# EDGAR Filing Document

**Accession Number:** 0001548609
**File Stem:** 0000894189-25-015720
**Filing Date:** 2025-11
**Character Count:** 190332
**Document Hash:** e30a4d2db0c639c2529064cb6cf0cba6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-25-015720.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0000894189-25-015720

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260630

**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:** 251527268

**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           |

## Nport-Ex

---

| | | | |
|:---|:---|:---|:---|
| **Brown Advisory Mortgage Securities Fund** | **Brown Advisory Mortgage Securities Fund** | **Brown Advisory Mortgage Securities Fund** | **Brown Advisory Mortgage Securities Fund** |
| **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** | **Schedule of Investments** |
| **September 30, 2025 (Unaudited)** | **September 30, 2025 (Unaudited)** | **September 30, 2025 (Unaudited)** | **September 30, 2025 (Unaudited)** |
| **AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES - 102.3%** | **AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES - 102.3%** | **Par** | **Value**  |
|  Fannie Mae Grantor Trust, Series 2017-T1, Class A, 2.90%, 06/25/2027 | Fannie Mae Grantor Trust, Series 2017-T1, Class A, 2.90%, 06/25/2027 | 1981531 | $1941521 |
| Fannie Mae Whole Loan | Fannie Mae Whole Loan | Fannie Mae Whole Loan | Fannie Mae Whole Loan |
| &nbsp;&nbsp; Series 2003-W10, Class 3A5, 4.30%, 06/25/2043 | &nbsp;&nbsp; Series 2003-W10, Class 3A5, 4.30%, 06/25/2043 | 4601 | 4339 |
| &nbsp;&nbsp; Series 2003-W12, Class 1A8, 4.55%, 06/25/2043 | &nbsp;&nbsp; Series 2003-W12, Class 1A8, 4.55%, 06/25/2043 | 7394 | 7427 |
| &nbsp;&nbsp; Series 2003-W12, Class 1A9, 4.48%, 06/25/2043 | &nbsp;&nbsp; Series 2003-W12, Class 1A9, 4.48%, 06/25/2043 | 1232 | 1236 |
| &nbsp;&nbsp; Series 2003-W12, Class 2A6, 5.00%, 06/25/2043 | &nbsp;&nbsp; Series 2003-W12, Class 2A6, 5.00%, 06/25/2043 | 4949 | 4933 |
| &nbsp;&nbsp; Series 2003-W12, Class 2A7, 4.68%, 06/25/2043 | &nbsp;&nbsp; Series 2003-W12, Class 2A7, 4.68%, 06/25/2043 | 4242 | 4149 |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |
| &nbsp;&nbsp; Pool 1G2249, 6.78% (RFUCCT1Y + 1.78%), 10/01/2037 | &nbsp;&nbsp; Pool 1G2249, 6.78% (RFUCCT1Y + 1.78%), 10/01/2037 | 32168 | 32918 |
| &nbsp;&nbsp; Pool 1H1348, 6.29% (1 yr. CMT Rate + 2.14%), 10/01/2036 | &nbsp;&nbsp; Pool 1H1348, 6.29% (1 yr. CMT Rate + 2.14%), 10/01/2036 | 9356 | 9701 |
| &nbsp;&nbsp; Pool 1J0204, 6.75% (RFUCCT1Y + 1.75%), 05/01/2035 | &nbsp;&nbsp; Pool 1J0204, 6.75% (RFUCCT1Y + 1.75%), 05/01/2035 | 7808 | 7972 |
| &nbsp;&nbsp; Pool 1J1681, 6.73% (RFUCCT1Y + 1.98%), 06/01/2037 | &nbsp;&nbsp; Pool 1J1681, 6.73% (RFUCCT1Y + 1.98%), 06/01/2037 | 14938 | 15392 |
| &nbsp;&nbsp; Pool 1L1263, 6.50% (1 yr. CMT Rate + 2.25%), 03/01/2036 | &nbsp;&nbsp; Pool 1L1263, 6.50% (1 yr. CMT Rate + 2.25%), 03/01/2036 | 12044 | 12451 |
| &nbsp;&nbsp; Pool 847727, 6.49% (RFUCCT1Y + 1.74%), 02/01/2037 | &nbsp;&nbsp; Pool 847727, 6.49% (RFUCCT1Y + 1.74%), 02/01/2037 | 2758 | 2811 |
| &nbsp;&nbsp; Pool A14256, 5.50%, 10/01/2033 | &nbsp;&nbsp; Pool A14256, 5.50%, 10/01/2033 | 27621 | 27951 |
| &nbsp;&nbsp; Pool A46629, 5.00%, 08/01/2035 | &nbsp;&nbsp; Pool A46629, 5.00%, 08/01/2035 | 27635 | 28354 |
| &nbsp;&nbsp; Pool B31891, 5.38%, 01/01/2037 | &nbsp;&nbsp; Pool B31891, 5.38%, 01/01/2037 | 56727 | 58908 |
| &nbsp;&nbsp; Pool B31900, 5.38%, 02/01/2037 | &nbsp;&nbsp; Pool B31900, 5.38%, 02/01/2037 | 73629 | 76480 |
| &nbsp;&nbsp; Pool B31934, 5.38%, 04/01/2037 | &nbsp;&nbsp; Pool B31934, 5.38%, 04/01/2037 | 36497 | 37899 |
| &nbsp;&nbsp; Pool B31976, 5.10%, 05/01/2037 | &nbsp;&nbsp; Pool B31976, 5.10%, 05/01/2037 | 74056 | 76227 |
| &nbsp;&nbsp; Pool C03427, 5.50%, 10/01/2039 | &nbsp;&nbsp; Pool C03427, 5.50%, 10/01/2039 | 209535 | 217374 |
| &nbsp;&nbsp; Pool C53878, 5.50%, 12/01/2030 | &nbsp;&nbsp; Pool C53878, 5.50%, 12/01/2030 | 26024 | 26625 |
| &nbsp;&nbsp; Pool C66421, 6.50%, 02/01/2032 | &nbsp;&nbsp; Pool C66421, 6.50%, 02/01/2032 | 38113 | 39465 |
| &nbsp;&nbsp; Pool C91366, 4.50%, 04/01/2031 | &nbsp;&nbsp; Pool C91366, 4.50%, 04/01/2031 | 58901 | 59313 |
| &nbsp;&nbsp; Pool C91826, 3.00%, 05/01/2035 | &nbsp;&nbsp; Pool C91826, 3.00%, 05/01/2035 | 271095 | 258146 |
| &nbsp;&nbsp; Pool G04540, 6.00%, 08/01/2038 | &nbsp;&nbsp; Pool G04540, 6.00%, 08/01/2038 | 86206 | 90998 |
| &nbsp;&nbsp; Pool G04655, 6.00%, 08/01/2038 | &nbsp;&nbsp; Pool G04655, 6.00%, 08/01/2038 | 75449 | 79643 |
| &nbsp;&nbsp; Pool G08348, 5.00%, 06/01/2039 | &nbsp;&nbsp; Pool G08348, 5.00%, 06/01/2039 | 45626 | 46811 |
| &nbsp;&nbsp; Pool G08828, 5.50%, 04/01/2048 | &nbsp;&nbsp; Pool G08828, 5.50%, 04/01/2048 | 71725 | 74392 |
| &nbsp;&nbsp; Pool G20028, 7.50%, 12/01/2036 | &nbsp;&nbsp; Pool G20028, 7.50%, 12/01/2036 | 47841 | 49224 |
| &nbsp;&nbsp; Pool G30932, 4.50%, 03/01/2034 | &nbsp;&nbsp; Pool G30932, 4.50%, 03/01/2034 | 68941 | 69496 |
| &nbsp;&nbsp; Pool G31063, 3.50%, 11/01/2037 | &nbsp;&nbsp; Pool G31063, 3.50%, 11/01/2037 | 460443 | 445217 |
| &nbsp;&nbsp; Pool K93349, 4.00%, 11/01/2035 | &nbsp;&nbsp; Pool K93349, 4.00%, 11/01/2035 | 192875 | 189649 |
| &nbsp;&nbsp; Pool K93365, 3.50%, 11/01/2035 | &nbsp;&nbsp; Pool K93365, 3.50%, 11/01/2035 | 140260 | 136729 |
| &nbsp;&nbsp; Pool N30530, 5.50%, 01/01/2029 | &nbsp;&nbsp; Pool N30530, 5.50%, 01/01/2029 | 21952 | 22207 |
| &nbsp;&nbsp; Pool N70071, 6.00%, 06/01/2035 | &nbsp;&nbsp; Pool N70071, 6.00%, 06/01/2035 | 82304 | 83312 |
| &nbsp;&nbsp; Pool N70078, 5.50%, 01/01/2033 | &nbsp;&nbsp; Pool N70078, 5.50%, 01/01/2033 | 116324 | 117437 |
| &nbsp;&nbsp; Pool N70082, 6.00%, 07/01/2038 | &nbsp;&nbsp; Pool N70082, 6.00%, 07/01/2038 | 246699 | 252346 |
| &nbsp;&nbsp; Pool QC5310, 3.00%, 08/01/2051 | &nbsp;&nbsp; Pool QC5310, 3.00%, 08/01/2051 | 1331595 | 1180032 |
| &nbsp;&nbsp; Pool QD1254, 2.00%, 11/01/2051 | &nbsp;&nbsp; Pool QD1254, 2.00%, 11/01/2051 | 2357599 | 1908441 |
| &nbsp;&nbsp; Pool QE0380, 2.50%, 04/01/2052 | &nbsp;&nbsp; Pool QE0380, 2.50%, 04/01/2052 | 818362 | 700175 |
| &nbsp;&nbsp; Pool QE0622, 2.00%, 04/01/2052 | &nbsp;&nbsp; Pool QE0622, 2.00%, 04/01/2052 | 490957 | 402263 |
| &nbsp;&nbsp; Pool QF0493, 5.50%, 09/01/2052 | &nbsp;&nbsp; Pool QF0493, 5.50%, 09/01/2052 | 1961144 | 1990695 |
| &nbsp;&nbsp; Pool QF0773, 5.50%, 09/01/2052 | &nbsp;&nbsp; Pool QF0773, 5.50%, 09/01/2052 | 2506901 | 2545362 |
| &nbsp;&nbsp; Pool RA5286, 2.50%, 05/01/2051 | &nbsp;&nbsp; Pool RA5286, 2.50%, 05/01/2051 | 3374462 | 2850687 |
| &nbsp;&nbsp; Pool RA5971, 3.00%, 09/01/2051 | &nbsp;&nbsp; Pool RA5971, 3.00%, 09/01/2051 | 3159220 | 2825387 |
| &nbsp;&nbsp; Pool RA6766, 2.50%, 02/01/2052 | &nbsp;&nbsp; Pool RA6766, 2.50%, 02/01/2052 | 1595841 | 1366652 |
| &nbsp;&nbsp; Pool RA7746, 3.50%, 08/01/2052 | &nbsp;&nbsp; Pool RA7746, 3.50%, 08/01/2052 | 2347936 | 2150490 |
| &nbsp;&nbsp; Pool RA7935, 5.00%, 09/01/2052 | &nbsp;&nbsp; Pool RA7935, 5.00%, 09/01/2052 | 2444159 | 2448228 |
| &nbsp;&nbsp; Pool RA9851, 6.00%, 09/01/2053 | &nbsp;&nbsp; Pool RA9851, 6.00%, 09/01/2053 | 1318572 | 1363754 |
| &nbsp;&nbsp; Pool RC2401, 2.00%, 01/01/2037 | &nbsp;&nbsp; Pool RC2401, 2.00%, 01/01/2037 | 2754670 | 2553804 |
| &nbsp;&nbsp; Pool RQ0049, 5.50%, 09/01/2055 | &nbsp;&nbsp; Pool RQ0049, 5.50%, 09/01/2055 | 2689254 | 2713267 |
| &nbsp;&nbsp; Pool SB1179, 5.50%, 05/01/2039 | &nbsp;&nbsp; Pool SB1179, 5.50%, 05/01/2039 | 1846894 | 1895976 |
| &nbsp;&nbsp; Pool SD0846, 2.50%, 02/01/2052 | &nbsp;&nbsp; Pool SD0846, 2.50%, 02/01/2052 | 2627432 | 2251481 |
| &nbsp;&nbsp; Pool SD1641, 4.50%, 09/01/2052 | &nbsp;&nbsp; Pool SD1641, 4.50%, 09/01/2052 | 1368033 | 1342876 |
| &nbsp;&nbsp; Pool SD1846, 4.50%, 10/01/2052 | &nbsp;&nbsp; Pool SD1846, 4.50%, 10/01/2052 | 2849475 | 2780312 |
| &nbsp;&nbsp; Pool SD3234, 2.50%, 12/01/2051 | &nbsp;&nbsp; Pool SD3234, 2.50%, 12/01/2051 | 3109389 | 2640337 |
| &nbsp;&nbsp; Pool SD3386, 5.50%, 07/01/2053 | &nbsp;&nbsp; Pool SD3386, 5.50%, 07/01/2053 | 2111739 | 2141199 |
