# EDGAR Filing Document

**Accession Number:** 0001548609
**File Stem:** 0001145549-23-010495
**Filing Date:** 2023-2
**Character Count:** 141398
**Document Hash:** ddd6f59a8337458bbc869f1d1222e7db
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-010495.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001145549-23-010495

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20230630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brown Advisory Funds
- **CENTRAL INDEX KEY:** 0001548609
- **IRS NUMBER:** 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:** 23671987

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Baltimore

  - **State:** MD

  - **Foreign country:** US

  - **Zip / Postal Code:** 21231

  - **Telephone number:** 4105375400

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

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

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

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

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

- **a. Date of fiscal year-end:** 2023-06-30

- **b. Date as of which information is reported:** 2022-12-31

**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:** $352786594.43

**Total Liabilities:** $52917277.09

**Net Assets:** $299869317.34

**Delayed Delivery Securities:** $52772447.36

**Cash Not Reported:** $771344.37

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2878.080000000000 | **1-Year:** 4647.140000000000 | **5-Year:** 6948.470000000000 | **10-Year:** 30808.380000000000 | **30-Year:** 90041.680000000000

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

- **3-Month:** 0.000000000000 | **1-Year:** 235.330000000000 | **5-Year:** 1103.750000000000 | **10-Year:** 3684.050000000000 | **30-Year:** 28439.310000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000135279 | -1.86%               | 3.32%                | -0.01%               |
| Class ID C000135280 | -1.86%               | 3.43%                | -0.13%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3435723.81             | $-2775280.21                               |
| Month 2  | $-742061.75              | $9744255.77                                |
| Month 3  | $2253427.94              | $-3142254.10                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379K7D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1128093 | PA      | $25306.17     | 0.01%             | 2057-03-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379TK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690734 | PA      | $100231.51    | 0.03%             | 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        |   2181409 | PA      | $50212.11     | 0.02%             | 2057-07-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379UQN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1468324 | PA      | $61287.10     | 0.02%             | 2057-11-16      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379UXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2162559 | PA      | $87649.82     | 0.03%             | 2058-05-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379XBY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    491682 | PA      | $73801.03     | 0.02%             | 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        |    246576 | PA      | $261584.08    | 0.09%             | 2040-12-20      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380H3F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2063868 | PA      | $228470.17    | 0.08%             | 2047-11-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380TG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    830676 | PA      | $116947.40    | 0.04%             | 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        |   2108383 | PA      | $298070.72    | 0.10%             | 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        |    315167 | PA      | $295067.01    | 0.10%             | 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        |    535358 | PA      | $512627.83    | 0.17%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38381BAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4299 | PA      | $4273.15      | 0.00%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38381BBE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108395 | PA      | $106643.89    | 0.04%             | 2047-11-20      | 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      | $388102.53    | 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      | $263167.05    | 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        |   1840304 | PA      | $1396978.60   | 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        |   1089459 | PA      | $730075.87    | 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      | $1506652.83   | 0.50%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38383FP31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2828173 | PA      | $2398550.43   | 0.80%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes | JPMorgan Chase Bank NA - CACLN                               | CUSIP: 46591HCD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1089846 | PA      | $1027584.37   | 0.34%             | 2029-02-26      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-INV4                           | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4392829 | PA      | $3682425.66   | 1.23%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | J.P. Morgan Mortgage Trust 2022-LTV2                         | CUSIP: 46655LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3371474 | PA      | $2996310.62   | 1.00%             | 2052-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance 2022-INV2                  | CUSIP: 58549JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3422517 | PA      | $2973579.11   | 0.99%             | 2052-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta | Mello Mortgage Capital Acceptance 2021-INV4                  | CUSIP: 58550NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6076183 | PA      | $4888953.75   | 1.63%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC            | Oportun Funding XIV LLC                                      | CUSIP: 68377BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410000 | PA      | $381974.82    | 0.13%             | 2028-03-08      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.            | PFS Financing Corp                                           | CUSIP: 69335PDZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1505000 | PA      | $1417179.64   | 0.47%             | 2026-04-15      | Fixed         | 0.71%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management    | RCKT Mortgage Trust 2022-1                                   | CUSIP: 74938FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3043895 | PA      | $2627133.40   | 0.88%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management    | RCKT Mortgage Trust 2022-4                                   | CUSIP: 74938GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3167694 | PA      | $2860204.98   | 0.95%             | 2052-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management    | RCKT Mortgage Trust 2021-6                                   | CUSIP: 74939KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3217899 | PA      | $2603145.89   | 0.87%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2021-1                                | CUSIP: 81747KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2088853 | PA      | $1692395.76   | 0.56%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD / SHAY FINAN | Small Business Administration Pools                          | CUSIP: 83165AQE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    298529 | PA      | $300639.03    | 0.10%             | 2026-05-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                | United States Treasury Note/Bond                             | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $925000.00    | 0.31%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust           | Verizon Master Trust                                         | CUSIP: 92348KAS2<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1454987.40   | 0.49%             | 2028-11-20      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Mar23                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -44 | NC      | $13950.