 118,083 Federal National Mortgage Association (FNMA) 4.500% 01/12/2041 127,966 0.07 85,475 Federal National Mortgage Association (FNMA) 3.500% 01/01/2042 88,871 0.05 40,279 Federal National Mortgage Association (FNMA) 3.500% 01/01/2042 41,880 0.02 82,484 Federal National Mortgage Association (FNMA) 4.500% 01/01/2042 89,372 0.05 142,673 Federal National Mortgage Association (FNMA) 4.500% 01/01/2042 154,624 0.08 63,067 Federal National Mortgage Association (FNMA) 4.500% 01/03/2042 68,383 0.04 1,146,847 Federal National Mortgage Association (FNMA) 4.500% 01/04/2042 1,241,651 0.67 21,518 Federal National Mortgage Association (FNMA) 4.500% 01/04/2042 23,302 0.01 31,291 Federal National Mortgage Association (FNMA) 3.500% 01/06/2042 32,466 0.02 231,076 Federal National Mortgage Association (FNMA) 3.500% 01/06/2042 239,722 0.13 23,525 Federal National Mortgage Association (FNMA) 3.500% 01/06/2042 24,368 0.01 139,183 Federal National Mortgage Association (FNMA) 3.500% 01/07/2042 144,277 0.08 76,504 Federal National Mortgage Association (FNMA) 3.500% 01/07/2042 79,304 0.04 791,585 Federal National Mortgage Association (FNMA) 7.000% 25/07/2042 919,612 0.50 234,204 Federal National Mortgage Association (FNMA) 3.000% 01/09/2042 235,851 0.13 35,695 Federal National Mortgage Association (FNMA) 3.500% 01/09/2042 37,124 0.02 77,843 Federal National Mortgage Association (FNMA) 3.500% 01/09/2042 80,692 0.04 171,936 Federal National Mortgage Association (FNMA) 3.500% 01/10/2042 178,820 0.10 23,359 Federal National Mortgage Association (FNMA) 3.500% 01/10/2042 24,214 0.01 190,131 Federal National Mortgage Association (FNMA) 7.000% 25/10/2042 215,865 0.12 41,964 Federal National Mortgage Association (FNMA) 3.500% 01/11/2042 43,500 0.02 19,500 Federal National Mortgage Association (FNMA) 3.000% 01/12/2042 19,701 0.01 23,508 Federal National Mortgage Association (FNMA) 3.000% 01/12/2042 23,751 0.01 21,880 Federal National Mortgage Association (FNMA) 3.000% 01/12/2042 22,120 0.01 40,900 Federal National Mortgage Association (FNMA) 3.000% 01/12/2042 41,347 0.02 96,785 Federal National Mortgage Association (FNMA) 3.500% 01/12/2042 100,660 0.06 50,741 Federal National Mortgage Association (FNMA) 3.000% 01/01/2043 51,296 0.03 39,596 Federal National Mortgage Association (FNMA) 3.000% 01/01/2043 40,029 0.02 111,382 Federal National Mortgage Association (FNMA) 3.000% 01/01/2043 112,600 0.06 23,349 Federal National Mortgage Association (FNMA) 3.000% 01/01/2043 23,605 0.01 29,302 Federal National Mortgage Association (FNMA) 3.000% 01/01/2043 29,623 0.02 21,735 Federal National Mortgage Association (FNMA) 3.500% 01/01/2043 22,530 0.01 2,094,807 Federal National Mortgage Association (FNMA) 3.500% 25/01/2043 474,168 0.26 77,609 Federal National Mortgage Association (FNMA) 3.000% 01/02/2043 78,458 0.04 74,288 Federal National Mortgage Association (FNMA) 3.000% 01/02/2043 74,927 0.04 29,762 Federal National Mortgage Association (FNMA) 3.000% 01/02/2043 29,951 0.02 487,967 Federal National Mortgage Association (FNMA) 3.500% 01/02/2043 505,827 0.27 242,265 Federal National Mortgage Association (FNMA) 3.500% 01/02/2043 251,965 0.14 248,959 Federal National Mortgage Association (FNMA) 3.000% 01/03/2043 251,682 0.14 40,587 Federal National Mortgage Association (FNMA) 3.000% 01/03/2043 41,031 0.02 20,655 Federal National Mortgage Association (FNMA) 3.000% 01/03/2043 20,881 0.01 238,605 Federal National Mortgage Association (FNMA) 3.500% 01/03/2043 248,159 0.13 313,448 Federal National Mortgage Association (FNMA) 3.500% 01/03/2043 325,998 0.18 1,734,093 Federal National Mortgage Association (FNMA) 3.500% 01/03/2043 1,797,563 0.97 55,607 Federal National Mortgage Association (FNMA) 3.000% 01/04/2043 56,216 0.03 26,703 Federal National Mortgage Association (FNMA) 3.000% 01/04/2043 26,995 0.02 31,688 Federal National Mortgage Association (FNMA) 3.000% 01/04/2043 32,035 0.02 115,655 Federal National Mortgage Association (FNMA) 3.000% 01/04/2043 116,920 0.06 96,160 Federal National Mortgage Association (FNMA) 3.000% 01/04/2043 97,212 0.05 122,476 Federal National Mortgage Association (FNMA) 3.000% 01/05/2043 123,816 0.07 244,567 Federal National Mortgage Association (FNMA) 3.000% 01/05/2043 247,242 0.13 117,265 Federal National Mortgage Association (FNMA) 3.000% 01/05/2043 118,548 0.06 35,554 Federal National Mortgage Association (FNMA) 3.500% 01/05/2043 36,856 0.02 44,535 Federal National