# EDGAR Filing Document

**Accession Number:** 0001548609
**File Stem:** 0000894189-25-006398
**Filing Date:** 2025-8
**Character Count:** 135978
**Document Hash:** 0a6d8889d297d77229c4be1ff4efbd37
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-25-006398.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0000894189-25-006398

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20250630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brown Advisory Funds
- **CENTRAL INDEX KEY:** 0001548609

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22708
- **FILM NUMBER:** 251277284

**BUSINESS ADDRESS:**
- **STREET 1:** 901 SOUTH BOND STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231
- **BUSINESS PHONE:** 410-537-5400

**MAIL ADDRESS:**
- **STREET 1:** 901 SOUTH BOND STREET
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21231

## Series and Classes Contracts Data

### Brown Advisory Mortgage Securities Fund (Series ID: S000043634)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000135279 | Institutional Shares | BAFZX           |
| C000135280 | Investor Shares      | BIAZX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brown Advisory Funds

- **b. Investment Company Act file number:** 811-22708

- **c. CIK number of Registrant:** 0001548609

- **d. LEI of Registrant:** 254900ZS9LW6H6GM4251

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

  - **Street Address 1:** 901 South Bond Street, Suite 400

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21231

  - **Telephone number:** 4105375400

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

- **a. Name of Series:** Brown Advisory Mortgage Securities Fund

- **b. EDGAR series identifier (if any):** S000043634

- **c. LEI of Series:** 549300WNB7ML6WH4C484

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

- **a. Date of fiscal year-end:** 2025-06-30

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $328327430.76

**Total Liabilities:** $38975230.30

**Net Assets:** $289352200.46

**Delayed Delivery Securities:** $37462810.31

**Cash Not Reported:** $462359.79

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -16037.070000000000 | **1-Year:** 2446.700000000000 | **5-Year:** 3536.270000000000 | **10-Year:** 43858.350000000000 | **30-Year:** 127468.200000000000