| &nbsp;&nbsp; Pool SD3475, 5.50%, 08/01/2053 | &nbsp;&nbsp; Pool SD3475, 5.50%, 08/01/2053 | 2542598 | 2590086 |
| &nbsp;&nbsp; Pool SD3477, 6.50%, 08/01/2053 | &nbsp;&nbsp; Pool SD3477, 6.50%, 08/01/2053 | 1165932 | 1224412 |
| &nbsp;&nbsp; Pool SD3840, 5.50%, 09/01/2053 | &nbsp;&nbsp; Pool SD3840, 5.50%, 09/01/2053 | 1032132 | 1050743 |
| &nbsp;&nbsp; Pool SD4697, 6.00%, 02/01/2054 | &nbsp;&nbsp; Pool SD4697, 6.00%, 02/01/2054 | 3546429 | 3666977 |
| &nbsp;&nbsp; Pool SD5573, 3.00%, 08/01/2052 | &nbsp;&nbsp; Pool SD5573, 3.00%, 08/01/2052 | 2927845 | 2617752 |
| &nbsp;&nbsp; Pool SD7556, 3.00%, 08/01/2052 | &nbsp;&nbsp; Pool SD7556, 3.00%, 08/01/2052 | 544724 | 484379 |
| &nbsp;&nbsp; Pool SD8196, 3.50%, 02/01/2052 | &nbsp;&nbsp; Pool SD8196, 3.50%, 02/01/2052 | 4022314 | 3694686 |
| &nbsp;&nbsp; Pool SD8200, 2.50%, 03/01/2052 | &nbsp;&nbsp; Pool SD8200, 2.50%, 03/01/2052 | 2560026 | 2166493 |
| &nbsp;&nbsp; Pool SD8315, 5.00%, 04/01/2053 | &nbsp;&nbsp; Pool SD8315, 5.00%, 04/01/2053 | 936746 | 930660 |
| &nbsp;&nbsp; Pool SL0655, 6.00%, 03/01/2055 | &nbsp;&nbsp; Pool SL0655, 6.00%, 03/01/2055 | 1979972 | 2033223 |
| &nbsp;&nbsp; Pool SL1512, 6.00%, 06/01/2055 | &nbsp;&nbsp; Pool SL1512, 6.00%, 06/01/2055 | 1357096 | 1388981 |
| &nbsp;&nbsp; Pool SL1677, 4.50%, 05/01/2053 | &nbsp;&nbsp; Pool SL1677, 4.50%, 05/01/2053 | 821795 | 801084 |
| &nbsp;&nbsp; Pool T30346, 5.38%, 10/01/2037 | &nbsp;&nbsp; Pool T30346, 5.38%, 10/01/2037 | 63448 | 65654 |
| &nbsp;&nbsp; Pool U30653, 5.13%, 07/01/2037 | &nbsp;&nbsp; Pool U30653, 5.13%, 07/01/2037 | 42861 | 44468 |
| &nbsp;&nbsp; Pool U30681, 5.10%, 09/01/2037 | &nbsp;&nbsp; Pool U30681, 5.10%, 09/01/2037 | 176568 | 181744 |
| &nbsp;&nbsp; Pool U30800, 5.10%, 11/01/2037 | &nbsp;&nbsp; Pool U30800, 5.10%, 11/01/2037 | 62333 | 64201 |
| &nbsp;&nbsp; Pool U31874, 5.38%, 04/01/2038 | &nbsp;&nbsp; Pool U31874, 5.38%, 04/01/2038 | 116736 | 120778 |
| &nbsp;&nbsp; Series 1843, Class Z, 7.00%, 04/15/2026 | &nbsp;&nbsp; Series 1843, Class Z, 7.00%, 04/15/2026 | 9 | 9 |
| &nbsp;&nbsp; Series 2517, Class Z, 5.50%, 10/15/2032 | &nbsp;&nbsp; Series 2517, Class Z, 5.50%, 10/15/2032 | 23599 | 24178 |
| &nbsp;&nbsp; Series 2890, Class ZA, 5.00%, 11/15/2034 | &nbsp;&nbsp; Series 2890, Class ZA, 5.00%, 11/15/2034 | 113789 | 116374 |
| &nbsp;&nbsp; Series 2907, Class VZ, 4.50%, 05/15/2034 | &nbsp;&nbsp; Series 2907, Class VZ, 4.50%, 05/15/2034 | 409947 | 412631 |
| &nbsp;&nbsp; Series 3150, Class DZ, 5.50%, 05/15/2036 | &nbsp;&nbsp; Series 3150, Class DZ, 5.50%, 05/15/2036 | 236587 | 245133 |
| &nbsp;&nbsp; Series 3294, Class CB, 5.50%, 03/15/2037 | &nbsp;&nbsp; Series 3294, Class CB, 5.50%, 03/15/2037 | 146311 | 151838 |
| &nbsp;&nbsp; Series 366, Class IO, 4.00%, 08/15/2049 <sup>(a)</sup> | &nbsp;&nbsp; Series 366, Class IO, 4.00%, 08/15/2049 <sup>(a)</sup> | 625527 | 98256 |
| &nbsp;&nbsp; Series 4121, Class DH, 2.00%, 10/15/2042 | &nbsp;&nbsp; Series 4121, Class DH, 2.00%, 10/15/2042 | 762088 | 545836 |
| &nbsp;&nbsp; Series 4888, Class AC, 3.50%, 01/15/2049 | &nbsp;&nbsp; Series 4888, Class AC, 3.50%, 01/15/2049 | 552354 | 511064 |
| &nbsp;&nbsp; Series 4891, Class PA, 3.50%, 07/15/2048 | &nbsp;&nbsp; Series 4891, Class PA, 3.50%, 07/15/2048 | 72126 | 70892 |
| &nbsp;&nbsp; Series 5080, Class PB, 1.25%, 03/25/2050 | &nbsp;&nbsp; Series 5080, Class PB, 1.25%, 03/25/2050 | 1764454 | 1395184 |
| &nbsp;&nbsp; Series 5083, Class UB, 1.25%, 03/25/2051 | &nbsp;&nbsp; Series 5083, Class UB, 1.25%, 03/25/2051 | 2288593 | 1783893 |
| Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp; 2.00%, 10/15/2055 <sup>(b)</sup> | &nbsp;&nbsp; 2.00%, 10/15/2055 <sup>(b)</sup> | 24390000 | 19664026 |
| &nbsp;&nbsp; 2.50%, 10/15/2055 <sup>(b)</sup> | &nbsp;&nbsp; 2.50%, 10/15/2055 <sup>(b)</sup> | 7345000 | 6189280 |
| &nbsp;&nbsp; 3.00%, 10/15/2055 <sup>(b)</sup> | &nbsp;&nbsp; 3.00%, 10/15/2055 <sup>(b)</sup> | 2175000 | 1910767 |
| &nbsp;&nbsp; 3.50%, 10/15/2055 <sup>(b)</sup> | &nbsp;&nbsp; 3.50%, 10/15/2055 <sup>(b)</sup> | 4454000 | 4069867 |
| &nbsp;&nbsp; 4.00%, 10/15/2055 <sup>(b)</sup> | &nbsp;&nbsp; 4.00%, 10/15/2055 <sup>(b)</sup> | 8730000 | 8228870 |
| &nbsp;&nbsp; 4.50%, 10/15/2055 <sup>(b)</sup> | &nbsp;&nbsp; 4.50%, 10/15/2055 <sup>(b)</sup> | 2600000 | 2522240 |
| &nbsp;&nbsp; 5.00%, 10/15/2055 <sup>(b)</sup> | &nbsp;&nbsp; 5.00%, 10/15/2055 <sup>(b)</sup> | 1450000 | 1438243 |
| &nbsp;&nbsp; 5.50%, 10/15/2055 <sup>(b)</sup> | &nbsp;&nbsp; 5.50%, 10/15/2055 <sup>(b)</sup> | 2150000 | 2168048 |
| &nbsp;&nbsp; 6.50%, 10/15/2055 <sup>(b)</sup> | &nbsp;&nbsp; 6.50%, 10/15/2055 <sup>(b)</sup> | 2750000 | 2842235 |
| &nbsp;&nbsp; 7.00%, 10/15/2055 <sup>(b)</sup> | &nbsp;&nbsp; 7.00%, 10/15/2055 <sup>(b)</sup> | 400000 | 418443 |
| &nbsp;&nbsp; Pool 257203, 5.00%, 05/01/2028 | &nbsp;&nbsp; Pool 257203, 5.00%, 05/01/2028 | 138366 | 139219 |
| &nbsp;&nbsp; Pool 356232, 6.50%, 01/01/2026 | &nbsp;&nbsp; Pool 356232, 6.50%, 01/01/2026 | 1031 | 1064 |
| &nbsp;&nbsp; Pool 356329, 6.90% (1 yr. CMT Rate + 2.65%), 01/01/2027 | &nbsp;&nbsp; Pool 356329, 6.90% (1 yr. CMT Rate + 2.65%), 01/01/2027 | 11642 | 11681 |
| &nbsp;&nbsp; Pool 363850, 6.38% (1 yr. CMT Rate + 2.13%), 04/01/2027 | &nbsp;&nbsp; Pool 363850, 6.38% (1 yr. CMT Rate + 2.13%), 04/01/2027 | 4885 | 4893 |
| &nbsp;&nbsp; Pool 520478, 6.66% (1 yr. CMT Rate + 2.16%), 11/01/2029 | &nbsp;&nbsp; Pool 520478, 6.66% (1 yr. CMT Rate + 2.16%), 11/01/2029 | 5814 | 5846 |
| &nbsp;&nbsp; Pool 628837, 6.50%, 03/01/2032 | &nbsp;&nbsp; Pool 628837, 6.50%, 03/01/2032 | 6009 | 6299 |
| &nbsp;&nbsp; Pool 640225, 6.40% (1 yr. CMT Rate + 2.27%), 04/01/2032 | &nbsp;&nbsp; Pool 640225, 6.40% (1 yr. CMT Rate + 2.27%), 04/01/2032 | 9951 | 10185 |
| &nbsp;&nbsp; Pool 642122, 6.40% (1 yr. CMT Rate + 2.27%), 03/01/2032 | &nbsp;&nbsp; Pool 642122, 6.40% (1 yr. CMT Rate + 2.27%), 03/01/2032 | 6245 | 6359 |
| &nbsp;&nbsp; Pool 656181, 6.38% (1 yr. CMT Rate + 2.16%), 08/01/2031 | &nbsp;&nbsp; Pool 656181, 6.38% (1 yr. CMT Rate + 2.16%), 08/01/2031 | 20434 | 20669 |
| &nbsp;&nbsp; Pool 662138, 6.43% (1 yr. CMT Rate + 2.30%), 09/01/2032 | &nbsp;&nbsp; Pool 662138, 6.43% (1 yr. CMT Rate + 2.30%), 09/01/2032 | 25739 | 26416 |
| &nbsp;&nbsp; Pool 723313, 6.67% (1 yr. CMT Rate + 2.54%), 09/01/2031 | &nbsp;&nbsp; Pool 723313, 6.67% (1 yr. CMT Rate + 2.54%), 09/01/2031 | 22630 | 23162 |
| &nbsp;&nbsp; Pool 741373, 6.78% (1 yr. CMT Rate + 2.28%), 12/01/2033 | &nbsp;&nbsp; Pool 741373, 6.78% (1 yr. CMT Rate + 2.28%), 12/01/2033 | 12674 | 12995 |
| &nbsp;&nbsp; Pool 744805, 6.14% (RFUCCT6M + 1.52%), 11/01/2033 | &nbsp;&nbsp; Pool 744805, 6.14% (RFUCCT6M + 1.52%), 11/01/2033 | 629 | 632 |
| &nbsp;&nbsp; Pool 745626, 6.18% (1 yr. CMT Rate + 2.14%), 05/01/2036 | &nbsp;&nbsp; Pool 745626, 6.18% (1 yr. CMT Rate + 2.14%), 05/01/2036 | 14502 | 14876 |
| &nbsp;&nbsp; Pool 745818, 6.50%, 09/01/2036 | &nbsp;&nbsp; Pool 745818, 6.50%, 09/01/2036 | 48558 | 50757 |
| &nbsp;&nbsp; Pool 751498, 6.34% (1 yr. CMT Rate + 2.22%), 11/01/2033 | &nbsp;&nbsp; Pool 751498, 6.34% (1 yr. CMT Rate + 2.22%), 11/01/2033 | 3833 | 3924 |
| &nbsp;&nbsp; Pool 764342, 6.15% (RFUCCT6M + 1.52%), 02/01/2034 | &nbsp;&nbsp; Pool 764342, 6.15% (RFUCCT6M + 1.52%), 02/01/2034 | 19558 | 19823 |
| &nbsp;&nbsp; Pool 774969, 6.53% (1 yr. CMT Rate + 2.28%), 04/01/2034 | &nbsp;&nbsp; Pool 774969, 6.53% (1 yr. CMT Rate + 2.28%), 04/01/2034 | 21201 | 21815 |
| &nbsp;&nbsp; Pool 783554, 6.21% (1 yr. CMT Rate + 2.21%), 07/01/2034 | &nbsp;&nbsp; Pool 783554, 6.21% (1 yr. CMT Rate + 2.21%), 07/01/2034 | 85418 | 87911 |
| &nbsp;&nbsp; Pool 819649, 6.52% (RFUCCT1Y + 1.52%), 03/01/2035 | &nbsp;&nbsp; Pool 819649, 6.52% (RFUCCT1Y + 1.52%), 03/01/2035 | 2375 | 2417 |
| &nbsp;&nbsp; Pool 836715, 6.64% (RFUCCT1Y + 1.77%), 10/01/2035 | &nbsp;&nbsp; Pool 836715, 6.64% (RFUCCT1Y + 1.77%), 10/01/2035 | 40933 | 41914 |
| &nbsp;&nbsp; Pool 837329, 6.17% (1 yr. CMT Rate + 2.04%), 09/01/2035 | &nbsp;&nbsp; Pool 837329, 6.17% (1 yr. CMT Rate + 2.04%), 09/01/2035 | 17322 | 17681 |