Mortgage Association (FNMA) 3.000% 01/06/2043 45,022 0.03 36,432 Federal National Mortgage Association (FNMA) 3.000% 01/06/2043 36,831 0.02 415,455 Federal National Mortgage Association (FNMA) 3.500% 01/06/2043 431,829 0.23 41,004 Federal National Mortgage Association (FNMA) 3.500% 01/06/2043 42,537 0.02 21,484 Federal National Mortgage Association (FNMA) 3.000% 01/07/2043 21,719 0.01 27,696 Federal National Mortgage Association (FNMA) 3.000% 01/07/2043 27,862 0.02 425,139 Federal National Mortgage Association (FNMA) 3.500% 01/07/2043 442,161 0.24 136,405 Federal National Mortgage Association (FNMA) 3.500% 01/07/2043 141,781 0.08 926,373 Federal National Mortgage Association (FNMA) 3.500% 01/07/2043 960,280 0.52 1,691,844 Federal National Mortgage Association (FNMA) 3.000% 01/08/2043 1,702,806 0.92 113,104 Federal National Mortgage Association (FNMA) 3.500% 01/08/2043 117,341 0.06 403,886 Federal National Mortgage Association (FNMA) 3.500% 01/08/2043 418,848 0.23 11,679 Federal National Mortgage Association (FNMA) 5.000% 01/09/2043 12,879 0.01 456,205 Federal National Mortgage Association (FNMA) (c) 5.879% 25/09/2043 75,024 0.04 68,828 Federal National Mortgage Association (FNMA) 4.500% 01/10/2043 74,834 0.04

296,037 Federal National Mortgage Association (FNMA) 4.500% 01/11/2043 319,965 0.17 220,132 Federal National Mortgage Association (FNMA) 4.500% 01/11/2043 237,954 0.13 739,463 Federal National Mortgage Association (FNMA) (c) 5.879% 25/12/2043 121,909 0.07 49,083 Federal National Mortgage Association (FNMA) 4.500% 01/04/2044 53,167 0.03 18,361 Federal National Mortgage Association (FNMA) 4.500% 01/05/2044 19,889 0.01 52,780 Federal National Mortgage Association (FNMA) 4.500% 01/07/2044 57,172 0.03 26,773 Federal National Mortgage Association (FNMA) 3.500% 01/08/2044 27,732 0.02 66,462 Federal National Mortgage Association (FNMA) 3.500% 01/09/2044 68,921 0.04 34,841 Federal National Mortgage Association (FNMA) 4.000% 01/10/2044 36,988 0.02 918,238 Federal National Mortgage Association (FNMA) 5.000% 01/10/2044 1,012,510 0.54 28,983 Federal National Mortgage Association (FNMA) 3.500% 01/12/2044 30,044 0.02 42,447 Federal National Mortgage Association (FNMA) 3.500% 01/01/2045 44,146 0.02 214,624 Federal National Mortgage Association (FNMA) (c) 6.029% 25/01/2045 36,768 0.02 135,691 Federal National Mortgage Association (FNMA) 3.500% 01/02/2045 141,039 0.08 108,503 Federal National Mortgage Association (FNMA) 3.500% 01/02/2045 112,780 0.06 162,036 Federal National Mortgage Association (FNMA) 3.500% 01/02/2045 167,842 0.09 27,698 Federal National Mortgage Association (FNMA) 3.000% 01/03/2045 27,839 0.02 24,835 Federal National Mortgage Association (FNMA) 3.500% 01/03/2045 25,829 0.01 95,058 Federal National Mortgage Association (FNMA) 3.500% 01/03/2045 98,864 0.05 77,939 Federal National Mortgage Association (FNMA) 3.500% 01/03/2045 81,011 0.04 102,724 Federal National Mortgage Association (FNMA) 3.500% 01/03/2045 106,404 0.06 31,365 Federal National Mortgage Association (FNMA) 3.500% 01/03/2045 32,488 0.02 27,464 Federal National Mortgage Association (FNMA) 3.500% 01/04/2045 28,471 0.02 64,930 Federal National Mortgage Association (FNMA) 3.500% 01/05/2045 67,257 0.04 49,830 Federal National Mortgage Association (FNMA) 3.500% 01/05/2045 51,619 0.03 33,031 Federal National Mortgage Association (FNMA) 3.500% 01/07/2045 34,273 0.02 67,114 Federal National Mortgage Association (FNMA) 3.500% 01/07/2045 69,518 0.04 145,850 Federal National Mortgage Association (FNMA) 3.500% 01/07/2045 151,088 0.08 112,514 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 116,546 0.06 23,800,525 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 24,641,910 13.24 289,999 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 300,410 0.16 104,082 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 107,811 0.06 109,709 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 113,640 0.06 84,492 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 87,520 0.05 92,127 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 95,428 0.05 301,109 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 311,897 0.17 273,168 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 282,955 0.15 169,876 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 175,963 0.10 179,154 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 185,573 0.10 117,959 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 