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

- **3-Month:** 0.000000000000 | **1-Year:** 89.050000000000 | **5-Year:** 167.400000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000135279 | 0.39%                | -0.95%               | 1.72%                |
| Class ID C000135280 | 0.38%                | -0.95%               | 1.60%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1038702.82             | $1032802.82                                |
| Month 2  | $571358.78               | $-4916870.20                               |
| Month 3  | $-563687.19              | $4608105.18                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                           | Title                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132E0HR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1054383 | PA      | $1062803.77   | 0.37%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132WW3V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3108165 | PA      | $2344846.51   | 0.81%             | 2038-04-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133AP3T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1338898 | PA      | $1169093.47   | 0.40%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133AXMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2398788 | PA      | $1902952.02   | 0.66%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGUE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388246 | PA      | $325931.00    | 0.11%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGVP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3107821 | PA      | $2732920.84   | 0.94%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1123133 | PA      | $933557.51    | 0.32%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XJQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2445144 | PA      | $2156569.30   | 0.75%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XKAH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2525847 | PA      | $2365792.94   | 0.82%             | 2037-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XL3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3444819 | PA      | $2733003.42   | 0.94%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XLML9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3253040 | PA      | $2716821.54   | 0.94%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XLVU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1524918 | PA      | $1266073.94   | 0.44%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XMB47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2838951 | PA      | $2841548.47   | 0.98%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XN2U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2655440 | PA      | $2665122.67   | 0.92%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XNP65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3030592 | PA      | $2558403.07   | 0.88%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPCF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1369503 | PA      | $1300677.22   | 0.45%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2615654 | PA      | $2581164.99   | 0.89%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1789840 | PA      | $1839633.57   | 0.64%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPMB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1459270 | PA      | $1364816.92   | 0.47%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPPG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1399717 | PA      | $1411492.58   | 0.49%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1230432 | PA      | $1289681.77   | 0.45%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XQXV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2606214 | PA      | $2657834.98   | 0.92%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XRE50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1409188 | PA      | $1417412.04   | 0.49%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XRMQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1066820 | PA      | $889350.75    | 0.31%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31410DQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13858 | PA      | $14196.62     | 0.00%             | 2036-07-01      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31410KSS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24289 | PA      | $24493.13     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31410TLT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185178 | PA      | $186604.09    | 0.06%             | 2036-07-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378YND7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88301 | PA      | $1680.61      | 0.00%             | 2028-11-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379K7D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    911815 | PA      | $18569.67     | 0.01%             | 2057-03-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379TK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    544479 | PA      | $62844.71     | 0.02%             | 2038-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379UMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1814135 | PA      | $37378.44     | 0.01%             | 2057-07-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379UQN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1191817 | PA      | $51402.24     | 0.02%             | 2057-11-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379UXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1926324 | PA      | $81313.01     | 0.03%             | 2058-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379XBY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    354462 | PA      | $41448.12     | 0.01%             | 2040-01-20      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379YUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135166 | PA      | $142445.10    | 0.05%             | 2040-12-20      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380H3F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1623170 | PA      | $225081.47    | 0.08%             | 2047-11-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380TG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    594923 | PA      | $67351.41     | 0.02%             | 2043-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380VR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1607476 | PA      | $224596.34    | 0.08%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136ADQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217954 | PA      | $17202.23     | 0.01%             | 2042-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136AJEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    827657 | PA      | $80259.03     | 0.03%             | 2034-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136AN4S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267138 | PA      | $44679.82     | 0.02%             | 2045-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136B3SX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97075 | PA      | $96337.21     | 0.03%             | 2047-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23671 | PA      | $24358.15     | 0.01%             | 2037-09-01      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413TV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57606 | PA      | $60921.67     | 0.02%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413WGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206175 | PA      | $205539.97    | 0.07%             | 2029-07-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413XSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713625 | PA      | $744803.78    | 0.26%             | 2028-10-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31416B4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15645 | PA      | $15997.73     | 0.01%             | 2037-05-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31416VUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144819 | PA      | $139825.84    | 0.05%             | 2036-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378PP77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279401 | PA      | $34083.34     | 0.01%             | 2044-01-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378TVK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    376363 | PA      | $39017.12     | 0.01%             | 2043-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378XPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1012454 | PA      | $21078.68     | 0.01%             | 2056-01-16      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B72G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2493856 | PA      | $2324938.04   | 0.80%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B7M70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2590374 | PA      | $2415465.46   | 0.83%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B97K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2516880 | PA      | $2413499.73   | 0.83%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B9M50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    832962 | PA      | $698920.66    | 