| &nbsp;&nbsp; Pool 842006, 4.25%, 10/01/2035 | &nbsp;&nbsp; Pool 842006, 4.25%, 10/01/2035 | 74685 | 73662 |
| &nbsp;&nbsp; Pool 850232, 4.25%, 12/01/2035 | &nbsp;&nbsp; Pool 850232, 4.25%, 12/01/2035 | 136582 | 136635 |
| &nbsp;&nbsp; Pool 865849, 6.60% (RFUCCT1Y + 1.60%), 03/01/2036 | &nbsp;&nbsp; Pool 865849, 6.60% (RFUCCT1Y + 1.60%), 03/01/2036 | 7491 | 7644 |
| &nbsp;&nbsp; Pool 868568, 6.73% (RFUCCT1Y + 1.78%), 04/01/2036 | &nbsp;&nbsp; Pool 868568, 6.73% (RFUCCT1Y + 1.78%), 04/01/2036 | 6307 | 6464 |
| &nbsp;&nbsp; Pool 877009, 7.07% (RFUCCT1Y + 2.38%), 03/01/2036 | &nbsp;&nbsp; Pool 877009, 7.07% (RFUCCT1Y + 2.38%), 03/01/2036 | 5440 | 5645 |
| &nbsp;&nbsp; Pool 882017, 6.19% (RFUCCT6M + 1.56%), 05/01/2036 | &nbsp;&nbsp; Pool 882017, 6.19% (RFUCCT6M + 1.56%), 05/01/2036 | 29795 | 29968 |
| &nbsp;&nbsp; Pool 886163, 6.58% (RFUCCT1Y + 1.83%), 07/01/2036 | &nbsp;&nbsp; Pool 886163, 6.58% (RFUCCT1Y + 1.83%), 07/01/2036 | 13649 | 14035 |
| &nbsp;&nbsp; Pool 889829, 5.00%, 07/01/2035 | &nbsp;&nbsp; Pool 889829, 5.00%, 07/01/2035 | 23379 | 23618 |
| &nbsp;&nbsp; Pool 896838, 5.45%, 07/01/2036 | &nbsp;&nbsp; Pool 896838, 5.45%, 07/01/2036 | 180880 | 182651 |
| &nbsp;&nbsp; Pool 922680, 6.96% (RFUCCT1Y + 1.91%), 11/01/2035 | &nbsp;&nbsp; Pool 922680, 6.96% (RFUCCT1Y + 1.91%), 11/01/2035 | 10294 | 10624 |
| &nbsp;&nbsp; Pool 930507, 6.50%, 02/01/2039 | &nbsp;&nbsp; Pool 930507, 6.50%, 02/01/2039 | 73535 | 76671 |
| &nbsp;&nbsp; Pool 941050, 6.45% (RFUCCT1Y + 1.70%), 08/01/2037 | &nbsp;&nbsp; Pool 941050, 6.45% (RFUCCT1Y + 1.70%), 08/01/2037 | 21130 | 21562 |
| &nbsp;&nbsp; Pool 950382, 5.75% (RFUCCT6M + 1.13%), 08/01/2037 | &nbsp;&nbsp; Pool 950382, 5.75% (RFUCCT6M + 1.13%), 08/01/2037 | 27203 | 27723 |
| &nbsp;&nbsp; Pool 952835, 6.88% (1 yr. CMT Rate + 2.32%), 09/01/2037 | &nbsp;&nbsp; Pool 952835, 6.88% (1 yr. CMT Rate + 2.32%), 09/01/2037 | 20145 | 20745 |
| &nbsp;&nbsp; Pool 955233, 6.50%, 12/01/2037 | &nbsp;&nbsp; Pool 955233, 6.50%, 12/01/2037 | 56638 | 59876 |
| &nbsp;&nbsp; Pool 995521, 6.82% (RFUCCT1Y + 1.82%), 05/01/2037 | &nbsp;&nbsp; Pool 995521, 6.82% (RFUCCT1Y + 1.82%), 05/01/2037 | 15434 | 15822 |
| &nbsp;&nbsp; Pool AB0577, 4.00%, 03/01/2036 | &nbsp;&nbsp; Pool AB0577, 4.00%, 03/01/2036 | 138635 | 134224 |
| &nbsp;&nbsp; Pool AD0100, 7.00%, 12/01/2038 | &nbsp;&nbsp; Pool AD0100, 7.00%, 12/01/2038 | 137604 | 146426 |
| &nbsp;&nbsp; Pool AD0427, 5.50%, 10/01/2039 | &nbsp;&nbsp; Pool AD0427, 5.50%, 10/01/2039 | 107252 | 111133 |
| &nbsp;&nbsp; Pool AD0941, 5.50%, 04/01/2040 | &nbsp;&nbsp; Pool AD0941, 5.50%, 04/01/2040 | 156828 | 162505 |
| &nbsp;&nbsp; Pool AI4717, 4.50%, 07/01/2031 | &nbsp;&nbsp; Pool AI4717, 4.50%, 07/01/2031 | 659259 | 660368 |
| &nbsp;&nbsp; Pool AL0407, 6.50%, 04/01/2039 | &nbsp;&nbsp; Pool AL0407, 6.50%, 04/01/2039 | 129780 | 135151 |
| &nbsp;&nbsp; Pool AL0898, 5.00%, 02/01/2031 | &nbsp;&nbsp; Pool AL0898, 5.00%, 02/01/2031 | 32341 | 32746 |
| &nbsp;&nbsp; Pool AL7654, 3.00%, 09/01/2035 | &nbsp;&nbsp; Pool AL7654, 3.00%, 09/01/2035 | 299186 | 285487 |
| &nbsp;&nbsp; Pool AS1429, 4.00%, 12/01/2043 | &nbsp;&nbsp; Pool AS1429, 4.00%, 12/01/2043 | 127215 | 123480 |
| &nbsp;&nbsp; Pool AS2249, 4.00%, 04/01/2039 | &nbsp;&nbsp; Pool AS2249, 4.00%, 04/01/2039 | 1070866 | 1054017 |
| &nbsp;&nbsp; Pool AV7739, 4.00%, 01/01/2044 | &nbsp;&nbsp; Pool AV7739, 4.00%, 01/01/2044 | 212994 | 207050 |
| &nbsp;&nbsp; Pool AW6485, 4.00%, 06/01/2044 | &nbsp;&nbsp; Pool AW6485, 4.00%, 06/01/2044 | 76269 | 74000 |
| &nbsp;&nbsp; Pool AW9534, 4.00%, 03/01/2045 | &nbsp;&nbsp; Pool AW9534, 4.00%, 03/01/2045 | 251847 | 242006 |
| &nbsp;&nbsp; Pool AY0382, 4.00%, 11/01/2044 | &nbsp;&nbsp; Pool AY0382, 4.00%, 11/01/2044 | 148922 | 146851 |
| &nbsp;&nbsp; Pool AZ4154, 4.00%, 06/01/2045 | &nbsp;&nbsp; Pool AZ4154, 4.00%, 06/01/2045 | 61357 | 59517 |
| &nbsp;&nbsp; Pool AZ7828, 4.00%, 08/01/2045 | &nbsp;&nbsp; Pool AZ7828, 4.00%, 08/01/2045 | 785724 | 756908 |
| &nbsp;&nbsp; Pool BA3674, 4.50%, 10/01/2045 | &nbsp;&nbsp; Pool BA3674, 4.50%, 10/01/2045 | 468956 | 465801 |
| &nbsp;&nbsp; Pool BC1738, 4.50%, 09/01/2043 | &nbsp;&nbsp; Pool BC1738, 4.50%, 09/01/2043 | 197600 | 199401 |
| &nbsp;&nbsp; Pool BC6366, 4.50%, 02/01/2046 | &nbsp;&nbsp; Pool BC6366, 4.50%, 02/01/2046 | 298255 | 297462 |
| &nbsp;&nbsp; Pool BD1241, 4.50%, 05/01/2046 | &nbsp;&nbsp; Pool BD1241, 4.50%, 05/01/2046 | 121441 | 120315 |
| &nbsp;&nbsp; Pool BD5189, 4.50%, 07/01/2046 | &nbsp;&nbsp; Pool BD5189, 4.50%, 07/01/2046 | 310952 | 308800 |
| &nbsp;&nbsp; Pool BD8599, 4.50%, 11/01/2046 | &nbsp;&nbsp; Pool BD8599, 4.50%, 11/01/2046 | 158425 | 157466 |
| &nbsp;&nbsp; Pool BH7686, 4.50%, 12/01/2047 | &nbsp;&nbsp; Pool BH7686, 4.50%, 12/01/2047 | 191600 | 187668 |
| &nbsp;&nbsp; Pool BJ8287, 4.50%, 01/01/2048 | &nbsp;&nbsp; Pool BJ8287, 4.50%, 01/01/2048 | 133290 | 131734 |
| &nbsp;&nbsp; Pool BK5105, 5.50%, 05/01/2048 | &nbsp;&nbsp; Pool BK5105, 5.50%, 05/01/2048 | 175334 | 180345 |
| &nbsp;&nbsp; Pool BK8032, 5.50%, 06/01/2048 | &nbsp;&nbsp; Pool BK8032, 5.50%, 06/01/2048 | 272707 | 280501 |
| &nbsp;&nbsp; Pool BN4921, 5.50%, 01/01/2049 | &nbsp;&nbsp; Pool BN4921, 5.50%, 01/01/2049 | 75788 | 77563 |
| &nbsp;&nbsp; Pool BN4936, 5.50%, 12/01/2048 | &nbsp;&nbsp; Pool BN4936, 5.50%, 12/01/2048 | 174903 | 179243 |
| &nbsp;&nbsp; Pool BP5419, 3.00%, 05/01/2050 | &nbsp;&nbsp; Pool BP5419, 3.00%, 05/01/2050 | 1838628 | 1650858 |
| &nbsp;&nbsp; Pool BQ3248, 2.00%, 11/01/2050 | &nbsp;&nbsp; Pool BQ3248, 2.00%, 11/01/2050 | 2468981 | 2008625 |
| &nbsp;&nbsp; Pool BQ6307, 2.00%, 11/01/2050 | &nbsp;&nbsp; Pool BQ6307, 2.00%, 11/01/2050 | 1158143 | 942436 |
| &nbsp;&nbsp; Pool BV4128, 2.00%, 03/01/2052 | &nbsp;&nbsp; Pool BV4128, 2.00%, 03/01/2052 | 3345159 | 2716142 |
| &nbsp;&nbsp; Pool BV4532, 3.50%, 03/01/2052 | &nbsp;&nbsp; Pool BV4532, 3.50%, 03/01/2052 | 1681814 | 1546381 |
| &nbsp;&nbsp; Pool BW0025, 4.00%, 07/01/2052 | &nbsp;&nbsp; Pool BW0025, 4.00%, 07/01/2052 | 628516 | 597284 |
| &nbsp;&nbsp; Pool BY4776, 5.00%, 07/01/2053 | &nbsp;&nbsp; Pool BY4776, 5.00%, 07/01/2053 | 1895209 | 1881529 |
| &nbsp;&nbsp; Pool CB2539, 2.50%, 01/01/2052 | &nbsp;&nbsp; Pool CB2539, 2.50%, 01/01/2052 | 2581997 | 2211171 |
| &nbsp;&nbsp; Pool CB2548, 2.50%, 01/01/2052 | &nbsp;&nbsp; Pool CB2548, 2.50%, 01/01/2052 | 2621238 | 2231678 |
| &nbsp;&nbsp; Pool CB2789, 2.00%, 02/01/2052 | &nbsp;&nbsp; Pool CB2789, 2.00%, 02/01/2052 | 3342760 | 2702733 |
| &nbsp;&nbsp; Pool CB2909, 3.50%, 02/01/2052 | &nbsp;&nbsp; Pool CB2909, 3.50%, 02/01/2052 | 2028917 | 1867940 |
| &nbsp;&nbsp; Pool CB3103, 2.50%, 03/01/2052 | &nbsp;&nbsp; Pool CB3103, 2.50%, 03/01/2052 | 3381033 | 2912353 |
| &nbsp;&nbsp; Pool CB3853, 4.00%, 06/01/2052 | &nbsp;&nbsp; Pool CB3853, 4.00%, 06/01/2052 | 1479547 | 1414413 |
| &nbsp;&nbsp; Pool CB8316, 5.00%, 04/01/2054 | &nbsp;&nbsp; Pool CB8316, 5.00%, 04/01/2054 | 2821915 | 2831311 |
| &nbsp;&nbsp; Pool CB8494, 6.00%, 05/01/2054 | &nbsp;&nbsp; Pool CB8494, 6.00%, 05/01/2054 | 1330146 | 1363590 |
| &nbsp;&nbsp; Pool DA0025, 6.00%, 09/01/2053 | &nbsp;&nbsp; Pool DA0025, 6.00%, 09/01/2053 | 1598886 | 1653435 |
| &nbsp;&nbsp; Pool DA4870, 6.50%, 01/01/2054 | &nbsp;&nbsp; Pool DA4870, 6.50%, 01/01/2054 | 2283764 | 2366503 |
| &nbsp;&nbsp; Pool FA0345, 5.50%, 02/01/2055 | &nbsp;&nbsp; Pool FA0345, 5.50%, 02/01/2055 | 2708575 | 2749713 |
| &nbsp;&nbsp; Pool FA2599, 2.00%, 05/01/2052 | &nbsp;&nbsp; Pool FA2599, 2.00%, 05/01/2052 | 1786035 | 1447229 |
| &nbsp;&nbsp; Pool FA2601, 2.00%, 08/01/2051 | &nbsp;&nbsp; Pool FA2601, 2.00%, 08/01/2051 | 493550 | 401395 |
| &nbsp;&nbsp; Pool FM9097, 2.00%, 11/01/2051 | &nbsp;&nbsp; Pool FM9097, 2.00%, 11/01/2051 | 1768932 | 1444959 |
| &nbsp;&nbsp; Pool FM9501, 2.50%, 11/01/2051 | &nbsp;&nbsp; Pool FM9501, 2.50%, 11/01/2051 | 1613833 | 1382070 |
| &nbsp;&nbsp; Pool FM9760, 3.50%, 11/01/2051 | &nbsp;&nbsp; Pool FM9760, 3.50%, 11/01/2051 | 3312974 | 3051326 |
| &nbsp;&nbsp; Pool FM9973, 3.00%, 08/01/2051 | &nbsp;&nbsp; Pool FM9973, 3.00%, 08/01/2051 | 2276047 | 2031829 |
| &nbsp;&nbsp; Pool FS0031, 2.50%, 10/01/2051 | &nbsp;&nbsp; Pool FS0031, 2.50%, 10/01/2051 | 2735913 | 2307896 |