122,186 0.07 103,155 Federal National Mortgage Association (FNMA) 3.500% 01/09/2045 106,851 0.06 684,374 Federal National Mortgage Association (FNMA) (c) 5.479% 25/11/2045 103,153 0.06 292,080 Federal National Mortgage Association (FNMA) (c) 5.479% 25/11/2045 41,366 0.02 974,955 Federal National Mortgage Association (FNMA) (c) 6.029% 25/11/2045 155,602 0.08 26,425 Government National Mortgage Association (GNMA) (c) 1.750% 20/06/2023 26,951 0.02 12,544 Government National Mortgage Association (GNMA) (c) 1.875% 20/07/2023 12,800 0.01 12,767 Government National Mortgage Association (GNMA) (c) 1.875% 20/08/2023 13,030 0.01 33,049 Government National Mortgage Association (GNMA) (c) 1.875% 20/09/2023 33,737 0.02 10,249 Government National Mortgage Association (GNMA) (c) 1.750% 20/03/2024 10,475 0.01 59,160 Government National Mortgage Association (GNMA) (c) 1.750% 20/04/2024 60,446 0.03 29,694 Government National Mortgage Association (GNMA) (c) 1.750% 20/04/2024 30,339 0.02 9,915 Government National Mortgage Association (GNMA) (c) 1.750% 20/05/2024 10,132 0.01 23,124 Government National Mortgage Association (GNMA) (c) 1.750% 20/06/2024 23,635 0.01 49,097 Government National Mortgage Association (GNMA) (c) 1.750% 20/06/2024 50,181 0.03 16,697 Government National Mortgage Association (GNMA) (c) 2.000% 20/06/2024 17,084 0.01 24,628 Government National Mortgage Association (GNMA) (c) 1.875% 20/07/2024 25,184 0.01 26,286 Government National Mortgage Association (GNMA) (c) 2.000% 20/07/2024 26,904 0.02 46,382 Government National Mortgage Association (GNMA) (c) 1.875% 20/08/2024 47,438 0.03 23,456 Government National Mortgage Association (GNMA) (c) 2.000% 20/08/2024 24,011 0.01 8,453 Government National Mortgage Association (GNMA) (c) 1.875% 20/09/2024 8,647 0.01 13,884 Government National Mortgage Association (GNMA) (c) 1.875% 20/09/2024 14,202 0.01 27,295 Government National Mortgage Association (GNMA) (c) 2.000% 20/11/2024 27,956 0.02 10,836 Government National Mortgage Association (GNMA) (c) 2.000% 20/12/2024 11,100 0.01 16,973 Government National Mortgage Association (GNMA) (c) 2.500% 20/12/2024 17,634 0.01 18,710 Government National Mortgage Association (GNMA) (c) 2.000% 20/01/2025 19,169 0.01 10,082 Government National Mortgage Association (GNMA) (c) 2.000% 20/02/2025 10,332 0.01 35,419 Government National Mortgage Association (GNMA) (c) 2.000% 20/05/2025 36,313 0.02 314,190 Government National Mortgage Association (GNMA) 3.950% 15/07/2025 340,284 0.18 102,058 Government National Mortgage Association (GNMA) 7.000% 15/07/2025 116,106 0.06 29,921 Government National Mortgage Association (GNMA) (c) 2.000% 20/07/2025 30,687 0.02 13,349 Government National Mortgage Association (GNMA) (c) 1.750% 20/02/2026 13,697 0.01 3,343 Government National Mortgage Association (GNMA) 7.000% 15/04/2026 3,719 0.00 704 Government National Mortgage Association (GNMA) (c) 1.875% 20/07/2026 723 0.00 6,013 Government National Mortgage Association (GNMA) 7.000% 15/10/2026 6,956 0.00

18,140 Government National Mortgage Association (GNMA) (c) 1.750% 20/01/2027 18,643 0.01 16,062 Government National Mortgage Association (GNMA) (c) 2.000% 20/01/2027 16,519 0.01 13,551 Government National Mortgage Association (GNMA) (c) 1.750% 20/02/2027 13,930 0.01 45,970 Government National Mortgage Association (GNMA) (c) 1.750% 20/04/2027 47,240 0.03 53,728 Government National Mortgage Association (GNMA) (c) 1.750% 20/04/2027 55,213 0.03 10,618 Government National Mortgage Association (GNMA) (c) 1.750% 20/05/2027 10,913 0.01 12,414 Government National Mortgage Association (GNMA) (c) 1.750% 20/06/2027 12,761 0.01 4,530 Government National Mortgage Association (GNMA) (c) 1.625% 20/11/2027 4,665 0.00 15,457 Government National Mortgage Association (GNMA) (c) 1.625% 20/12/2027 15,920 0.01 32,593 Government National Mortgage Association (GNMA) (c) 1.750% 20/01/2028 33,555 0.02 4,690 Government National Mortgage Association (GNMA) 7.000% 15/02/2028 4,879 0.00 12,129 Government National Mortgage Association (GNMA) (c) 1.750% 20/02/2028 12,488 0.01 13,645 Government National Mortgage Association (GNMA) (c) 1.750% 20/03/2028 14,051 0.01 327 Government National Mortgage Association (GNMA) 7.000% 15/06/2028 336 0.00 55,232 Government National Mortgage Association (GNMA) (c) 1.875% 20/07/2029 56,980 0.03 31,585 Government National Mortgage Association (GNMA) (c) 1.875% 20/08/2029 32,589 0.02 