0.24%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B9VP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    494416 | PA      | $397576.95    | 0.14%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133BBTP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2889291 | PA      | $2604000.33   | 0.90%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133BM2E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2524821 | PA      | $2540724.00   | 0.88%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133BMRN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2021503 | PA      | $2034305.56   | 0.70%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KL2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3448099 | PA      | $2863235.06   | 0.99%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KMT47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3240791 | PA      | $2852590.28   | 0.99%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KNQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1641938 | PA      | $1379224.82   | 0.48%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KNW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3330957 | PA      | $2672591.35   | 0.92%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KPY85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2493297 | PA      | $2464890.56   | 0.85%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KR5L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1362295 | PA      | $1398142.35   | 0.48%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133L8U29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2847404 | PA      | $2624550.80   | 0.91%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3133T6T76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        16 | PA      | $15.75        | 0.00%             | 2026-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137AV4U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    762101 | PA      | $537223.90    | 0.19%             | 2042-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FFSV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2336680 | PA      | $1726902.04   | 0.60%             | 2051-03-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 31427MWR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2043091 | PA      | $2080784.68   | 0.72%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138EQQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311494 | PA      | $295062.20    | 0.10%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138LMZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $146873.09    | 0.05%             | 2028-04-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138LPA97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    973245 | PA      | $858308.50    | 0.30%             | 2048-08-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138MTKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2814328 | PA      | $2760699.51   | 0.95%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138WAST5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135061 | PA      | $130170.15    | 0.04%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138WBQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1092274 | PA      | $1058727.12   | 0.37%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138XKS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215243 | PA      | $207337.84    | 0.07%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138XWF37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76888 | PA      | $73370.13     | 0.03%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138XZSY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254560 | PA      | $240278.98    | 0.08%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138YDM89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151267 | PA      | $148910.35    | 0.05%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138YVTL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61823 | PA      | $59054.05     | 0.02%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10258 | PA      | $10488.80     | 0.00%             | 2032-04-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XFY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    929380 | PA      | $748458.71    | 0.26%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31405AQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87144 | PA      | $89562.88     | 0.03%             | 2034-07-01      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31406TTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2440 | PA      | $2477.99      | 0.00%             | 2035-03-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31407PSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41621 | PA      | $42561.09     | 0.01%             | 2035-10-01      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31407QHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17618 | PA      | $17948.63     | 0.01%             | 2035-09-01      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31407VNX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80103 | PA      | $78823.05     | 0.03%             | 2035-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31408FSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139515 | PA      | $138185.78    | 0.05%             | 2035-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31409A5J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7612 | PA      | $7753.71      | 0.00%             | 2036-03-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31409D6D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6421 | PA      | $6566.80      | 0.00%             | 2036-04-01      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31409SKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5536 | PA      | $5729.65      | 0.00%             | 2036-03-01      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31409X4A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30277 | PA      | $30450.84     | 0.01%             | 2036-05-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140A0A33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1697807 | PA      | $1741184.39   | 0.60%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140A5MU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2360556 | PA      | $2445930.11   | 0.85%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140E0VW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    793946 | PA      | $753987.78    | 0.26%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140E8CL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473248 | PA      | $463367.78    | 0.16%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140EV4Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201023 | PA      | $200737.95    | 0.07%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140F2CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300523 | PA      | $294623.77    | 0.10%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140F8LX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122283 | PA      | $119352.44    | 0.04%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140FCXT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416151 | PA      | $406698.69    | 0.14%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140FGRV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159504 | PA      | $156341.96    | 0.05%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140GWRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193657 | PA      | $186924.19    | 0.06%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140HAF54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134181 | PA      | $130827.46    | 0.05%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140HJU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176588 | PA      | $180198.41    | 0.06%             | 2048-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140HM4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274452 | PA      | $280062.94    | 0.10%             | 2048-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent          | American Homes 4 Rent 2015-SFR2 Trust                        | CUSIP: 02666BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $249172.48    | 0.09%             | 2052-10-17      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2024-VLT4                                           | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1425000 | PA      | $1426460.48   | 0.49%             | 2029-07-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Commercial Mortgage Trust 2024-VLT5                       | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570000 | PA      | $577395.75    | 0.20%             | 2046-11-13      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2025-VLT6                                           | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    915000 | PA      | $915819.93    | 0.32%             | 2042-03-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust            | CNH Equipment Trust 2023-B                                   | CUSIP: 12666DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    371213 | PA      | $371425.65    | 0.13%             | 2027-02-16      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trus | Carmax Select Receivables Trust 2024-A                       | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271717 | PA      | $272694.87    | 0.09%             | 2027-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| COLORADO ST HLTH FACS AUTH REV | Colorado Health Facilities Authority                         | CUSIP: 19648FRX4<br>LEI: 5493002JB6DRFRZPEQ21 | Long             | DBT              | MUN               | US        |    365000 | PA      | $356235.58    | 0.12%             | 2026-12-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31371NU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160132 | PA      | $160744.78    | 0.06%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31376HVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2978 | PA      | $3076.09      | 0.00%             | 2026-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31376HY23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13847 | PA      | $13901.02     | 0.00%             | 2027-01-01      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31376SEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5633 | PA      | $5639.23      | 0.00%             | 2027-04-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Banc of California Multifamily | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FMUJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69853 | PA      | $70136.33     | 0.02%             | 2046-04-25      | Variable      | 7.