| &nbsp;&nbsp; Pool FS0348, 2.00%, 01/01/2052 | &nbsp;&nbsp; Pool FS0348, 2.00%, 01/01/2052 | 3547402 | 2907700 |
| &nbsp;&nbsp; Pool FS0731, 2.00%, 02/01/2052 | &nbsp;&nbsp; Pool FS0731, 2.00%, 02/01/2052 | 912898 | 748986 |
| &nbsp;&nbsp; Pool FS0832, 3.50%, 03/01/2052 | &nbsp;&nbsp; Pool FS0832, 3.50%, 03/01/2052 | 2406600 | 2216533 |
| &nbsp;&nbsp; Pool FS0945, 4.00%, 03/01/2052 | &nbsp;&nbsp; Pool FS0945, 4.00%, 03/01/2052 | 3085546 | 2918378 |
| &nbsp;&nbsp; Pool FS1186, 3.50%, 01/01/2050 | &nbsp;&nbsp; Pool FS1186, 3.50%, 01/01/2050 | 1364409 | 1249227 |
| &nbsp;&nbsp; Pool FS1381, 3.00%, 03/01/2052 | &nbsp;&nbsp; Pool FS1381, 3.00%, 03/01/2052 | 1914364 | 1685268 |
| &nbsp;&nbsp; Pool FS1480, 2.50%, 11/01/2051 | &nbsp;&nbsp; Pool FS1480, 2.50%, 11/01/2051 | 378302 | 322894 |
| &nbsp;&nbsp; Pool FS1521, 3.00%, 04/01/2052 | &nbsp;&nbsp; Pool FS1521, 3.00%, 04/01/2052 | 3047279 | 2719303 |
| &nbsp;&nbsp; Pool FS2805, 2.50%, 09/01/2052 | &nbsp;&nbsp; Pool FS2805, 2.50%, 09/01/2052 | 1096967 | 926358 |
| &nbsp;&nbsp; Pool FS3166, 3.00%, 06/01/2052 | &nbsp;&nbsp; Pool FS3166, 3.00%, 06/01/2052 | 2391616 | 2144712 |
| &nbsp;&nbsp; Pool FS4862, 2.50%, 10/01/2051 | &nbsp;&nbsp; Pool FS4862, 2.50%, 10/01/2051 | 3180886 | 2702290 |
| &nbsp;&nbsp; Pool FS5126, 2.50%, 05/01/2051 | &nbsp;&nbsp; Pool FS5126, 2.50%, 05/01/2051 | 1496921 | 1262761 |
| &nbsp;&nbsp; Pool FS5314, 2.00%, 05/01/2052 | &nbsp;&nbsp; Pool FS5314, 2.00%, 05/01/2052 | 3388706 | 2742816 |
| &nbsp;&nbsp; Pool FS5458, 5.50%, 08/01/2053 | &nbsp;&nbsp; Pool FS5458, 5.50%, 08/01/2053 | 2803819 | 2832844 |
| &nbsp;&nbsp; Pool FS6744, 2.50%, 10/01/2051 | &nbsp;&nbsp; Pool FS6744, 2.50%, 10/01/2051 | 2928486 | 2522464 |
| &nbsp;&nbsp; Pool FS7086, 5.50%, 09/01/2053 | &nbsp;&nbsp; Pool FS7086, 5.50%, 09/01/2053 | 2521372 | 2557262 |
| &nbsp;&nbsp; Pool FS7269, 4.00%, 07/01/2050 | &nbsp;&nbsp; Pool FS7269, 4.00%, 07/01/2050 | 1326892 | 1283482 |
| &nbsp;&nbsp; Pool FS7276, 5.00%, 09/01/2053 | &nbsp;&nbsp; Pool FS7276, 5.00%, 09/01/2053 | 2533434 | 2528846 |
| &nbsp;&nbsp; Pool FS7518, 6.00%, 03/01/2053 | &nbsp;&nbsp; Pool FS7518, 6.00%, 03/01/2053 | 1719075 | 1782308 |
| &nbsp;&nbsp; Pool FS7622, 5.50%, 04/01/2054 | &nbsp;&nbsp; Pool FS7622, 5.50%, 04/01/2054 | 1354073 | 1378918 |
| &nbsp;&nbsp; Pool FS7744, 6.50%, 04/01/2054 | &nbsp;&nbsp; Pool FS7744, 6.50%, 04/01/2054 | 1167279 | 1228157 |
| &nbsp;&nbsp; Pool FS8791, 6.00%, 08/01/2054 | &nbsp;&nbsp; Pool FS8791, 6.00%, 08/01/2054 | 2421883 | 2489089 |
| &nbsp;&nbsp; Pool FS9155, 5.50%, 09/01/2054 | &nbsp;&nbsp; Pool FS9155, 5.50%, 09/01/2054 | 1370817 | 1391636 |
| &nbsp;&nbsp; Pool FS9203, 6.00%, 09/01/2054 | &nbsp;&nbsp; Pool FS9203, 6.00%, 09/01/2054 | 3221807 | 3294351 |
| &nbsp;&nbsp; Pool FS9366, 2.50%, 04/01/2052 | &nbsp;&nbsp; Pool FS9366, 2.50%, 04/01/2052 | 1040936 | 882629 |
| &nbsp;&nbsp; Pool MA3208, 4.50%, 10/01/2037 | &nbsp;&nbsp; Pool MA3208, 4.50%, 10/01/2037 | 1177624 | 1184040 |
| &nbsp;&nbsp; Pool MA4208, 2.00%, 12/01/2050 | &nbsp;&nbsp; Pool MA4208, 2.00%, 12/01/2050 | 858445 | 699367 |
| &nbsp;&nbsp; Pool MA4492, 2.00%, 12/01/2051 | &nbsp;&nbsp; Pool MA4492, 2.00%, 12/01/2051 | 1020279 | 827826 |
| &nbsp;&nbsp; Pool MA4565, 3.50%, 03/01/2052 | &nbsp;&nbsp; Pool MA4565, 3.50%, 03/01/2052 | 1548457 | 1420877 |
| &nbsp;&nbsp; Pool MA5496, 5.00%, 10/01/2054 | &nbsp;&nbsp; Pool MA5496, 5.00%, 10/01/2054 | 2683281 | 2663913 |
| &nbsp;&nbsp; Pool MB0291, 5.00%, 12/01/2054 | &nbsp;&nbsp; Pool MB0291, 5.00%, 12/01/2054 | 2783310 | 2763220 |
| &nbsp;&nbsp; Series 2001-80, Class Z, 6.00%, 01/25/2032 | &nbsp;&nbsp; Series 2001-80, Class Z, 6.00%, 01/25/2032 | 43700 | 44240 |
| &nbsp;&nbsp; Series 2003-71, Class MB, 5.50%, 08/25/2033 | &nbsp;&nbsp; Series 2003-71, Class MB, 5.50%, 08/25/2033 | 176449 | 182132 |
| &nbsp;&nbsp; Series 2005-110, Class GL, 5.50%, 12/25/2035 | &nbsp;&nbsp; Series 2005-110, Class GL, 5.50%, 12/25/2035 | 415377 | 431352 |
| &nbsp;&nbsp; Series 2006-112, Class QC, 5.50%, 11/25/2036 | &nbsp;&nbsp; Series 2006-112, Class QC, 5.50%, 11/25/2036 | 592928 | 614719 |
| &nbsp;&nbsp; Series 2006-21, Class Z, 5.50%, 04/25/2036 | &nbsp;&nbsp; Series 2006-21, Class Z, 5.50%, 04/25/2036 | 184820 | 190701 |
| &nbsp;&nbsp; Series 2007-22, Class A, 5.50%, 03/25/2037 | &nbsp;&nbsp; Series 2007-22, Class A, 5.50%, 03/25/2037 | 260519 | 268439 |
| &nbsp;&nbsp; Series 2008-2, Class PH, 5.50%, 02/25/2038 | &nbsp;&nbsp; Series 2008-2, Class PH, 5.50%, 02/25/2038 | 348167 | 354780 |
| &nbsp;&nbsp; Series 2009-20, Class DS, 2.93% (-1 x 30 day avg SOFR US + 7.29%), 04/25/2039 <sup>(a)(c)</sup> | &nbsp;&nbsp; Series 2009-20, Class DS, 2.93% (-1 x 30 day avg SOFR US + 7.29%), 04/25/2039 <sup>(a)(c)</sup> | 427854 | 61209 |
| &nbsp;&nbsp; Series 2012-10, Class UF, 5.02% (30 day avg SOFR US + 0.66%), 02/25/2042 | &nbsp;&nbsp; Series 2012-10, Class UF, 5.02% (30 day avg SOFR US + 0.66%), 02/25/2042 | 41741 | 41467 |
| &nbsp;&nbsp; Series 2012-139, Class HI, 2.50%, 12/25/2027 <sup>(a)</sup> | &nbsp;&nbsp; Series 2012-139, Class HI, 2.50%, 12/25/2027 <sup>(a)</sup> | 166272 | 3051 |
| &nbsp;&nbsp; Series 2012-27, Class PI, 4.50%, 02/25/2042 <sup>(a)</sup> | &nbsp;&nbsp; Series 2012-27, Class PI, 4.50%, 02/25/2042 <sup>(a)</sup> | 309456 | 19507 |
| &nbsp;&nbsp; Series 2012-65, Class HJ, 5.00%, 07/25/2040 | &nbsp;&nbsp; Series 2012-65, Class HJ, 5.00%, 07/25/2040 | 662593 | 675708 |
| &nbsp;&nbsp; Series 2013-15, Class QI, 3.00%, 03/25/2028 <sup>(a)</sup> | &nbsp;&nbsp; Series 2013-15, Class QI, 3.00%, 03/25/2028 <sup>(a)</sup> | 13628 | 310 |
| &nbsp;&nbsp; Series 2013-34, Class IG, 3.00%, 05/25/2042 <sup>(a)</sup> | &nbsp;&nbsp; Series 2013-34, Class IG, 3.00%, 05/25/2042 <sup>(a)</sup> | 209077 | 15822 |
| &nbsp;&nbsp; Series 2014-8, Class IQ, 4.00%, 03/25/2034 <sup>(a)</sup> | &nbsp;&nbsp; Series 2014-8, Class IQ, 4.00%, 03/25/2034 <sup>(a)</sup> | 760830 | 71857 |
| &nbsp;&nbsp; Series 2015-40, Class LI, 4.50%, 03/25/2045 <sup>(a)</sup> | &nbsp;&nbsp; Series 2015-40, Class LI, 4.50%, 03/25/2045 <sup>(a)</sup> | 251753 | 41364 |
| &nbsp;&nbsp; Series 2018-86, Class JA, 4.00%, 05/25/2047 | &nbsp;&nbsp; Series 2018-86, Class JA, 4.00%, 05/25/2047 | 88662 | 88275 |
| &nbsp;&nbsp; Series 2019-37, Class IM, 5.00%, 07/25/2049 <sup>(a)</sup> | &nbsp;&nbsp; Series 2019-37, Class IM, 5.00%, 07/25/2049 <sup>(a)</sup> | 681370 | 124764 |
| &nbsp;&nbsp; Series 2021-95, Class WI, 1.91%, 02/25/2035 <sup>(a)(d)</sup> | &nbsp;&nbsp; Series 2021-95, Class WI, 1.91%, 02/25/2035 <sup>(a)(d)</sup> | 3927559 | 257658 |
| Ginnie Mae I Pool | Ginnie Mae I Pool | Ginnie Mae I Pool | Ginnie Mae I Pool |
| &nbsp;&nbsp; Pool 589694, 4.50%, 08/15/2029 | &nbsp;&nbsp; Pool 589694, 4.50%, 08/15/2029 | 414790 | 415525 |
| &nbsp;&nbsp; Pool 623145, 5.50%, 10/15/2028 | &nbsp;&nbsp; Pool 623145, 5.50%, 10/15/2028 | 69304 | 71208 |
| &nbsp;&nbsp; Pool 728157, 3.75%, 11/15/2029 | &nbsp;&nbsp; Pool 728157, 3.75%, 11/15/2029 | 14696 | 14543 |
| &nbsp;&nbsp; Pool 784315, 6.00%, 06/15/2036 | &nbsp;&nbsp; Pool 784315, 6.00%, 06/15/2036 | 10989 | 11236 |
| Ginnie Mae II Pool | Ginnie Mae II Pool | Ginnie Mae II Pool | Ginnie Mae II Pool |
| &nbsp;&nbsp; Pool 3160, 6.00%, 11/20/2031 | &nbsp;&nbsp; Pool 3160, 6.00%, 11/20/2031 | 156942 | 163972 |
| &nbsp;&nbsp; Pool 3489, 6.00%, 12/20/2033 | &nbsp;&nbsp; Pool 3489, 6.00%, 12/20/2033 | 229960 | 239249 |
| &nbsp;&nbsp; Pool 4194, 5.50%, 07/20/2038 | &nbsp;&nbsp; Pool 4194, 5.50%, 07/20/2038 | 86363 | 88970 |
| &nbsp;&nbsp; Pool 770225, 4.25%, 08/20/2031 | &nbsp;&nbsp; Pool 770225, 4.25%, 08/20/2031 | 144175 | 144195 |
| &nbsp;&nbsp; Pool 770226, 4.75%, 09/20/2036 | &nbsp;&nbsp; Pool 770226, 4.75%, 09/20/2036 | 168973 | 168652 |
| &nbsp;&nbsp; Pool 782173, 5.50%, 05/20/2035 | &nbsp;&nbsp; Pool 782173, 5.50%, 05/20/2035 | 123956 | 127592 |
| &nbsp;&nbsp; Pool AC0521, 5.50%, 05/20/2042 | &nbsp;&nbsp; Pool AC0521, 5.50%, 05/20/2042 | 426455 | 438845 |
| &nbsp;&nbsp; Pool BT1891, 2.50%, 12/20/2050 | &nbsp;&nbsp; Pool BT1891, 2.50%, 12/20/2050 | 949108 | 803412 |