7,257 Government National Mortgage Association (GNMA) (c) 1.875% 20/09/2029 7,479 0.00 19,620 Government National Mortgage Association (GNMA) (c) 1.625% 20/10/2029 20,265 0.01 10,961 Government National Mortgage Association (GNMA) (c) 1.625% 20/10/2029 11,307 0.01 15,505 Government National Mortgage Association (GNMA) (c) 1.625% 20/11/2029 16,017 0.01 23,210 Government National Mortgage Association (GNMA) (c) 1.625% 20/11/2029 23,976 0.01 7,204 Government National Mortgage Association (GNMA) (c) 1.625% 20/12/2029 7,442 0.00 1,334 Government National Mortgage Association (GNMA) (c) 1.625% 20/12/2029 1,378 0.00 12,048 Government National Mortgage Association (GNMA) (c) 1.750% 20/01/2030 12,441 0.01 5,473 Government National Mortgage Association (GNMA) (c) 1.750% 20/02/2030 5,653 0.00 31,983 Government National Mortgage Association (GNMA) (c) 1.750% 20/03/2030 33,033 0.02 8,547 Government National Mortgage Association (GNMA) (c) 1.750% 20/04/2030 8,824 0.01 26,231 Government National Mortgage Association (GNMA) (c) 1.750% 20/04/2030 27,082 0.02 50,471 Government National Mortgage Association (GNMA) (c) 1.750% 20/05/2030 52,111 0.03 4,304 Government National Mortgage Association (GNMA) (c) 1.750% 20/05/2030 4,444 0.00 39,470 Government National Mortgage Association (GNMA) (c) 2.000% 20/05/2030 40,804 0.02 8,344 Government National Mortgage Association (GNMA) (c) 1.750% 20/06/2030 8,616 0.01 78,444 Government National Mortgage Association (GNMA) (c) 2.000% 20/07/2030 81,115 0.04 15,469 Government National Mortgage Association (GNMA) (c) 2.000% 20/09/2030 15,999 0.01 25,894 Government National Mortgage Association (GNMA) (c) 1.625% 20/10/2030 26,746 0.02 2,858 Government National Mortgage Association (GNMA) 7.000% 15/06/2031 3,004 0.00 7,811 Government National Mortgage Association (GNMA) 7.000% 15/07/2031 9,455 0.01 11,338 Government National Mortgage Association (GNMA) 7.000% 15/11/2031 12,752 0.01 899 Government National Mortgage Association (GNMA) 6.500% 15/01/2032 1,045 0.00 1,140 Government National Mortgage Association (GNMA) 6.500% 15/02/2032 1,327 0.00 1,030 Government National Mortgage Association (GNMA) 6.500% 15/02/2032 1,191 0.00 1,000,926 Government National Mortgage Association (GNMA) 5.500% 15/04/2033 1,133,561 0.61 2,263 Government National Mortgage Association (GNMA) 6.500% 15/08/2034 2,634 0.00 776 Government National Mortgage Association (GNMA) 6.500% 15/10/2035 900 0.00 244,770 Government National Mortgage Association (GNMA) (c) 6.473% 20/12/2035 21,111 0.01 1,885 Government National Mortgage Association (GNMA) 6.500% 15/02/2036 2,188 0.00 1,938 Government National Mortgage Association (GNMA) 6.500% 15/02/2036 2,248 0.00 1,899 Government National Mortgage Association (GNMA) 6.500% 15/02/2036 2,206 0.00 1,260 Government National Mortgage Association (GNMA) 6.500% 15/03/2036 1,464 0.00 1,707 Government National Mortgage Association (GNMA) 6.500% 15/03/2036 1,983 0.00 3,503 Government National Mortgage Association (GNMA) 6.500% 15/03/2036 4,068 0.00 1,751 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2,032 0.00 2,542 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2,949 0.00 2,040 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2,365 0.00 2,338 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2,708 0.00 1,917 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2,228 0.00 2,163 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2,513 0.00 1,946 Government National Mortgage Association (GNMA) 6.500% 15/04/2036 2,259 0.00 3,212 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 3,723 0.00 2,962 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 3,434 0.00 2,691 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 3,127 0.00 7,666 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 8,901 0.01 3,088 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 3,582 0.00 2,040 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 2,371 0.00 1,011 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 1,176 0.00 418 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 485 0.00 2,710 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 3,150 0.00 1,908 Government National Mortgage Association (GNMA) 6.500% 15/05/2036 2,217 0.00 1,423 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 1,651 0.00 8,536 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 9,905 0.01 771 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 892 0.00 1,615 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 1,878 0.00 5,880 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 6,830 0.00