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31381P3C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543493 | PA      | $583192.68    | 0.20%             | 2041-01-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31381UA56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    736414 | PA      | $709941.65    | 0.25%             | 2032-03-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31384DFT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6117 | PA      | $6157.76      | 0.00%             | 2029-11-01      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31389LS26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6216 | PA      | $6421.86      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138AJG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697937 | PA      | $697816.95    | 0.24%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138EG7L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34687 | PA      | $35067.09     | 0.01%             | 2031-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138EGNZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136601 | PA      | $141987.31    | 0.05%             | 2039-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD / SHAY FINAN | Small Business Administration Pools                          | CUSIP: 83165AQE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2068 | PA      | $2050.27      | 0.00%             | 2026-05-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31412ECR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10513 | PA      | $10818.34     | 0.00%             | 2035-11-01      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31412NYC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74414 | PA      | $77402.14     | 0.03%             | 2039-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413B5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21794 | PA      | $22151.94     | 0.01%             | 2037-08-01      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27576 | PA      | $28067.65     | 0.01%             | 2037-08-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    557508 | PA      | $488381.36    | 0.17%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DWC92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4128808 | PA      | $3737766.15   | 1.29%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    959559 | PA      | $945161.71    | 0.33%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust           | Verizon Master Trust Series 2024-5                           | CUSIP: 92348KDB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2935000 | PA      | $3014866.34   | 1.04%             | 2032-06-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-A Owner Trust                   | CUSIP: 89238DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2012466.40   | 0.70%             | 2028-10-16      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 2019-KF73 Mortgage Trust                               | CUSIP: 30313BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    544733 | PA      | $504314.20    | 0.17%             | 2029-11-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 2020-KF74 Mortgage Trust                               | CUSIP: 30313MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490858 | PA      | $479138.30    | 0.17%             | 2027-01-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128JRSQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2814 | PA      | $2857.55      | 0.00%             | 2037-02-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128LUGM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13365 | PA      | $13642.22     | 0.00%             | 2035-05-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128NGEV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9934 | PA      | $10287.75     | 0.00%             | 2036-10-01      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128NH2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16200 | PA      | $16644.84     | 0.01%             | 2037-06-01      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128Q3ML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12235 | PA      | $12633.21     | 0.00%             | 2036-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QSQA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32576 | PA      | $33280.45     | 0.01%             | 2037-10-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                           | CUSIP: 31325XJ35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644699 | PA      | $102526.47    | 0.04%             | 2049-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132CWSU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2704163 | PA      | $2544909.32   | 0.88%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132CXJY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1970113 | PA      | $2015486.28   | 0.70%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DM5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2703538 | PA      | $2259805.25   | 0.78%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DNZE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1420232 | PA      | $1370990.12   | 0.47%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DPBP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2907525 | PA      | $2790193.76   | 0.96%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DQ2G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2610134 | PA      | $2634078.86   | 0.91%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DQ2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1211475 | PA      | $1267385.63   | 0.44%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31335YWN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43517 | PA      | $44676.11     | 0.02%             | 2037-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31335YXJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179237 | PA      | $182492.32    | 0.06%             | 2037-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31392X2G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24708 | PA      | $25450.44     | 0.01%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31395JU20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119856 | PA      | $122350.01    | 0.04%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31395KND1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427616 | PA      | $429558.86    | 0.15%             | 2034-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31396RBT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242244 | PA      | $252866.46    | 0.09%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31397FRW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148736 | PA      | $156300.92    | 0.05%             | 2037-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F020679<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21445000 | PA      | $16981359.43  | 5.87%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F022675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9145000 | PA      | $7583794.22   | 2.62%             | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F032674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2044000 | PA      | $1840498.85   | 0.64%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F040677<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   1600000 | PA      | $1487937.90   | 0.51%             | 2055-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    750000 | PA      | $717491.89    | 0.25%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1350000 | PA      | $1323181.63   | 0.46%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2875000 | PA      | $2874791.48   | 0.99%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F060675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1560000 | PA      | $1585395.38   | 0.55%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC       | FHF Issuer Trust 2024-2                                      | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    736347 | PA      | $745441.39    | 0.26%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2017-T1                             | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1981531 | PA      | $1928333.09   | 0.67%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FCL69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302942 | PA      | $298269.08    | 0.10%             | 2026-09-25      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FHQB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432042 | PA      | $431638.61    | 0.15%             | 2047-10-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2003-W10                              | CUSIP: 31393DUU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4796 | PA      | $4508.08      | 0.00%             | 2043-06-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2003-W12                                    | CUSIP: 31393ELF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7647 | PA      | $7673.18      | 0.00%             | 2043-06-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2003-W12                                    | CUSIP: 31393ELG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1275 | PA      | $1276.75      | 0.00%             | 2043-06-25      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2003-W12                                    | CUSIP: 31393ELQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5168 | PA      | $5141.59      | 0.00%             | 2043-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2003-W12                                    | CUSIP: 31393ELR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4430 | PA      | $4322.01      | 0.00%             | 2043-06-25      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                              | CUSIP: 31396PGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66190 | PA      | $66291.82     | 0.02%             | 2032-10-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2336108 | PA      | $2048632.36   | 0.71%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XF4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2465276 | PA      | $2237888.96   | 0.77%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XFA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2784242 | PA      | $2312668.93   | 0.80%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XFL66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3631839 | PA      | $2922176.92   | 1.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                   | CUSIP: 31846V567<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |  13447893 | NS      | $13447893.07  | 4.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 3620AE5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15458 | PA      | $15261.05     | 0.01%             | 2029-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 3622A2YL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13286 | PA      | $13575.70     | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 36291BHW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76927 | PA      | $78967.51     | 0.03%             | 2028-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140HRND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2616876 | PA      | $2616010.05   | 0.90%             | 2028-05-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140JMPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101653 | PA      | $103208.13    | 0.04%             | 2049-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140JMPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175782 | PA      | $178714.71    | 0.06%             | 2048-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140KDAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1870438 | PA      | $1658897.17   | 0.57%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36176MPJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151126 | PA      | $150859.45    | 0.05%             | 2031-08-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36176MPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171643 | PA      | $169192.07    | 0.06%             | 2036-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36178YSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431105 | PA      | $440751.03    | 0.15%             | 2042-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179V3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    479106 | PA      | $443463.97    | 0.15%             | 2036-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179V5Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    459834 | PA      | $425647.13    | 0.15%             | 2036-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3135569 | PA      | $2557978.86   | 0.88%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179VKK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1023940 | PA      | $873593.23    | 0.30%             | 2050-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2450635 | PA      | $2177606.37   | 0.75%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1512883 | PA      | $1233731.80   | 0.43%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3154561 | PA      | $2571776.92   | 0.89%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179WBX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3253913 | PA      | $2652764.08   | 0.92%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3045104 | PA      | $2590942.72   | 0.90%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2849979 | PA      | $2525513.92   | 0.87%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179WJQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3188637 | PA      | $2599487.84   | 0.90%             | 2051-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2781032 | PA      | $2464422.95   | 0.85%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179XTB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3199128 | PA      | $3084114.95   | 1.07%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 3617K1J87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    824652 | PA      | $770660.14    | 0.27%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 3617MQC46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    970031 | PA      | $809560.51    | 0.28%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 3617XJMU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1487851 | PA      | $1430803.35   | 0.49%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1569851 | PA      | $1543496.91   | 0.53%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36202D2W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244931 | PA      | $253234.09    | 0.09%             | 2033-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36202DQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166031 | PA      | $172589.29    | 0.06%             | 2031-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36202EUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89372 | PA      | $91413.48     | 0.03%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36241KMW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130463 | PA      | $133335.60    | 0.05%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38374J6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244239 | PA      | $243947.92    | 0.08%             | 2034-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38374NMU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46521 | PA      | $46852.56     | 0.02%             | 2036-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38375CE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    256224 | PA      | $265579.05    | 0.09%             | 2038-04-20      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38375GYQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    831612 | PA      | $688814.66    | 0.24%             | 2042-08-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38376UE54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203314 | PA      | $19602.30     | 0.01%             | 2039-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38376UF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    615784 | PA      | $101084.20    | 0.03%             | 2040-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38377D2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411828 | PA      | $33593.17     | 0.01%             | 2040-01-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38377TFK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343944 | PA      | $350552.06    | 0.12%             | 2039-03-20      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378AJ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    682000 | PA      | $556383.65    | 0.19%             | 2040-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378GRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    682007 | PA      | $116666.97    | 0.04%             | 2041-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent          | American Homes 4 Rent 2015-SFR2 Trust                        | CUSIP: 02666BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202777 | PA      | $201896.93    | 0.07%             | 2052-10-17      