| &nbsp;&nbsp; Pool CJ2171, 4.00%, 05/20/2052 | &nbsp;&nbsp; Pool CJ2171, 4.00%, 05/20/2052 | 1478378 | 1437107 |
| &nbsp;&nbsp; Pool MA6598, 2.50%, 04/20/2050 | &nbsp;&nbsp; Pool MA6598, 2.50%, 04/20/2050 | 999030 | 862697 |
| &nbsp;&nbsp; Pool MA6656, 3.00%, 05/20/2050 | &nbsp;&nbsp; Pool MA6656, 3.00%, 05/20/2050 | 2390074 | 2138234 |
| &nbsp;&nbsp; Pool MA6994, 2.00%, 11/20/2050 | &nbsp;&nbsp; Pool MA6994, 2.00%, 11/20/2050 | 1477033 | 1222627 |
| &nbsp;&nbsp; Pool MA7051, 2.00%, 12/20/2050 | &nbsp;&nbsp; Pool MA7051, 2.00%, 12/20/2050 | 3079754 | 2548345 |
| &nbsp;&nbsp; Pool MA7106, 2.00%, 01/20/2036 | &nbsp;&nbsp; Pool MA7106, 2.00%, 01/20/2036 | 458508 | 426851 |
| &nbsp;&nbsp; Pool MA7164, 2.00%, 02/20/2036 | &nbsp;&nbsp; Pool MA7164, 2.00%, 02/20/2036 | 438017 | 407787 |
| &nbsp;&nbsp; Pool MA7192, 2.00%, 02/20/2051 | &nbsp;&nbsp; Pool MA7192, 2.00%, 02/20/2051 | 3061412 | 2536948 |
| &nbsp;&nbsp; Pool MA7254, 2.00%, 03/20/2051 | &nbsp;&nbsp; Pool MA7254, 2.00%, 03/20/2051 | 3174611 | 2630758 |
| &nbsp;&nbsp; Pool MA7312, 2.50%, 04/20/2051 | &nbsp;&nbsp; Pool MA7312, 2.50%, 04/20/2051 | 2970316 | 2561215 |
| &nbsp;&nbsp; Pool MA7419, 3.00%, 06/20/2051 | &nbsp;&nbsp; Pool MA7419, 3.00%, 06/20/2051 | 2770105 | 2477018 |
| &nbsp;&nbsp; Pool MA7471, 2.00%, 07/20/2051 | &nbsp;&nbsp; Pool MA7471, 2.00%, 07/20/2051 | 3110311 | 2573565 |
| &nbsp;&nbsp; Pool MA7650, 3.00%, 10/20/2051 | &nbsp;&nbsp; Pool MA7650, 3.00%, 10/20/2051 | 2705678 | 2419393 |
| &nbsp;&nbsp; Pool MA7834, 6.00%, 01/20/2052 | &nbsp;&nbsp; Pool MA7834, 6.00%, 01/20/2052 | 272485 | 287146 |
| &nbsp;&nbsp; Pool MA8268, 4.50%, 09/20/2052 | &nbsp;&nbsp; Pool MA8268, 4.50%, 09/20/2052 | 1806731 | 1766233 |
| &nbsp;&nbsp; Pool MA8348, 5.00%, 10/20/2052 | &nbsp;&nbsp; Pool MA8348, 5.00%, 10/20/2052 | 3002209 | 3005854 |
| &nbsp;&nbsp; Pool MA8642, 2.50%, 02/20/2053 | &nbsp;&nbsp; Pool MA8642, 2.50%, 02/20/2053 | 2744452 | 2388513 |
| &nbsp;&nbsp; Pool MA8646, 4.50%, 02/20/2053 | &nbsp;&nbsp; Pool MA8646, 4.50%, 02/20/2053 | 3106243 | 3031801 |
| &nbsp;&nbsp; Pool MB0025, 5.00%, 11/20/2054 | &nbsp;&nbsp; Pool MB0025, 5.00%, 11/20/2054 | 1540517 | 1534928 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp; Series 2004-93, Class PD, 5.00%, 11/16/2034 | &nbsp;&nbsp; Series 2004-93, Class PD, 5.00%, 11/16/2034 | 234626 | 234346 |
| &nbsp;&nbsp; Series 2006-40, Class B, 6.00%, 08/20/2036 | &nbsp;&nbsp; Series 2006-40, Class B, 6.00%, 08/20/2036 | 44289 | 44530 |
| &nbsp;&nbsp; Series 2010-105, Class IB, 4.50%, 01/16/2040 <sup>(a)</sup> | &nbsp;&nbsp; Series 2010-105, Class IB, 4.50%, 01/16/2040 <sup>(a)</sup> | 389672 | 30924 |
| &nbsp;&nbsp; Series 2011-156, Class PM, 2.00%, 04/20/2040 | &nbsp;&nbsp; Series 2011-156, Class PM, 2.00%, 04/20/2040 | 682000 | 562249 |
| &nbsp;&nbsp; Series 2011-2, Class DP, 5.46%, 03/20/2039 <sup>(d)</sup> | &nbsp;&nbsp; Series 2011-2, Class DP, 5.46%, 03/20/2039 <sup>(d)</sup> | 330731 | 338190 |
| &nbsp;&nbsp; Series 2012-143, Class IC, 5.00%, 10/16/2041 <sup>(a)</sup> | &nbsp;&nbsp; Series 2012-143, Class IC, 5.00%, 10/16/2041 <sup>(a)</sup> | 646022 | 109866 |
| &nbsp;&nbsp; Series 2012-52, Class WA, 6.19%, 04/20/2038 <sup>(d)</sup> | &nbsp;&nbsp; Series 2012-52, Class WA, 6.19%, 04/20/2038 <sup>(d)</sup> | 246956 | 255579 |
| &nbsp;&nbsp; Series 2012-97, Class GB, 2.00%, 08/16/2042 | &nbsp;&nbsp; Series 2012-97, Class GB, 2.00%, 08/16/2042 | 831612 | 696552 |
| &nbsp;&nbsp; Series 2013-168, Class IA, 2.50%, 11/16/2028 <sup>(a)</sup> | &nbsp;&nbsp; Series 2013-168, Class IA, 2.50%, 11/16/2028 <sup>(a)</sup> | 74942 | 1262 |
| &nbsp;&nbsp; Series 2013-86, Class IA, 5.00%, 06/20/2043 <sup>(a)</sup> | &nbsp;&nbsp; Series 2013-86, Class IA, 5.00%, 06/20/2043 <sup>(a)</sup> | 364222 | 37144 |
| &nbsp;&nbsp; Series 2014-6, Class IG, 4.50%, 01/16/2044 <sup>(a)</sup> | &nbsp;&nbsp; Series 2014-6, Class IG, 4.50%, 01/16/2044 <sup>(a)</sup> | 273080 | 33105 |
| &nbsp;&nbsp; Series 2016-112, Class AW, 6.91%, 12/20/2040 <sup>(d)</sup> | &nbsp;&nbsp; Series 2016-112, Class AW, 6.91%, 12/20/2040 <sup>(d)</sup> | 122995 | 128882 |
| &nbsp;&nbsp; Series 2016-12, Class KI, 5.00%, 09/20/2038 <sup>(a)</sup> | &nbsp;&nbsp; Series 2016-12, Class KI, 5.00%, 09/20/2038 <sup>(a)</sup> | 533528 | 60190 |
| &nbsp;&nbsp; Series 2016-68, Class IC, 6.00%, 01/20/2040 <sup>(a)(d)</sup> | &nbsp;&nbsp; Series 2016-68, Class IC, 6.00%, 01/20/2040 <sup>(a)(d)</sup> | 342159 | 38847 |
| &nbsp;&nbsp; Series 2017-103, Class IM, 5.00%, 06/20/2043 <sup>(a)</sup> | &nbsp;&nbsp; Series 2017-103, Class IM, 5.00%, 06/20/2043 <sup>(a)</sup> | 578809 | 64300 |
| &nbsp;&nbsp; Series 2017-167, Class SE, 1.95% (-1 x 1 mo. Term SOFR + 6.09%), 11/20/2047 <sup>(a)(c)</sup> | &nbsp;&nbsp; Series 2017-167, Class SE, 1.95% (-1 x 1 mo. Term SOFR + 6.09%), 11/20/2047 <sup>(a)(c)</sup> | 1594475 | 208167 |
| &nbsp;&nbsp; Series 2017-83, Class ID, 7.00%, 01/20/2039 <sup>(a)</sup> | &nbsp;&nbsp; Series 2017-83, Class ID, 7.00%, 01/20/2039 <sup>(a)</sup> | 183658 | 17069 |
| &nbsp;&nbsp; Series 2017-83, Class IK, 6.00%, 05/20/2040 <sup>(a)</sup> | &nbsp;&nbsp; Series 2017-83, Class IK, 6.00%, 05/20/2040 <sup>(a)</sup> | 602749 | 96837 |
| &nbsp;&nbsp; Series 2018-127, Class PB, 3.00%, 09/20/2047 | &nbsp;&nbsp; Series 2018-127, Class PB, 3.00%, 09/20/2047 | 213450 | 202425 |
| &nbsp;&nbsp; Series 2018-153, Class QA, 3.50%, 11/20/2048 | &nbsp;&nbsp; Series 2018-153, Class QA, 3.50%, 11/20/2048 | 350618 | 337912 |
| &nbsp;&nbsp; Series 2018-36, Class LI, 5.00%, 03/20/2048 <sup>(a)</sup> | &nbsp;&nbsp; Series 2018-36, Class LI, 5.00%, 03/20/2048 <sup>(a)</sup> | 1569136 | 219018 |
| &nbsp;&nbsp; Series 2019-162, Class KB, 2.00%, 12/20/2049 | &nbsp;&nbsp; Series 2019-162, Class KB, 2.00%, 12/20/2049 | 579422 | 366919 |
| &nbsp;&nbsp; Series 2021-125, Class UL, 1.50%, 07/20/2051 | &nbsp;&nbsp; Series 2021-125, Class UL, 1.50%, 07/20/2051 | 1840282 | 1316272 |
| &nbsp;&nbsp; Series 2021-160, Class DK, 2.00%, 09/20/2051 | &nbsp;&nbsp; Series 2021-160, Class DK, 2.00%, 09/20/2051 | 1049804 | 676789 |
| &nbsp;&nbsp; Series 2021-177, Class KD, 2.00%, 10/20/2051 | &nbsp;&nbsp; Series 2021-177, Class KD, 2.00%, 10/20/2051 | 1791418 | 1211759 |
| &nbsp;&nbsp; Series 2021-50, Class PL, 1.25%, 03/20/2051 | &nbsp;&nbsp; Series 2021-50, Class PL, 1.25%, 03/20/2051 | 552000 | 242519 |
| &nbsp;&nbsp; Series 2022-9, Class CD, 2.00%, 01/20/2052 | &nbsp;&nbsp; Series 2022-9, Class CD, 2.00%, 01/20/2052 | 2515250 | 1754371 |
| **TOTAL AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES** (Cost $294,945,322) | **TOTAL AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES** (Cost $294,945,322) | **TOTAL AGENCY RESIDENTIAL MORTGAGE-BACKED SECURITIES** (Cost $294,945,322) | 288467201 |
| **ASSET-BACKED SECURITIES - 5.6%** | **ASSET-BACKED SECURITIES - 5.6%** | **Par** | **Value**  |
| American Homes 4 Rent | American Homes 4 Rent | American Homes 4 Rent | American Homes 4 Rent |
| &nbsp;&nbsp; Series 2015-SFR2, Class A, 3.73%, 10/17/2052 <sup>(e)</sup> | &nbsp;&nbsp; Series 2015-SFR2, Class A, 3.73%, 10/17/2052 <sup>(e)</sup> | 201485 | 201092 |
| &nbsp;&nbsp; Series 2015-SFR2, Class C, 4.69%, 10/17/2052 <sup>(e)</sup> | &nbsp;&nbsp; Series 2015-SFR2, Class C, 4.69%, 10/17/2052 <sup>(e)</sup> | 250000 | 249444 |
|  CarMax Auto Owner Trust, Series 2025-3, Class B, 4.68%, 03/17/2031 | CarMax Auto Owner Trust, Series 2025-3, Class B, 4.68%, 03/17/2031 | 1510000 | 1532524 |
|  CarMax Select Receivables Trust, Series 2024-A, Class A2A, 5.78%, 09/15/2027 | CarMax Select Receivables Trust, Series 2024-A, Class A2A, 5.78%, 09/15/2027 | 175938 | 176516 |
| FHF Trust | FHF Trust | FHF Trust | FHF Trust |
| &nbsp;&nbsp; Series 2024-2A, Class A2, 5.89%, 06/15/2030 <sup>(e)</sup> | &nbsp;&nbsp; Series 2024-2A, Class A2, 5.89%, 06/15/2030 <sup>(e)</sup> | 610352 | 616245 |
| &nbsp;&nbsp; Series 2024-3A, Class A2, 4.94%, 11/15/2030 <sup>(e)</sup> | &nbsp;&nbsp; Series 2024-3A, Class A2, 4.94%, 11/15/2030 <sup>(e)</sup> | 835131 | 834341 |