1,827 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 2,122 0.00 2,656 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 3,087 0.00 1,492 Government National Mortgage Association (GNMA) 6.500% 15/06/2036 1,732 0.00 5,735 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 6,666 0.00 27,214 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 31,601 0.02 18,550 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 21,524 0.01 38,607 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 44,825 0.03 4,129 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 4,800 0.00 23,036 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 26,757 0.02 3,824 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 4,446 0.00 3,099 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 3,599 0.00 5,749 Government National Mortgage Association (GNMA) 6.500% 15/07/2036 6,685 0.00 908 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 1,056 0.00 6,970 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 8,103 0.01 5,229 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 6,068 0.00 12,280 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 14,267 0.01 1,363 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 1,585 0.00 7,019 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 8,152 0.01 2,198 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 2,554 0.00 2,511 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 2,908 0.00 1,532 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 1,778 0.00 644 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 749 0.00 884 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 1,024 0.00 2,365 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 2,749 0.00 1,665 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 1,935 0.00 9,454 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 10,974 0.01 745 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 860 0.00 11,234 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 13,051 0.01 6,681 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 7,760 0.01 1,772 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 2,055 0.00 5,404 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 6,283 0.00 3,017 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 3,507 0.00 6,028 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 7,000 0.00 2,761 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 3,207 0.00 1,088 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 1,265 0.00 13,085 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 15,204 0.01 2,015 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 2,340 0.00 2,228 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 2,585 0.00 5,885 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 6,837 0.00 3,690 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 4,290 0.00 3,342 Government National Mortgage Association (GNMA) 6.500% 15/08/2036 3,882 0.00 491 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 568 0.00 2,135 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 2,467 0.00 1,536 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 1,786 0.00 4,322 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 4,996 0.00 2,517 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 2,910 0.00 268 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 311 0.00 10,088 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 11,719 0.01 21,573 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 24,943 0.01 21,540 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 25,031 0.01 5,489 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 6,347 0.00 1,480 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 1,720 0.00 1,282 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 1,491 0.00 1,175 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 1,359 0.00 811 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 937 0.00 2,661 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 3,078 0.00 47,555 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 55,222 0.03 1,210 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 1,406 0.00 4,333 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 5,016 0.00 2,099 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 