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31281LCG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85154 | PA      | $86043.09     | 0.03%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31281LCP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119674 | PA      | $120623.51    | 0.04%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31281LCT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251424 | PA      | $256740.60    | 0.09%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53150 | PA      | $54661.50     | 0.02%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31286DL33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64357 | PA      | $65884.27     | 0.02%             | 2037-10-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31287SD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39414 | PA      | $40756.23     | 0.01%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128K7LJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28208 | PA      | $28683.30     | 0.01%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128M6LV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89259 | PA      | $93733.75     | 0.03%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128M6QG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78986 | PA      | $82946.62     | 0.03%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128MJ4N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72090 | PA      | $73696.68     | 0.03%             | 2048-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128MJL65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46674 | PA      | $47342.52     | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128P7QT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63507 | PA      | $63840.69     | 0.02%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128P8A35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283035 | PA      | $269115.81    | 0.09%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31292KYY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216267 | PA      | $222007.97    | 0.08%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31296NWR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28319 | PA      | $29060.55     | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 312979C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57790 | PA      | $59515.63     | 0.02%             | 2037-01-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 312979DD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74760 | PA      | $76848.13     | 0.03%             | 2037-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 312979EF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37055 | PA      | $38076.17     | 0.01%             | 2037-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 312979FR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75184 | PA      | $76549.77     | 0.03%             | 2037-05-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31298QJX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29595 | PA      | $30276.88     | 0.01%             | 2030-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31321XCK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118279 | PA      | $121062.16    | 0.04%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3132J4HJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74102 | PA      | $74568.92     | 0.03%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    479488 | PA      | $463560.69    | 0.16%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3132LPTE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196983 | PA      | $193308.09    | 0.07%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3132LPTW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147148 | PA      | $143109.36    | 0.05%             | 2035-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31335Y3H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63532 | PA      | $64794.70     | 0.02%             | 2037-11-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31390CLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6437 | PA      | $6547.77      | 0.00%             | 2032-03-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31390T6S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21270 | PA      | $21512.86     | 0.01%             | 2031-08-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31391BS32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26460 | PA      | $27114.99     | 0.01%             | 2032-09-01      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31402ASA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23400 | PA      | $23916.63     | 0.01%             | 2031-09-01      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31402XT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12960 | PA      | $13304.65     | 0.00%             | 2033-12-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31403CNW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1441 | PA      | $1446.93      | 0.00%             | 2033-11-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31403DLF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14850 | PA      | $15207.96     | 0.01%             | 2036-05-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31403DSF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51270 | PA      | $53354.55     | 0.02%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31403K3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4707 | PA      | $4819.86      | 0.00%             | 2033-11-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31404CEP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20294 | PA      | $20523.93     | 0.01%             | 2034-02-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31404P6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21648 | PA      | $22252.69     | 0.01%             | 2034-04-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140MHSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3422499 | PA      | $2712910.29   | 0.94%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140MJBA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1827315 | PA      | $1655934.94   | 0.57%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140MRA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    647958 | PA      | $606737.67    | 0.21%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1915937 | PA      | $1882365.28   | 0.65%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QMKA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1554497 | PA      | $1293867.30   | 0.45%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QMZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2636770 | PA      | $2210005.55   | 0.76%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QMZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2686379 | PA      | $2249297.74   | 0.78%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QNC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3394102 | PA      | $2693245.21   | 0.93%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QNGT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2117761 | PA      | $1921656.36   | 0.66%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QNNV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3453486 | PA      | $2914809.53   | 1.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QPH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1520879 | PA      | $1429713.08   | 0.49%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QUG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2877846 | PA      | $2843539.72   | 0.98%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QUNL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1362401 | PA      | $1389018.75   | 0.48%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140W0L37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2755829 | PA      | $2771916.80   | 0.96%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XCWQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3327650 | PA      | $2891838.35   | 1.00%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XDDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1802558 | PA      | $1446599.43   | 0.50%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1642747 | PA      | $1380039.82   | 0.48%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XDZ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3332301 | PA      | $3024945.73   | 1.05%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179WV39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275525 | PA      | $289340.67    | 0.10%             | 2052-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1865991 | PA      | $1802558.19   | 0.62%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3105222 | PA      | $3068674.68   | 1.06%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179XS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2847385 | PA      | $2442373.59   | 0.84%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 36201QC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461524 | PA      | $461215.90    | 0.16%             | 2029-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418CR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200087 | PA      | $1214710.89   | 0.42%             | 2037-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039813 | PA      | $826326.91    | 0.29%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    875076 | PA      | $698570.35    | 0.24%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418ECB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1596611 | PA      | $1443894.52   | 0.50%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140KNTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2486935 | PA      | $1981435.09   | 0.68%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140KSAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1185347 | PA      | $944404.27    | 0.33%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140L4HL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735494 | PA      | $590254.28    | 0.20%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140M5GK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2313626 | PA      | $1833659.23   | 0.63%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38381AY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    363268 | PA      | $349156.68    | 0.12%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38382BQH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    579422 | PA      | $360876.65    | 0.12%             | 2049-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38382PG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    552000 | PA      | $235508.32    | 0.08%             | 2051-03-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38382WGR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1840284 | PA      | $1298226.23   | 0.45%             | 2051-07-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38383AVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1049804 | PA      | $666558.47    | 0.23%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38383CHC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1791418 | PA      | $1193109.02   | 0.41%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38383FP31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2515250 | PA      | $1725795.82   | 0.60%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust                               | CUSIP: 44935XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1695000 | PA      | $1711484.38   | 0.59%             | 2030-07-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust      | Kubota Credit Owner Trust 2025-2                             | CUSIP: 50117LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    855000 | PA      | $856533.02    | 0.30%             | 2029-09-17      | Fixed         | 4.42%                 | No            |                  3 | On Loan: No      |
| Kubota Credit Owner Trust      | Kubota Credit Owner Trust 2025-2                             | CUSIP: 50117LAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865000 | PA      | $873163.09    | 0.30%             | 2030-11-15      | Fixed         | 4.57%                 | No            |                  3 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Sep25                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        11 | NC      | $14285.02     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Sep25                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -6 | NC      | $-5262.42     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Sep25                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        19 | NC      | $32233.26     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Sep25                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -104 | NC      | $-471488.16   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Sep25                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        32 | NC      | $91678.96     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Sep25                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -41 | NC      | $-220792.48   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136B4Y51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700153 | PA      | $130291.39    | 0.05%             | 2049-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136BKUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4173696 | PA      | $261554.70    | 0.09%             | 2035-02-25      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31392BKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47582 | PA      | $48038.49     | 0.02%             | 2032-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31393EKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184701 | PA      | $191205.25    | 0.07%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31394US60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431180 | PA      | $450469.53    | 0.16%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC       | FHF Issuer Trust 2024-3                                      | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    963978 | PA      | $967158.09    | 0.33%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31281AST0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23470 | PA      | $23645.17     | 0.01%             | 2029-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGAY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1301635 | PA      | $1173241.52   | 0.41%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3188856 | PA      | $2973358.23   | 1.03%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1411510 | PA      | $1273644.49   | 0.44%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1967968 | PA      | $1705036.88   | 0.59%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2023-C                          | CUSIP: 344940AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137244 | PA      | $137323.59    | 0.05%             | 2026-09-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-B                          | CUSIP: 34531QAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1795000 | PA      | $1829298.14   | 0.63%             | 2030-05-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31395BP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192746 | PA      | $200451.19    | 0.07%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31396LPU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621743 | PA      | $648278.69    | 0.22%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31396PW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271394 | PA      | $279304.66    | 0.10%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31396YFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360327 | PA      | $366618.30    | 0.13%             | 2038-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31397NPL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437789 | PA      | $61399.09     | 0.02%             | 2039-04-25      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136A3ZF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42219 | PA      | $41891.03     | 0.01%             | 2042-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136A4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343398 | PA      | $22453.81     | 0.01%             | 2042-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136A6YL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680217 | PA      | $693879.62    | 0.24%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136AALB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201219 | PA      | $3729.90      | 0.00%             | 2027-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136ACR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16027 | PA      | $404.76       | 0.00%             | 2028-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418MDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145415 | PA      | $154510.75    | 0.05%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418MPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116106 | PA      | $119043.70    | 0.04%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418NBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162962 | PA      | $167085.51    | 0.06%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FM2D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76995 | PA      | $75532.83     | 0.03%             | 2048-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FM5Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567117 | PA      | $522334.72    | 0.18%             | 2049-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FXW79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1777533 | PA      | $1383419.74   | 0.48%             | 2050-03-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380YYX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221340 | PA      | $209515.34    | 0.07%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DQSX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3197316 | PA      | $2671766.24   | 0.92%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DSGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3672820 | PA      | $3765993.61   | 1.30%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DTFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3004887 | PA      | $2645472.84   | 0.91%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-29

**Name of Applicant:** Brown Advisory Funds

**Signature:** /s/ Jason T. Meix

**Name of Signer:** Jason T. Meix

**Title:** Principal Financial Officer