|  Ford Credit Auto Owner Trust, Series 2024-B, Class B, 5.23%, 05/15/2030 | Ford Credit Auto Owner Trust, Series 2024-B, Class B, 5.23%, 05/15/2030 | 1795000 | 1832578 |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust |
| &nbsp;&nbsp; Series 2025-B, Class B, 4.72%, 07/15/2030 | &nbsp;&nbsp; Series 2025-B, Class B, 4.72%, 07/15/2030 | 1695000 | 1727325 |
| &nbsp;&nbsp; Series 2025-C, Class B, 4.13%, 01/15/2032 | &nbsp;&nbsp; Series 2025-C, Class B, 4.13%, 01/15/2032 | 870000 | 868859 |
|  John Deere Owner Trust, Series 2025-B, Class A4, 4.34%, 06/15/2032 | John Deere Owner Trust, Series 2025-B, Class A4, 4.34%, 06/15/2032 | 1000000 | 1010917 |
| Kubota Credit Owner Trust | Kubota Credit Owner Trust | Kubota Credit Owner Trust | Kubota Credit Owner Trust |
| &nbsp;&nbsp; Series 2025-2A, Class A3, 4.42%, 09/17/2029 <sup>(e)</sup> | &nbsp;&nbsp; Series 2025-2A, Class A3, 4.42%, 09/17/2029 <sup>(e)</sup> | 855000 | 864380 |
| &nbsp;&nbsp; Series 2025-2A, Class A4, 4.57%, 11/15/2030 <sup>(e)</sup> | &nbsp;&nbsp; Series 2025-2A, Class A4, 4.57%, 11/15/2030 <sup>(e)</sup> | 865000 | 878906 |
|  Toyota Auto Receivables Owner Trust, Series 2024-A, Class A3, 4.83%, 10/16/2028 | Toyota Auto Receivables Owner Trust, Series 2024-A, Class A3, 4.83%, 10/16/2028 | 2000000 | 2013698 |
|  Verizon Master Trust, Series 2024-5, Class A, 5.00%, 06/21/2032 <sup>(e)</sup> | Verizon Master Trust, Series 2024-5, Class A, 5.00%, 06/21/2032 <sup>(e)</sup> | 2935000 | 3029970 |
| **TOTAL ASSET-BACKED SECURITIES** (Cost $15,682,285) | **TOTAL ASSET-BACKED SECURITIES** (Cost $15,682,285) | **TOTAL ASSET-BACKED SECURITIES** (Cost $15,682,285) | 15836795 |
| **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.2%** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.2%** | **Par** | **Value**  |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |
| &nbsp;&nbsp; Pool WA3311, 2.21%, 04/01/2038 | &nbsp;&nbsp; Pool WA3311, 2.21%, 04/01/2038 | 3097867 | 2378114 |
| &nbsp;&nbsp; Series Q006, Class APT2, 2.69%, 09/25/2026 <sup>(d)</sup> | &nbsp;&nbsp; Series Q006, Class APT2, 2.69%, 09/25/2026 <sup>(d)</sup> | 300446 | 297997 |
| &nbsp;&nbsp; Series Q007, Class APT1, 6.39%, 10/25/2047 <sup>(d)</sup> | &nbsp;&nbsp; Series Q007, Class APT1, 6.39%, 10/25/2047 <sup>(d)</sup> | 430007 | 430121 |
| &nbsp;&nbsp; Series Q010, Class APT1, 7.68%, 04/25/2046 <sup>(d)</sup> | &nbsp;&nbsp; Series Q010, Class APT1, 7.68%, 04/25/2046 <sup>(d)</sup> | 33152 | 33134 |
| Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp; Pool 467095, 5.90%, 01/01/2041 | &nbsp;&nbsp; Pool 467095, 5.90%, 01/01/2041 | 539211 | 581361 |
| &nbsp;&nbsp; Pool 470828, 3.53%, 03/01/2032 | &nbsp;&nbsp; Pool 470828, 3.53%, 03/01/2032 | 729662 | 706637 |
| &nbsp;&nbsp; Pool 957502, 3.98%, 07/01/2029 | &nbsp;&nbsp; Pool 957502, 3.98%, 07/01/2029 | 192382 | 191805 |
| &nbsp;&nbsp; Pool 958720, 5.65%, 10/01/2028 | &nbsp;&nbsp; Pool 958720, 5.65%, 10/01/2028 | 706484 | 736349 |
| &nbsp;&nbsp; Pool AN8842, 3.32%, 04/01/2028 | &nbsp;&nbsp; Pool AN8842, 3.32%, 04/01/2028 | 150000 | 147324 |
| &nbsp;&nbsp; Pool AN9931, 4.24%, 08/01/2048 | &nbsp;&nbsp; Pool AN9931, 4.24%, 08/01/2048 | 969488 | 865862 |
| &nbsp;&nbsp; Pool BL0387, 4.28%, 05/01/2028 | &nbsp;&nbsp; Pool BL0387, 4.28%, 05/01/2028 | 2606221 | 2612952 |
| &nbsp;&nbsp; Pool BS6456, 3.58%, 09/01/2032 | &nbsp;&nbsp; Pool BS6456, 3.58%, 09/01/2032 | 1550000 | 1483911 |
| &nbsp;&nbsp; Series 2006-M2, Class A2A, 5.27%, 10/25/2032 <sup>(d)</sup> | &nbsp;&nbsp; Series 2006-M2, Class A2A, 5.27%, 10/25/2032 <sup>(d)</sup> | 57395 | 57587 |
| FREMF Mortgage Trust | FREMF Mortgage Trust | FREMF Mortgage Trust | FREMF Mortgage Trust |
| &nbsp;&nbsp; Series 2019-KF73, Class B, 6.92% (30 day avg SOFR US + 2.56%), 11/25/2029 <sup>(e)</sup> | &nbsp;&nbsp; Series 2019-KF73, Class B, 6.92% (30 day avg SOFR US + 2.56%), 11/25/2029 <sup>(e)</sup> | 505578 | 469668 |
| &nbsp;&nbsp; Series 2020-KF74, Class B, 6.62% (30 day avg SOFR US + 2.26%), 01/25/2027 <sup>(e)</sup> | &nbsp;&nbsp; Series 2020-KF74, Class B, 6.62% (30 day avg SOFR US + 2.26%), 01/25/2027 <sup>(e)</sup> | 490858 | 486704 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp; Series 2014-135, Class IO, 0.41%, 01/16/2056 <sup>(a)(d)</sup> | &nbsp;&nbsp; Series 2014-135, Class IO, 0.41%, 01/16/2056 <sup>(a)(d)</sup> | 1006050 | 21060 |
| &nbsp;&nbsp; Series 2015-172, Class IO, 0.59%, 03/16/2057 <sup>(a)(d)</sup> | &nbsp;&nbsp; Series 2015-172, Class IO, 0.59%, 03/16/2057 <sup>(a)(d)</sup> | 905058 | 18223 |
| &nbsp;&nbsp; Series 2016-40, Class IO, 0.56%, 07/16/2057 <sup>(a)(d)</sup> | &nbsp;&nbsp; Series 2016-40, Class IO, 0.56%, 07/16/2057 <sup>(a)(d)</sup> | 1783165 | 36312 |
| &nbsp;&nbsp; Series 2016-56, Class IO, 0.96%, 11/16/2057 <sup>(a)(d)</sup> | &nbsp;&nbsp; Series 2016-56, Class IO, 0.96%, 11/16/2057 <sup>(a)(d)</sup> | 1178910 | 50928 |
| &nbsp;&nbsp; Series 2016-98, Class IO, 0.84%, 05/16/2058 <sup>(a)(d)</sup> | &nbsp;&nbsp; Series 2016-98, Class IO, 0.84%, 05/16/2058 <sup>(a)(d)</sup> | 1789532 | 76361 |
|  Small Business Administration Pools, Pool 522053, 8.11% (Prime Rate + 0.61%), 05/25/2026 | Small Business Administration Pools, Pool 522053, 8.11% (Prime Rate + 0.61%), 05/25/2026 | 1462 | 1450 |
| **TOTAL AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** (Cost $12,807,897) | **TOTAL AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** (Cost $12,807,897) | **TOTAL AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** (Cost $12,807,897) | 11683860 |
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.8%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.8%** | **Par** | **Value**  |
| BX Trust | BX Trust | BX Trust | BX Trust |
| &nbsp;&nbsp; Series 2024-VLT4, Class A, 5.64% (1 mo. Term SOFR + 1.49%), 06/15/2041 <sup>(e)</sup> | &nbsp;&nbsp; Series 2024-VLT4, Class A, 5.64% (1 mo. Term SOFR + 1.49%), 06/15/2041 <sup>(e)</sup> | 1425000 | 1427661 |
| &nbsp;&nbsp; Series 2025-VLT6, Class A, 5.59% (1 mo. Term SOFR + 1.44%), 03/15/2042 <sup>(e)</sup> | &nbsp;&nbsp; Series 2025-VLT6, Class A, 5.59% (1 mo. Term SOFR + 1.44%), 03/15/2042 <sup>(e)</sup> | 915000 | 916035 |
| **TOTAL NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** (Cost $2,336,583) | **TOTAL NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** (Cost $2,336,583) | **TOTAL NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** (Cost $2,336,583) | 2343696 |
| **MUNICIPAL BONDS - 0.1%** | **MUNICIPAL BONDS - 0.1%** | **Par** | **Value**  |
|  Colorado Health Facilities Authority, 2.80%, 12/01/2026 | Colorado Health Facilities Authority, 2.80%, 12/01/2026 | 365000 | 358726 |
| **TOTAL MUNICIPAL BONDS** (Cost $365,000) | **TOTAL MUNICIPAL BONDS** (Cost $365,000) | **TOTAL MUNICIPAL BONDS** (Cost $365,000) | 358726 |
| **SHORT-TERM INVESTMENTS - 2.7%** | **SHORT-TERM INVESTMENTS - 2.7%** | **Shares** | **Value**  |
| **Money Market Funds – 2.7%**<br> First American Government Obligations Fund - Class Z, 4.01%<sup>(f)</sup> | **Money Market Funds – 2.7%**<br> First American Government Obligations Fund - Class Z, 4.01%<sup>(f)</sup> | 7722021 | 7722021 |
| **TOTAL SHORT-TERM INVESTMENTS** (Cost $7,722,021) | **TOTAL SHORT-TERM INVESTMENTS** (Cost $7,722,021) | **TOTAL SHORT-TERM INVESTMENTS** (Cost $7,722,021) | 7722021 |
| **TOTAL INVESTMENTS - 115.7% (**Cost $333,859,108**)** | **TOTAL INVESTMENTS - 115.7% (**Cost $333,859,108**)** | **TOTAL INVESTMENTS - 115.7% (**Cost $333,859,108**)** | 326412299 |
| Liabilities in Excess of Other Assets - (15.6)% | Liabilities in Excess of Other Assets - (15.6)% | Liabilities in Excess of Other Assets - (15.6)% | (44324053) |
| **TOTAL NET ASSETS - 100.0%** | 0.0% | 0.0% | $282088246 |
| two | two | two | –% |
| Par amount is in USD unless otherwise indicated. | Par amount is in USD unless otherwise indicated. | Par amount is in USD unless otherwise indicated. |  |
| Percentages are stated as a percent of net assets. | Percentages are stated as a percent of net assets. | Percentages are stated as a percent of net assets. | –% |