2,439 0.00 2,994 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 3,466 0.00 11,071 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 12,816 0.01 14,593 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 16,957 0.01 3,813 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 4,429 0.00 2,745 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 3,190 0.00 7,499 Government National Mortgage Association (GNMA) 6.500% 15/09/2036 8,679 0.01 4,853 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 5,615 0.00 2,447 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 2,831 0.00 2,944 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 3,407 0.00 5,927 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 6,859 0.00 3,949 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 4,568 0.00 2,026 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 2,356 0.00 9,526 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 11,017 0.01 1,134 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 1,311 0.00 1,408 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 1,628 0.00 4,399 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 5,085 0.00 6,170 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 7,137 0.00 1,467 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 1,698 0.00

7,374 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 8,525 0.01 9,708 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 11,235 0.01 899 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 1,040 0.00 4,334 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 4,999 0.00 8,914 Government National Mortgage Association (GNMA) 6.500% 15/10/2036 10,315 0.01 12,856 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 14,873 0.01 3,548 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 4,108 0.00 4,883 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 5,649 0.00 12,320 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 14,214 0.01 5,010 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 5,797 0.00 26,313 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 30,437 0.02 10,853 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 12,541 0.01 11,841 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 13,707 0.01 9,680 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 11,190 0.01 4,933 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 5,710 0.00 4,336 Government National Mortgage Association (GNMA) 6.500% 15/11/2036 5,013 0.00 14,857 Government National Mortgage Association (GNMA) 6.500% 15/12/2036 17,188 0.01 8,478 Government National Mortgage Association (GNMA) 6.500% 15/12/2036 9,814 0.01 8,385 Government National Mortgage Association (GNMA) 6.500% 15/12/2036 9,698 0.01 10,304 Government National Mortgage Association (GNMA) 6.500% 15/12/2036 11,926 0.01 8,777 Government National Mortgage Association (GNMA) 6.500% 15/01/2037 10,150 0.01 6,324 Government National Mortgage Association (GNMA) 6.500% 15/01/2037 7,323 0.00 4,705 Government National Mortgage Association (GNMA) 6.500% 15/01/2037 5,295 0.00 4,312 Government National Mortgage Association (GNMA) 6.500% 15/03/2037 5,009 0.00 4,264 Government National Mortgage Association (GNMA) 6.500% 15/04/2037 4,935 0.00 8,094 Government National Mortgage Association (GNMA) 6.500% 15/04/2037 9,373 0.01 8,972 Government National Mortgage Association (GNMA) 6.500% 15/05/2037 10,392 0.01 109,667 Government National Mortgage Association (GNMA) (c) 5.903% 20/07/2037 3,432 0.00 5,088 Government National Mortgage Association (GNMA) 6.500% 15/08/2037 5,891 0.00 7,331 Government National Mortgage Association (GNMA) 6.500% 15/09/2037 8,494 0.01 26,306 Government National Mortgage Association (GNMA) 6.500% 15/09/2037 30,436 0.02 33,839 Government National Mortgage Association (GNMA) 6.500% 15/10/2037 39,169 0.02 6,745 Government National Mortgage Association (GNMA) 6.500% 15/11/2037 7,817 0.01 5,268 Government National Mortgage Association (GNMA) 6.500% 15/11/2037 6,106 0.00 6,552 Government National Mortgage Association (GNMA) 6.500% 15/11/2037 7,587 0.00 7,452 Government National Mortgage Association (GNMA) 6.500% 15/05/2038 8,636 0.01 7,032 Government National Mortgage Association (GNMA) 6.500% 15/11/2038 8,151 0.01 134,844 Government National Mortgage Association (GNMA) 5.500% 15/01/2039 153,011 0.08 2,451 Government National Mortgage Association (GNMA) 6.500% 15/01/2039 2,835 