---

---

| |
|:---|
| CMT - Constant Maturity Treasury |
| RFUCCT1Y - Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year |
| RFUCCT6M - Refinitiv USD IBOR Consumer Cash Fallbacks Term 6 Months |
| SOFR - Secured Overnight Financing Rate |

---

(a) Interest only security.

(b) To-be-announced security.

(c) Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope.
 Interest rate may also be subject to a cap or floor.

(d) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral
 increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2025.

(e) Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified
 institutional investors.

(f) The rate shown represents the 7-day annualized yield as of September 30, 2025.

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Brown Advisory Mortgage Securities Fund** | **Brown Advisory Mortgage Securities Fund** | **Brown Advisory Mortgage Securities Fund** | **Brown Advisory Mortgage Securities Fund** | **Brown Advisory Mortgage Securities Fund** | |
| **Schedule of Open Futures Contracts** | **Schedule of Open Futures Contracts** | **Schedule of Open Futures Contracts** | **Schedule of Open Futures Contracts** | **Schedule of Open Futures Contracts** | |
| **September 30, 2025 (Unaudited)** | **September 30, 2025 (Unaudited)** | **September 30, 2025 (Unaudited)** | **September 30, 2025 (Unaudited)** | **September 30, 2025 (Unaudited)** | |
| **Description** | **Contracts**<br> **Purchased** | **Expiration**<br> **Date** | **Notional**<br> **Amount** | **Notional Value** | **Unrealized**<br> **Appreciation**<br> (Depreciation) |
| &nbsp;&nbsp;&nbsp;&nbsp;10 Year U.S. Ultra Treasury Notes | 10 | 12/19/2025 | $1150333 | $1150781 | $448 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 10 Year Notes | 26 | 12/19/2025 | 2918955 | 2925000 | 6045 |
|  |  |  | $4069288 | $4075781 | $6493 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Contracts Sold** | **Expiration**<br> **Date** | **Notional**<br> **Amount** | **Notional Value** | **Unrealized**<br> **Appreciation**<br> (Depreciation) |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 2 Year Notes | (17) | 12/31/2025 | $(3549249) | $(3542773) | $6476 |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury 5 Year Note | (34) | 12/31/2025 | (3711843) | (3712641) | (798) |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Long Bonds | (134) | 12/19/2025 | (15385784) | (15623563) | (237779) |
| &nbsp;&nbsp;&nbsp;&nbsp;U.S. Treasury Ultra Bonds | (31) | 12/19/2025 | (3632981) | (3721937) | (88956) |
|  |  |  | $(26279857) | $(26600914) | $(321057) |
| **Total Unrealized Appreciation (Depreciation)** | **Total Unrealized Appreciation (Depreciation)** |  |  |  | $(314564) |

---

There is no variation margin due to or from the Fund as of the date of this report. The Fund's investments in futures contracts were valued using Level 1 inputs as of the date of this report.

------

#### Summary of Fair Value Disclosure as of September 30, 2025 (Unaudited)
Brown Advisory Mortgage Securities Fund (the "Fund") has adopted fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion of changes in valuation techniques and related inputs during the period, and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below. The inputs or valuation methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund's own assumptions about the assumptions a market participant would use in valuing the asset or liability, and based on the best information available.

The following is a summary of the fair valuation hierarchy of the Fund's securities as of September 30, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **<u>Level 1</u>** | **<u>Level 2</u>** | **<u>Level 3</u>** | **<u>Total</u>** |
| <u>Investments:</u> |  |  |  |  |
|  &nbsp;&nbsp;&nbsp;&nbsp;Agency Residential Mortgage-Backed Securities | $– | $288467201 | $– | $288467201 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Asset-Backed Securities | – | 15836795 | – | 15836795 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Agency Commercial Mortgage-Backed Securities | – | 11683860 | – | 11683860 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Non-Agency Commercial Mortgage-Backed Securities | – | 2343696 | – | 2343696 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Municipal Bonds | – | 358726 | – | 358726 |
|  &nbsp;&nbsp;&nbsp;&nbsp;Money Market Funds | 7722021 | – | – | 7722021 |
| Total Investments | $7722021 | $318690278 | $– | $326412299 |
| Refer to the Schedule of Investments for further disaggregation of investment categories. | Refer to the Schedule of Investments for further disaggregation of investment categories. | Refer to the Schedule of Investments for further disaggregation of investment categories. | Refer to the Schedule of Investments for further disaggregation of investment categories. | Refer to the Schedule of Investments for further disaggregation of investment categories. |

---

## 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:** 2026-06-30

- **b. Date as of which information is reported:** 2025-09-30

**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:** $328562878.04

**Total Liabilities:** $51202617.60

**Net Assets:** $277360260.44

**Delayed Delivery Securities:** $49700595.38

**Cash Not Reported:** $592220.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -27355.610000000000 | **1-Year:** 3007.490000000000 | **5-Year:** 4246.060000000000 | **10-Year:** 41682.520000000000 | **30-Year:** 127577.080000000000