0.00 5,296 Government National Mortgage Association (GNMA) 6.500% 15/02/2039 6,147 0.00 134,546 Government National Mortgage Association (GNMA) 4.500% 20/12/2039 146,452 0.08 565,472 Government National Mortgage Association (GNMA) 5.000% 20/01/2040 627,703 0.34 34,496 Government National Mortgage Association (GNMA) (c) 5.583% 20/01/2040 5,854 0.00 304,339 Government National Mortgage Association (GNMA) (c) 6.393% 20/01/2040 44,486 0.02 36,036 Government National Mortgage Association (GNMA) 4.500% 20/02/2040 39,225 0.02 508,433 Government National Mortgage Association (GNMA) (c) 5.543% 20/03/2040 77,552 0.04 103,739 Government National Mortgage Association (GNMA) 4.500% 20/05/2040 112,695 0.06 86,987 Government National Mortgage Association (GNMA) (c) 5.733% 20/07/2040 15,780 0.01 357,583 Government National Mortgage Association (GNMA) (c) 5.893% 20/09/2040 53,374 0.03 422,575 Government National Mortgage Association (GNMA) 3.500% 15/02/2042 440,421 0.24 282,788 Government National Mortgage Association (GNMA) 3.500% 15/11/2042 297,251 0.16 373,780 Government National Mortgage Association (GNMA) 4.500% 20/12/2042 53,485 0.03 532,914 Government National Mortgage Association (GNMA) (c) 6.503% 16/08/2043 99,255 0.05 177,440 Government National Mortgage Association (GNMA) (c) 5.893% 20/09/2043 29,244 0.02 7,000,002 Government National Mortgage Association (GNMA) 4.000% 20/02/2044 7,429,846 3.99 193,453 Government National Mortgage Association (GNMA) (c) 5.893% 20/03/2044 32,422 0.02 2,999,899 Government National Mortgage Association (GNMA) 4.000% 20/09/2044 3,185,518 1.71 725,263 Government National Mortgage Association (GNMA) (c) 5.393% 20/09/2044 106,236 0.06 4,000,002 Government National Mortgage Association (GNMA) 4.000% 20/10/2044 4,247,502 2.28 1,000,000 Government National Mortgage Association (GNMA) 4.000% 20/01/2045 1,061,875 0.57 999,900 Government National Mortgage Association (GNMA) 4.000% 20/03/2045 1,061,769 0.57 245,052 Government National Mortgage Association (GNMA) 3.500% 20/04/2045 37,610 0.02 244,244 Government National Mortgage Association (GNMA) 3.500% 20/05/2045 37,837 0.02 357,774 Government National Mortgage Association (GNMA) 3.500% 20/06/2045 55,897 0.03 11,295,830 Government National Mortgage Association (GNMA) 4.000% 20/08/2045 11,994,760 6.45 1,905,470 Government National Mortgage Association (GNMA) 4.500% 20/08/2045 2,049,336 1.10 261,968 Government National Mortgage Association (GNMA) (c) 5.503% 20/08/2045 42,178 0.02 7,236,830 Government National Mortgage Association (GNMA) 4.000% 20/09/2045 7,684,609 4.13 1,955,430 Government National Mortgage Association (GNMA) (c) 5.993% 20/09/2045 360,963 0.19 2,366,497 Government National Mortgage Association (GNMA) 4.000% 20/10/2045 2,514,773 1.35 3,000,000 Government National Mortgage Association (GNMA) TBA (d) 4.000% 17/12/2045 3,182,578 1.71

18,000,000 Government National Mortgage Association (GNMA) TBA (d) 4.000% 21/01/2046 19,061,016 10.24 177,368,827 95.29 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) 177,368,827 95.29 Non-Agencies Asset Backed Obligations - 17.14% Cayman Islands 900,000 Acis CLO 2014-4 Ltd. "4A" 144A (c)(e) 0.000% 01/05/2026 872,552 0.47 1,050,000 Anchorage Capital CLO Ltd. "A1A" 144A (c)(e) 1.773% 28/07/2026 1,034,611 0.56 250,000 Anchorage Capital CLO Ltd. "A2" 144A (c)(e) 2.483% 28/07/2026 246,819 0.13 748,250 Callidus Debt Partners Clo Fund VI Ltd. "A1T" 144A (c)(e) 0.576% 23/10/2021 732,450 0.39 750,000 Cutwater Ltd. "A2" 144A (c)(e) 1.851% 15/07/2027 736,716 0.40 1,250,000 Hildene CLO II Ltd. "A" 144A (c)(e) 1.765% 19/07/2026 1,230,063 0.66 750,000 Monroe Capital BSL CLO Ltd. "1A" 144A (c)(e) 1.931% 22/05/2027 730,822 0.39 2,050,000 Regatta Funding Ltd. "1A" 144A (c)(e) 0.000% 25/07/2026 2,007,829 1.08 900,000 Silvermore CLO Ltd. "A1" 144A (c)(e) 1.812% 15/05/2026 884,705 0.47 2,050,000 Trinitas CLO Ltd. "2A" 144A (c)(e) 0.000% 15/07/2026 1,990,974 1.07 10,467,541 5.62 United States 4,286,431 Banc of America Commercial Mortgage Trust "A4" 5.414% 10/09/2047 4,325,821 2.32 812,125 Bear Stearns Commercial Mortgage Securities "A1A" 5.533% 11/09/2041 827,720 0.45 769,856 Brazos Higher Education Authority, Inc. "A2" (c) 1.182% 25/02/2030 768,896 0.41 4,213,914 Citigroup Commercial Mortgage Trust "A3B" (c) 5.898% 10/12/2049 4,212,017 2.26 300,000 COMM Mortgage Trust "A4" 3.147% 15/08/2045 306,833 0.17 5,028 Credit Suisse First Boston Mortgage Securities