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

- **3-Month:** 0.000000000000 | **1-Year:** 91.470000000000 | **5-Year:** 133.790000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000135279 | -0.46%               | 1.72%                | 1.07%                |
| Class ID C000135280 | -0.36%               | 1.60%                | 1.18%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-234412.43              | $-2271384.93                               |
| Month 2  | $-239251.35              | $3886032.44                                |
| Month 3  | $165864.25               | $2303847.40                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| COLORADO ST HLTH FACS AUTH REV | Colorado Health Facilities Authority                         | CUSIP: 19648FRX4<br>LEI: 5493002JB6DRFRZPEQ21 | Long             | DBT              | MUN               | US        |    365000 | PA      | $358726.31    | 0.13%             | 2026-12-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 312979C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56727 | PA      | $58907.86     | 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        |     73629 | PA      | $76479.81     | 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        |     36497 | PA      | $37898.63     | 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        |     74056 | PA      | $76227.36     | 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        |     26024 | PA      | $26625.18     | 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        |    116736 | PA      | $120777.96    | 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        |     68941 | PA      | $69496.39     | 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        |    460443 | PA      | $445216.75    | 0.16%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31371NU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138366 | PA      | $139218.88    | 0.05%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XDZ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3312974 | PA      | $3051325.55   | 1.10%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2276047 | PA      | $2031829.46   | 0.73%             | 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        |   2406600 | PA      | $2216533.41   | 0.80%             | 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        |   2735913 | PA      | $2307896.04   | 0.83%             | 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        |   3547402 | PA      | $2907699.94   | 1.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XFY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    912898 | PA      | $748986.19    | 0.27%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3085546 | PA      | $2918378.26   | 1.05%             | 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        |   1364409 | PA      | $1249227.00   | 0.45%             | 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        |   1914364 | PA      | $1685267.89   | 0.61%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGUE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378302 | PA      | $322894.24    | 0.12%             | 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        |   3047279 | PA      | $2719303.08   | 0.98%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust         | John Deere Owner Trust 2025-B                                | CUSIP: 47800UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1010916.70   | 0.36%             | 2032-06-15      | Fixed         | 4.34%                 | 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      | $864380.38    | 0.31%             | 2029-09-17      | Fixed         | 4.42%                 | No            |                  2 | 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      | $878905.57    | 0.32%             | 2030-11-15      | Fixed         | 4.57%                 | 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      | $2013698.00   | 0.73%             | 2028-10-16      | Fixed         | 4.83%                 | 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      | $3029970.14   | 1.09%             | 2032-06-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Dec25                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -47 | NC      | $6591.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Dec25                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -17 | NC      | $6476.01      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Dec25                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        20 | NC      | $5776.31      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Dec25                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -144 | NC      | $-259286.10   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Dec25                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -2 | NC      | $-629.04      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Dec25                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -31 | NC      | $-88956.28    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0206A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24390000 | PA      | $19664025.55  | 7.09%             | 2055-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0226A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7345000 | PA      | $6189279.67   | 2.23%             | 2055-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0306A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2175000 | PA      | $1910767.23   | 0.69%             | 2055-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KPTB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2347936 | PA      | $2150489.89   | 0.78%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KPY85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2444159 | PA      | $2448228.41   | 0.88%             | 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        |   1318572 | PA      | $1363753.82   | 0.49%             | 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        |   2754670 | PA      | $2553803.55   | 0.92%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136A3ZF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41741 | PA      | $41466.60     | 0.01%             | 2042-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136A4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309456 | PA      | $19506.83     | 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        |    662593 | PA      | $675708.36    | 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        |    166272 | PA      | $3050.66      | 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        |     13628 | PA      | $310.52       | 0.00%             | 2028-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136ADQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209077 | PA      | $15822.14     | 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        |    760830 | PA      | $71856.82     | 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        |    251753 | PA      | $41363.93     | 0.01%             | 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        |     88662 | PA      | $88274.62     | 0.03%             | 2047-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136B4Y51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    681370 | PA      | $124764.08    | 0.04%             | 2049-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0326A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   4454000 | PA      | $4069867.26   | 1.47%             | 2055-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136BKUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3927559 | PA      | $257658.47    | 0.09%             | 2035-02-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31392BKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43700 | PA      | $44240.26     | 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        |    176449 | PA      | $182131.60    | 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        |    415377 | PA      | $431352.23    | 0.16%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31395BP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184820 | PA      | $190701.26    | 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        |    592928 | PA      | $614719.08    | 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        |    260519 | PA      | $268438.79    | 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        |    348167 | PA      | $354779.66    | 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        |    427854 | PA      | $61209.16     | 0.02%             | 2039-04-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31412NYC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73535 | PA      | $76671.06     | 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        |     21130 | PA      | $21562.48     | 0.01%             | 2037-08-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27203 | PA      | $27722.76     | 0.01%             | 2037-08-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20145 | PA      | $20744.70     | 0.01%             | 2037-09-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413TV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56638 | PA      | $59875.66     | 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        |    192382 | PA      | $191805.15    | 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        |    706484 | PA      | $736349.08    | 0.27%             | 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        |     15434 | PA      | $15822.21     | 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        |    138635 | PA      | $134223.89    | 0.05%             | 2036-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418CR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1177624 | PA      | $1184039.69   | 0.43%             | 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        |   1020279 | PA      | $827825.79    | 0.30%             | 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        |    858445 | PA      | $699367.46    | 0.25%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418NBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156828 | PA      | $162505.02    | 0.06%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 31427MWR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1979972 | PA      | $2033223.46   | 0.73%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 31427N2K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    821795 | PA      | $801084.06    | 0.29%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 31427NVE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1357096 | PA      | $1388980.86   | 0.50%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378GRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    646022 | PA      | $109866.50    | 0.04%             | 2041-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378PP77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273080 | PA      | $33104.56     | 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        |    364222 | PA      | $37144.14     | 0.01%             | 2043-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0406A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   8730000 | PA      | $8228870.41   | 2.97%             | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0426A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2600000 | PA      | $2522239.77   | 0.91%             | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0506A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   1450000 | PA      | $1438242.72   | 0.52%             | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0526A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   2150000 | PA      | $2168047.57   | 0.78%             | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0626A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   2750000 | PA      | $2842234.84   | 1.02%             | 2055-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F0706A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $418443.14    | 0.15%             | 2055-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 2019-KF73 Mortgage Trust                               | CUSIP: 30313BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505578 | PA      | $469668.02    | 0.17%             | 2029-11-25      | Floating      | 6.92%                 | 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        |    610352 | PA      | $616244.89    | 0.22%             | 2030-06-15      | Fixed         | 5.89%                 | 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        |    835131 | PA      | $834340.79    | 0.30%             | 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        |     21952 | PA      | $22206.65     | 0.01%             | 2029-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31286DL33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63448 | PA      | $65654.13     | 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        |     38113 | PA      | $39464.86     | 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        |     27635 | PA      | $28353.60     | 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        |     86206 | PA      | $90997.78     | 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        |     75449 | PA      | $79642.75     | 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        |     71725 | PA      | $74392.15     | 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        |     45626 | PA      | $46810.74     | 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        |     58901 | PA      | $59313.37     | 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        |    271095 | PA      | $258145.75    | 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        |    209535 | PA      | $217373.74    | 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        |     27621 | PA      | $27950.73     | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                           | CUSIP: 31325XJ35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    625527 | PA      | $98256.35     | 0.04%             | 2049-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    936746 | PA      | $930660.04    | 0.34%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132E0HR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1032132 | PA      | $1050742.80   | 0.38%             | 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        |   3097867 | PA      | $2378114.35   | 0.86%             | 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        |   1331595 | PA      | $1180032.13   | 0.43%             | 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        |   2357599 | PA      | $1908440.73   | 0.69%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B9M50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    818362 | PA      | $700174.84    | 0.25%             | 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        |    490957 | PA      | $402263.27    | 0.15%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133BM2E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2506901 | PA      | $2545362.14   | 0.92%             | 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        |   1961144 | PA      | $1990694.55   | 0.72%             | 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        |   3374462 | PA      | $2850687.23   | 1.03%             | 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        |   3159220 | PA      | $2825387.40   | 1.02%             | 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        |   1595841 | PA      | $1366652.25   | 0.49%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3133T6T76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $9.19         | 0.00%             | 2026-04-15      | Fixed         | 7.00%                 | 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      | $1941520.77   | 0.70%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31376HVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1031 | PA      | $1063.72      | 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        |     11642 | PA      | $11680.58     | 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        |      4885 | PA      | $4893.12      | 0.00%             | 2027-04-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137AV4U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    762088 | PA      | $545836.16    | 0.20%             | 2042-10-15      | Fixed         | 2.00%                 | 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        |    300446 | PA      | $297996.84    | 0.11%             | 2026-09-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FFSV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2288593 | PA      | $1783893.26   | 0.64%             | 2051-03-25      | Fixed         | 1.25%                 | 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        |    430007 | PA      | $430121.30    | 0.16%             | 2047-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FM2D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72126 | PA      | $70891.69     | 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        |    552354 | PA      | $511064.26    | 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        |   1764454 | PA      | $1395184.47   | 0.50%             | 2050-03-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31381P3C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539211 | PA      | $581361.12    | 0.21%             | 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        |    729662 | PA      | $706637.16    | 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        |      5814 | PA      | $5845.71      | 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        |      6009 | PA      | $6298.60      | 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        |    659259 | PA      | $660368.22    | 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        |     32341 | PA      | $32746.08     | 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        |    129780 | PA      | $135151.35    | 0.05%             | 2039-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138EQQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299186 | PA      | $285487.40    | 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      | $147323.72    | 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        |    969488 | PA      | $865862.45    | 0.31%             | 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        |   2783310 | PA      | $2763219.95   | 1.00%             | 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        |    127215 | PA      | $123480.01    | 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        |   1070866 | PA      | $1054016.72   | 0.38%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31392X2G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23599 | PA      | $24178.10     | 0.01%             | 2032-10-15      | Fixed         | 5.50%                 | 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        |      4601 | PA      | $4339.33      | 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        |      7394 | PA      | $7426.53      | 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        |      1232 | PA      | $1235.60      | 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        |      4949 | PA      | $4932.72      | 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        |      4242 | PA      | $4148.60      | 0.00%             | 2043-06-25      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31395JU20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113789 | PA      | $116373.69    | 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        |    409947 | PA      | $412631.28    | 0.15%             | 2034-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                              | CUSIP: 31396PGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57395 | PA      | $57586.63     | 0.02%             | 2032-10-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31396RBT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236587 | PA      | $245133.42    | 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        |    146310 | PA      | $151837.70    | 0.05%             | 2037-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPCF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1326892 | PA      | $1283482.47   | 0.46%             | 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        |   2533434 | PA      | $2528846.47   | 0.91%             | 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        |   1719075 | PA      | $1782307.54   | 0.64%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPPG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1354073 | PA      | $1378918.23   | 0.50%             | 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        |   1167279 | PA      | $1228156.87   | 0.44%             | 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        |   2421883 | PA      | $2489089.40   | 0.90%             | 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        |   1370817 | PA      | $1391636.28   | 0.50%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XRGM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3221807 | PA      | $3294350.59   | 1.19%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XRMQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1040936 | PA      | $882629.42    | 0.32%             | 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        |     13649 | PA      | $14034.83     | 0.01%             | 2036-07-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31410KSS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23379 | PA      | $23618.07     | 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        |    180880 | PA      | $182651.33    | 0.07%             | 2036-07-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31412ECR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10294 | PA      | $10623.89     | 0.00%             | 2035-11-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3142J6BT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2689254 | PA      | $2713267.26   | 0.98%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                   | CUSIP: 31846V567<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |   7968087 | NS      | $7968087.39   | 2.87%             |  |  |  | No            |                  1 | 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      | $1832578.33   | 0.66%             | 2030-05-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36176MPJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144175 | PA      | $144194.61    | 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        |    168973 | PA      | $168652.01    | 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        |    426455 | PA      | $438845.43    | 0.16%             | 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        |    458508 | PA      | $426851.05    | 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        |    438017 | PA      | $407786.71    | 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        |   3061412 | PA      | $2536947.86   | 0.91%             | 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        |    999030 | PA      | $862696.63    | 0.31%             | 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        |   2390074 | PA      | $2138233.52   | 0.77%             | 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        |   1477033 | PA      | $1222627.46   | 0.44%             | 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        |   3079754 | PA      | $2548344.96   | 0.92%             | 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        |   3174611 | PA      | $2630757.70   | 0.95%             | 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        |   2970316 | PA      | $2561214.99   | 0.92%             | 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        |   2770105 | PA      | $2477017.60   | 0.89%             | 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        |   3110311 | PA      | $2573565.07   | 0.93%             | 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        |   2705678 | PA      | $2419392.60   | 0.87%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179WV39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272485 | PA      | $287145.62    | 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        |   1806731 | PA      | $1766232.83   | 0.64%             | 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        |   3002209 | PA      | $3005853.84   | 1.08%             | 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        |   2744452 | PA      | $2388512.59   | 0.86%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179XTB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3106243 | PA      | $3031800.68   | 1.09%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 3617MQC46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    949108 | PA      | $803412.31    | 0.29%             | 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        |   1478378 | PA      | $1437106.88   | 0.52%             | 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        |   1540517 | PA      | $1534928.39   | 0.55%             | 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        |    229960 | PA      | $239248.54    | 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        |    156942 | PA      | $163972.12    | 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        |     86363 | PA      | $88970.40     | 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        |    123956 | PA      | $127591.72    | 0.05%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 36291BHW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69304 | PA      | $71207.68     | 0.03%             | 2028-10-15      | 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        |    234626 | PA      | $234346.16    | 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        |     44289 | PA      | $44529.61     | 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        |    246956 | PA      | $255578.79    | 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      | $696552.31    | 0.25%             | 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        |    183658 | PA      | $17069.44     | 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        |    602749 | PA      | $96837.35     | 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        |    389672 | PA      | $30924.17     | 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        |    330731 | PA      | $338189.90    | 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      | $562249.26    | 0.20%             | 2040-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378XPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1006050 | PA      | $21059.55     | 0.01%             | 2056-01-16      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378YND7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74942 | PA      | $1262.09      | 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        |    905058 | PA      | $18222.89     | 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        |    533528 | PA      | $60189.77     | 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        |   1783165 | PA      | $36312.01     | 0.01%             | 2057-07-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379UQN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1178910 | PA      | $50927.51     | 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        |   1789532 | PA      | $76361.29     | 0.03%             | 2058-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379XBY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    342159 | PA      | $38847.05     | 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        |    122995 | PA      | $128882.21    | 0.05%             | 2040-12-20      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380H3F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1594475 | PA      | $208167.49    | 0.08%             | 2047-11-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380TG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    578809 | PA      | $64299.83     | 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        |   1569136 | PA      | $219018.25    | 0.08%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380YYX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213450 | PA      | $202424.84    | 0.07%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38381AY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    350618 | PA      | $337912.13    | 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      | $366918.87    | 0.13%             | 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      | $242519.43    | 0.09%             | 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        |   1840282 | PA      | $1316271.73   | 0.47%             | 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      | $676788.81    | 0.24%             | 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      | $1211759.47   | 0.44%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31403CNW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       629 | PA      | $631.56       | 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        |     14502 | PA      | $14876.45     | 0.01%             | 2036-05-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31403DSF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48558 | PA      | $50756.64     | 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        |      3833 | PA      | $3924.22      | 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        |     19558 | PA      | $19823.50     | 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        |     21201 | PA      | $21815.16     | 0.01%             | 2034-04-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31405AQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85418 | PA      | $87911.25     | 0.03%             | 2034-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31406TTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2375 | PA      | $2416.65      | 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        |     40933 | PA      | $41913.84     | 0.02%             | 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        |     17322 | PA      | $17680.58     | 0.01%             | 2035-09-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31407VNX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74685 | PA      | $73661.83     | 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        |    136582 | PA      | $136635.47    | 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        |      7491 | PA      | $7643.78      | 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        |      6307 | PA      | $6464.38      | 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        |      5440 | PA      | $5645.33      | 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        |     29795 | PA      | $29967.71     | 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        |   1598886 | PA      | $1653435.22   | 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        |   2283764 | PA      | $2366503.23   | 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        |    785724 | PA      | $756908.08    | 0.27%             | 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        |    468956 | PA      | $465800.88    | 0.17%             | 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        |    197600 | PA      | $199400.90    | 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        |    298255 | PA      | $297462.14    | 0.11%             | 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        |    121441 | PA      | $120315.18    | 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        |    310952 | PA      | $308799.95    | 0.11%             | 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        |    158425 | PA      | $157465.53    | 0.06%             | 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        |    191600 | PA      | $187667.85    | 0.07%             | 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        |    133290 | PA      | $131734.35    | 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        |    175334 | PA      | $180345.28    | 0.07%             | 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        |    272707 | PA      | $280501.08    | 0.10%             | 2048-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140HRND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2606221 | PA      | $2612951.85   | 0.94%             | 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        |     75788 | PA      | $77563.50     | 0.03%             | 2049-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140KDAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1838628 | PA      | $1650858.44   | 0.60%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140KNTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2468981 | PA      | $2008624.71   | 0.72%             | 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        |   1158143 | PA      | $942436.12    | 0.34%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140LHE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1483911.32   | 0.54%             | 2032-09-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128JRSQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2758 | PA      | $2810.99      | 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        |      7808 | PA      | $7972.12      | 0.00%             | 2035-05-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128NGEV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9356 | PA      | $9700.81      | 0.00%             | 2036-10-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128NH2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14938 | PA      | $15391.84     | 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        |     12044 | PA      | $12451.10     | 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        |     32168 | PA      | $32917.61     | 0.01%             | 2037-10-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132CXJY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1846894 | PA      | $1895975.79   | 0.68%             | 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        |   2627432 | PA      | $2251480.64   | 0.81%             | 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        |   1368033 | PA      | $1342876.44   | 0.48%             | 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        |   2849475 | PA      | $2780311.87   | 1.00%             | 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        |   2542598 | PA      | $2590085.88   | 0.93%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3132LPTE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192875 | PA      | $189648.56    | 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        |    140260 | PA      | $136728.83    | 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        |     62333 | PA      | $64201.04     | 0.02%             | 2037-11-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31335YWN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42861 | PA      | $44467.58     | 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        |    176568 | PA      | $181744.28    | 0.07%             | 2037-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140MHSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3345159 | PA      | $2716141.88   | 0.98%             | 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        |   1681814 | PA      | $1546380.72   | 0.56%             | 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        |    628516 | PA      | $597284.16    | 0.22%             | 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        |   1895209 | PA      | $1881529.23   | 0.68%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140W23H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1786035 | PA      | $1447229.03   | 0.52%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140W23K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493550 | PA      | $401395.49    | 0.14%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XDDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1768932 | PA      | $1444958.56   | 0.52%             | 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        |   1613833 | PA      | $1382070.22   | 0.50%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140JMPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174903 | PA      | $179243.42    | 0.06%             | 2048-12-01      | Fixed         | 5.50%                 | 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      | $486703.51    | 0.18%             | 2027-01-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31281LCG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82304 | PA      | $83312.05     | 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        |    116324 | PA      | $117437.37    | 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        |    246699 | PA      | $252346.05    | 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        |     47841 | PA      | $49224.27     | 0.02%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138XKS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212994 | PA      | $207049.77    | 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        |     76269 | PA      | $74000.39     | 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        |    251847 | PA      | $242005.55    | 0.09%             | 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        |    148922 | PA      | $146850.68    | 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        |     61357 | PA      | $59516.63     | 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        |      9951 | PA      | $10185.22     | 0.00%             | 2032-04-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31390CLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6245 | PA      | $6359.35      | 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        |     20434 | PA      | $20669.40     | 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        |     25739 | PA      | $26415.54     | 0.01%             | 2032-09-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31402ASA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22630 | PA      | $23162.05     | 0.01%             | 2031-09-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31402XT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12674 | PA      | $12994.68     | 0.00%             | 2033-12-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1096967 | PA      | $926358.26    | 0.33%             | 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        |   2391616 | PA      | $2144712.19   | 0.77%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XL3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3388706 | PA      | $2742816.34   | 0.99%             | 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        |   3180886 | PA      | $2702289.70   | 0.97%             | 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        |   1496921 | PA      | $1262760.55   | 0.46%             | 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        |   2803819 | PA      | $2832843.86   | 1.02%             | 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        |   2521372 | PA      | $2557262.04   | 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        |   2928486 | PA      | $2522463.61   | 0.91%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418ECB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1548457 | PA      | $1420876.59   | 0.51%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418FDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2683281 | PA      | $2663912.69   | 0.96%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418MDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137604 | PA      | $146425.93    | 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        |    107252 | PA      | $111133.27    | 0.04%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 36201QC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    414790 | PA      | $415524.70    | 0.15%             | 2029-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 3620AE5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14696 | PA      | $14542.96     | 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        |     10989 | PA      | $11235.53     | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DQ2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1165932 | PA      | $1224412.00   | 0.44%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DQSX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3109389 | PA      | $2640336.80   | 0.95%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DQXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2111739 | PA      | $2141199.25   | 0.77%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DSGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3546429 | PA      | $3666976.93   | 1.32%             | 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        |   2927845 | PA      | $2617752.25   | 0.94%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    544724 | PA      | $484379.04    | 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        |   4022314 | PA      | $3694685.67   | 1.33%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DWDD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2560026 | PA      | $2166493.09   | 0.78%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QMZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2581997 | PA      | $2211171.32   | 0.80%             | 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        |   2621238 | PA      | $2231678.39   | 0.80%             | 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        |   3342760 | PA      | $2702733.01   | 0.97%             | 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        |   2028917 | PA      | $1867940.40   | 0.67%             | 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        |   3381033 | PA      | $2912353.47   | 1.05%             | 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        |   1479547 | PA      | $1414412.99   | 0.51%             | 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        |   2821915 | PA      | $2831310.91   | 1.02%             | 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        |   1330146 | PA      | $1363589.94   | 0.49%             | 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        |   2708575 | PA      | $2749713.05   | 0.99%             | 2055-02-01      | Fixed         | 5.50%                 | 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      | $1754371.07   | 0.63%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2025-C                        | CUSIP: 44935JAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    870000 | PA      | $868858.82    | 0.31%             | 2032-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2025-B                        | CUSIP: 44935XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1695000 | PA      | $1727324.67   | 0.62%             | 2030-07-15      | Fixed         | 4.72%                 | 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        |    201485 | PA      | $201092.09    | 0.07%             | 2052-10-17      | Fixed         | 3.73%                 | 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      | $249443.98    | 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      | $1427660.76   | 0.51%             | 2041-06-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2025-VLT6                                           | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    915000 | PA      | $916035.23    | 0.33%             | 2042-03-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust        | Carmax Auto Owner Trust 2025-3                               | CUSIP: 14290FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1510000 | PA      | $1532524.22   | 0.55%             | 2031-03-17      | Fixed         | 4.68%                 | 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        |    175938 | PA      | $176516.45    | 0.06%             | 2027-09-15      | Fixed         | 5.78%                 | 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        |     33152 | PA      | $33134.07     | 0.01%             | 2046-04-25      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD / SHAY FINAN | Small Business Administration Pools                          | CUSIP: 83165AQE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1462 | PA      | $1449.90      | 0.00%             | 2026-05-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** Brown Advisory Funds

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

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

**Title:** Principal Financial Officer