Corp. "1A2" 5.250% 25/07/2033 155 0.00 105,941 Credit Suisse First Boston Mortgage Securities Corp. "2X" (c)(f) 0.000% 25/07/2033 0 0.00 115,411 Credit Suisse First Boston Mortgage Securities Corp. "2X" (c)(f) 0.000% 25/08/2033 0 0.00 668 FNT Mortgage-Backed Pass-Through Certificate Trust "1A1" 6.750% 21/09/2031 672 0.00 700,000 Ford Credit Auto Owner Trust "A" 144A (e) 2.120% 15/07/2026 698,030 0.38 403,154 Goal Capital Funding Trust "A3" (c) 0.416% 25/09/2028 398,371 0.21 58,919 Impac CMB Trust "1A" (c) 0.941% 25/10/2034 48,213 0.03 450,893 KnowledgeWorks Foundation "A" (c) 1.343% 25/02/2042 453,978 0.24 67,668 MASTR Adjustable Rate Mortgages Trust "3AX" (c) 0.123% 25/08/2033 421 0.00 15,097 MASTR Adjustable Rate Mortgages Trust "4AX" (c) 0.320% 25/07/2033 176 0.00 1,050,000 Nelnet Student Loan Trust "A5" (c) 0.488% 23/08/2027 1,024,440 0.55 1,500,000 Nelnet Student Loan Trust "A5" (c) 0.420% 25/01/2030 1,470,240 0.79 432,432 New Residential Mortgage Loan Trust "A1" 144A (c) 3.750% 28/05/2052 446,307 0.24 315,685 Scholar Funding Trust "A" 144A (c)(e) 1.073% 28/10/2041 306,524 0.16 7,108 Securitized Asset Backed Receivables LLC Trust "A2" (c) 0.921% 25/08/2034 6,636 0.00 110,156 Sequoia Mortgage Trust "1A2" (c) 1.116% 20/07/2033 104,929 0.06 1,050,000 SLC Student Loan Trust "A5" (c) 0.437% 15/09/2026 1,017,973 0.55 500,000 SLM Student Loan Trust "A2" (c) 0.571% 25/10/2021 496,351 0.27 1,561,102 SLM Student Loan Trust "A5" (c) 0.430% 25/07/2025 1,537,778 0.83 624,915 SLM Student Loan Trust "A5" (c) 0.420% 27/10/2025 622,887 0.33 1,725,523 Structured Asset Mortgage Investments Trust "A2" (c) 1.594% 25/02/2036 1,473,753 0.79 561,403 Student Loan Consolidation Center "A" 144A (c)(e) 1.441% 25/10/2027 562,927 0.30 327,370 Wells Fargo Mortgage Backed Securities Trust "3A2" (c) 2.725% 25/06/2035 332,563 0.18 21,444,611 11.52 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) 31,912,152 17.14 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) 209,980,993 112.81 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) 209,980,993 112.81 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)

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 - 0.01% Commitment Market Value Unrealised Gain Shareholders' Number of Contracts Security Description 47 US Treasury Long Bond Futures 21/03/2016 Long 7,230,656 5,405 0.00 103 US Treasury Notes 10YR Futures 21/03/2016 Long 13,029,500 29,826 0.02 20,260,156 35,231 0.02 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 35,231 0.02 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 21/12/2015 357,489 0.19 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 357,489 0.19 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 72,356 109,540 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 - 0.04% 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% 02/09/2022 66,019 0.03 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 66,019 0.03 Credit Default Swaps 10,000,000 Floating (CMBX.NA.AAA.7 Index) Fixed 0.500% 17/01/2047 2,942 0.00 7,000,000 Floating (CMBX.NA.AAA.7 Index) Fixed 0.500% 17/01/2047 66,388 0.04 5,000,000 Floating (CMBX.NA.AAA.7 Index) Fixed 0.500% 17/01/2047 57,412 0.03 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 126,742 0.07 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 192,761 0.10 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)

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) 200,087,958 107.50 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 186,134,440 100.00 T OT AL I N V E ST M EN T S Total Investments excluding derivatives (cost 208,966,357) 209,980,993 112.81 Market value of covered forward mortgage backed securities (cost (9,166,705)) (9,217,109) (4.95) Unrealised gain on futures contracts 35,231 0.02 Unrealised loss on futures contracts (14,256) (0.01) Unrealised gain on forward currency contracts held for hedging purposes 357,489 0.19 Unrealised loss on forward currency contracts held for hedging purposes (1,126,623) (0.60) Unrealised gain on swap contracts 192,761 0.10 Unrealised loss on swap contracts (120,528) (0.06) Other Assets and Liabilities (13,953,518) (7.50) Shareholders' 186,134,440 100.00 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 2015. 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 2015. 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 1933. 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.