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Mar23                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -152 | NC      | $51085.82     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Mar23                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        38 | NC      | $-9879.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Mar23                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         7 | NC      | $421.96       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Mar23                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        39 | NC      | $-8615.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31390CLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8478 | PA      | $8148.03      | 0.00%             | 2032-03-01      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31390T6S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29321 | PA      | $28575.49     | 0.01%             | 2031-08-01      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31391BS32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33308 | PA      | $32924.15     | 0.01%             | 2032-09-01      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31391JN22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27384 | PA      | $26984.50     | 0.01%             | 2032-11-01      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31392BKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107934 | PA      | $108279.83    | 0.04%             | 2032-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140F2CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320725 | PA      | $315491.80    | 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        |    194247 | PA      | $190327.48    | 0.06%             | 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        |    702806 | PA      | $691776.29    | 0.23%             | 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        |    169741 | PA      | $167083.95    | 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        |    294737 | PA      | $287075.62    | 0.10%             | 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        |    514740 | PA      | $503296.38    | 0.17%             | 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        |    353253 | PA      | $358618.35    | 0.12%             | 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        |    381602 | PA      | $388256.52    | 0.13%             | 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        |   2717353 | PA      | $2691803.73   | 0.90%             | 2028-05-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140HVYK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2150000 | PA      | $1831994.10   | 0.61%             | 2031-09-01      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140JMPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105981 | PA      | $106684.66    | 0.04%             | 2049-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140JMPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183867 | PA      | $185135.56    | 0.06%             | 2048-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140KDAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2687557 | PA      | $2415520.00   | 0.81%             | 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        |   3006420 | PA      | $2463807.37   | 0.82%             | 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        |   1468473 | PA      | $1203678.82   | 0.40%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140L4HL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    856675 | PA      | $705406.03    | 0.24%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140MJBA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2712995 | PA      | $2473959.11   | 0.83%             | 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        |    758452 | PA      | $714517.47    | 0.24%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QMZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3209533 | PA      | $2744135.88   | 0.92%             | 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        |   3181208 | PA      | $2706596.99   | 0.90%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QNGT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2783455 | PA      | $2537781.07   | 0.85%             | 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        |   4180684 | PA      | $3587915.03   | 1.20%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XCWQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3845969 | PA      | $3409625.70   | 1.14%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XDZ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5292504 | PA      | $4829880.40   | 1.61%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XF4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2921775 | PA      | $2664648.17   | 0.89%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XFL66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3470832 | PA      | $2856804.12   | 0.95%             | 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        |   1122992 | PA      | $924586.65    | 0.31%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGAY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1468202 | PA      | $1339146.21   | 0.45%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGBP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4548885 | PA      | $4280038.69   | 1.43%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGUE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480992 | PA      | $410801.96    | 0.14%             | 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        |   3877288 | PA      | $3437646.85   | 1.15%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31410DQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15881 | PA      | $15728.17     | 0.01%             | 2036-07-01      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31410KSS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38456 | PA      | $39339.86     | 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        |    221559 | PA      | $220001.86    | 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        |     19088 | PA      | $19467.93     | 0.01%             | 2035-11-01      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31412NYC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85420 | PA      | $87976.24     | 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        |     26894 | PA      | $26538.81     | 0.01%             | 2037-08-01      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43790 | PA      | $44089.60     | 0.01%             | 2037-08-01      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31245 | PA      | $31635.75     | 0.01%             | 2037-09-01      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413TV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69231 | PA      | $72083.21     | 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        |    335690 | PA      | $327296.93    | 0.11%             | 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        |    779786 | PA      | $805088.14    | 0.27%             | 2028-10-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31415BV63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5837 | PA      | $5694.16      | 0.00%             | 2038-05-01      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31416B4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27406 | PA      | $26861.37     | 0.01%             | 2037-05-01      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31416VUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219702 | PA      | $207854.69    | 0.07%             | 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        |   1485454 | PA      | $1456686.03   | 0.49%             | 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        |   1203285 | PA      | $984242.83    | 0.33%             | 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        |   1026498 | PA      | $842057.83    | 0.28%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418ECB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2041420 | PA      | $1860135.08   | 0.62%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418MDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217046 | PA      | $232898.53    | 0.08%             | 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        |    162962 | PA      | $169263.89    | 0.06%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418NBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238216 | PA      | $247427.70    | 0.08%             | 2040-04-01      | 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        |  32811634 | NS      | $32811634.12  | 10.94%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT             | Seasoned Credit Risk Transfer Trust Series 2017-1            | CUSIP: 35563PAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391116 | PA      | $385879.89    | 0.13%             | 2056-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36176MPJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237460 | PA      | $240416.31    | 0.08%             | 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        |    266123 | PA      | $265356.77    | 0.09%             | 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        |    705019 | PA      | $740925.41    | 0.25%             | 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        |    710221 | PA      | $635213.28    | 0.21%             | 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        |    700925 | PA      | $626949.21    | 0.21%             | 2036-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179WV39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    406226 | PA      | $430217.44    | 0.14%             | 2052-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 3617K1J87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    882127 | PA      | $842144.34    | 0.28%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 3617XJMU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1898379 | PA      | $1794214.04   | 0.60%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 3617YKGX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3619670 | PA      | $3835790.35   | 1.28%             | 2072-02-20      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 3617YKHG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3408276 | PA      | $3617168.87   | 1.21%             | 2072-02-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 36201QC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    778841 | PA      | $765074.26    | 0.26%             | 2029-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36202D2W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370890 | PA      | $392214.80    | 0.13%             | 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        |    277535 | PA      | $290943.12    | 0.10%             | 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        |    119068 | PA      | $122019.21    | 0.04%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 3620AE5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27864 | PA      | $27020.53     | 0.01%             | 2029-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 3620AE5V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32798 | PA      | $33623.84     | 0.01%             | 2024-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 3622A2YL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51456 | PA      | $53698.61     | 0.02%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36241KMW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197273 | PA      | $205576.44    | 0.07%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 36241LXB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16121 | PA      | $16065.87     | 0.01%             | 2024-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2022-LTV2                | CUSIP: 36266VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3772887 | PA      | $3392945.23   | 1.13%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 36291BHW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166773 | PA      | $169637.44    | 0.06%             | 2028-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr | GoodLeap Sustainable Home Solutions Trust 2021-5             | CUSIP: 38237HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1449906 | PA      | $1058809.57   | 0.35%             | 2048-10-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38374J6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    382502 | PA      | $380047.54    | 0.13%             | 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        |     67860 | PA      | $69117.33     | 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        |    412006 | PA      | $427646.20    | 0.14%             | 2038-04-20      | Variable      | 6.20%                 | 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      | $675561.84    | 0.23%             | 2042-08-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38376G5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    958844 | PA      | $899620.77    | 0.30%             | 2047-03-16      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38376UE54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    422213 | PA      | $58714.30     | 0.02%             | 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        |    883825 | PA      | $174102.17    | 0.06%             | 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        |    681907 | PA      | $69700.28     | 0.02%             | 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        |    484470 | PA      | $490483.07    | 0.16%             | 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      | $544084.53    | 0.18%             | 2040-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378GRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1146834 | PA      | $187294.78    | 0.06%             | 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        |    371236 | PA      | $46427.64     | 0.02%             | 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        |    577711 | PA      | $69272.46     | 0.02%             | 2043-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378XPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1122218 | PA      | $20478.56     | 0.01%             | 2056-01-16      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378YND7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257154 | PA      | $10260.76     | 0.00%             | 2028-11-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Mar23                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        15 | NC      | $11786.01     | 0.00%             |  |  |  | No            |                  1 | 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      | $238874.85    | 0.08%             | 2052-10-17      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva | AmeriCredit Automobile Receivables Trust 2021-1              | CUSIP: 03063FAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1404000 | PA      | $1257729.31   | 0.42%             | 2026-12-18      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2022-1                              | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400029 | PA      | $2111679.99   | 0.70%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch  | BAMLL Commercial Mortgage Securities Trust 2018-DSNY         | CUSIP: 054967AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2080000 | PA      | $2042412.94   | 0.68%             | 2034-09-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S | BBCMS 2017-DELC Mortgage Trust                               | CUSIP: 05552EAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3411278.15   | 1.14%             | 2036-08-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun | Bayview Opportunity Master Fund VI Trust 2021-INV6           | CUSIP: 07335UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4613163 | PA      | $3873302.23   | 1.29%             | 2051-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun | Bayview MSR Opportunity Master Fund Trust 2021-INV5          | CUSIP: 07336JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4440887 | PA      | $3603551.14   | 1.20%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun | Bayview MSR Opportunity Master Fund Trust 2021-INV2          | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3098949 | PA      | $2601938.66   | 0.87%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2021-SDMF                                           | CUSIP: 12434CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2305000 | PA      | $2175022.43   | 0.73%             | 2034-09-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2013-CCRE6 Mortgage Trust                               | CUSIP: 12624XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483727 | PA      | $482197.18    | 0.16%             | 2046-03-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust        | CarMax Auto Owner Trust 2021-2                               | CUSIP: 14314QAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1505000 | PA      | $1362199.28   | 0.45%             | 2027-02-16      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| COLORADO ST HLTH FACS AUTH REV | Colorado Health Facilities Authority                         | CUSIP: 19648FRX4<br>LEI: 5493002JB6DRFRZPEQ21 | Long             | DBT              | MUN               | US        |    505000 | PA      | $468463.15    | 0.16%             | 2026-12-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust            | DBGS 2018-C1 Mortgage Trust                                  | CUSIP: 23307DBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    986000 | PA      | $937819.70    | 0.31%             | 2031-09-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Dext ABS                       | Dext ABS 2021-1 LLC                                          | CUSIP: 23345CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    757311 | PA      | $724450.53    | 0.24%             | 2028-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Dext ABS                       | Dext ABS 2021-1 LLC                                          | CUSIP: 23345CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $348215.74    | 0.12%             | 2028-02-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FHF Trust 2021-1               | FHF Trust 2021-1                                             | CUSIP: 30260WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    439603 | PA      | $421397.12    | 0.14%             | 2027-03-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 2019-KF59 Mortgage Trust                               | CUSIP: 30297XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1672047 | PA      | $1562481.11   | 0.52%             | 2029-02-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 17-K68 Mortgage Trust                                  | CUSIP: 30305EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $643051.43    | 0.21%             | 2049-10-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 2019-KF73 Mortgage Trust                               | CUSIP: 30313BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860410 | PA      | $834526.50    | 0.28%             | 2029-11-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 2020-KF74 Mortgage Trust                               | CUSIP: 30313MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    696139 | PA      | $679785.23    | 0.23%             | 2027-01-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHF Trust 2021-2               | FHF Trust 2021-2                                             | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    787297 | PA      | $748683.33    | 0.25%             | 2026-12-15      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31281AST0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37464 | PA      | $37722.60     | 0.01%             | 2029-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31281LCG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125045 | PA      | $125188.19    | 0.04%             | 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        |    164637 | PA      | $162990.72    | 0.05%             | 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        |    296474 | PA      | $297170.41    | 0.10%             | 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        |    126222 | PA      | $129943.38    | 0.04%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31286DL33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126244 | PA      | $128341.86    | 0.04%             | 2037-10-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24700000 | PA      | $20140945.88  | 6.72%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1272651.90   | 0.42%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  13650000 | PA      | $12421056.10  | 4.14%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  19450000 | PA      | $18267066.75  | 6.09%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Express Credit Accoun | American Express Credit Account Master Trust                 | CUSIP: 02582JJT8<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3402316.75   | 1.13%             | 2027-05-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent          | American Homes 4 Rent 2014-SFR2 Trust                        | CUSIP: 02665UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1887718 | PA      | $1823086.90   | 0.61%             | 2036-10-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent          | American Homes 4 Rent 2014-SFR2 Trust                        | CUSIP: 02665UAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2130000 | PA      | $2062844.93   | 0.69%             | 2036-10-17      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent          | American Homes 4 Rent 2014-SFR3 Trust                        | CUSIP: 02665XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2316966 | PA      | $2232858.51   | 0.74%             | 2036-12-17      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent          | American Homes 4 Rent 2015-SFR1 Trust                        | CUSIP: 02666AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    312913 | PA      | $298375.76    | 0.10%             | 2052-04-17      | Fixed         | 3.47%                 | 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        |    215035 | PA      | $203637.82    | 0.07%             | 2052-10-17      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2022-PSB                                            | CUSIP: 05606DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1977126 | PA      | $1975706.78   | 0.66%             | 2039-08-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31287SD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51266 | PA      | $52992.74     | 0.02%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128JRSQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4401 | PA      | $4344.45      | 0.00%             | 2037-02-01      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128K7LJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37135 | PA      | $37900.45     | 0.01%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128LUGM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19681 | PA      | $19619.48     | 0.01%             | 2035-05-01      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128M6LV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135181 | PA      | $141741.76    | 0.05%             | 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        |    117739 | PA      | $123420.13    | 0.04%             | 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        |    154764 | PA      | $155894.56    | 0.05%             | 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        |     65116 | PA      | $66198.35     | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128NGEV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16068 | PA      | $16388.06     | 0.01%             | 2036-10-01      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128NH2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22827 | PA      | $23099.38     | 0.01%             | 2037-06-01      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128P7QT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114589 | PA      | $114053.51    | 0.04%             | 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        |    406567 | PA      | $378602.20    | 0.13%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128Q3ML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17222 | PA      | $17412.47     | 0.01%             | 2036-03-01      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QSQA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44844 | PA      | $44011.07     | 0.01%             | 2037-10-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31292KYY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289236 | PA      | $300753.13    | 0.10%             | 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        |     41685 | PA      | $42223.56     | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 312979C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67615 | PA      | $68492.86     | 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        |     85184 | PA      | $86412.12     | 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        |     42197 | PA      | $42804.26     | 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        |     85641 | PA      | $85928.12     | 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        |     51203 | PA      | $51980.90     | 0.02%             | 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        |    132504 | PA      | $134511.47    | 0.04%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31321XW75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95605 | PA      | $95958.33     | 0.03%             | 2038-11-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                           | CUSIP: 31325XJ35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    837830 | PA      | $151513.45    | 0.05%             | 2049-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DM5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3298164 | PA      | $2820193.27   | 0.94%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DPBP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3567754 | PA      | $3449068.35   | 1.15%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DWC92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5423382 | PA      | $4945008.20   | 1.65%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3132J4HJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133273 | PA      | $132649.60    | 0.04%             | 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        |    657456 | PA      | $630669.11    | 0.21%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3132LPTE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235553 | PA      | $227568.44    | 0.08%             | 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        |    241613 | PA      | $231774.79    | 0.08%             | 2035-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132WW3V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3207323 | PA      | $2384793.44   | 0.80%             | 2038-04-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31335Y3H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76428 | PA      | $76644.18     | 0.03%             | 2037-11-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31335YU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63404 | PA      | $63649.74     | 0.02%             | 2037-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31335YWN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49650 | PA      | $50229.97     | 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        |    204006 | PA      | $206383.75    | 0.07%             | 2037-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133AP3T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1408233 | PA      | $1240713.19   | 0.41%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B3M46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3816481 | PA      | $3360098.85   | 1.12%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B53G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4222153 | PA      | $3971323.09   | 1.32%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B5H39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1911165 | PA      | $1686245.09   | 0.56%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B72G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2859171 | PA      | $2690388.08   | 0.90%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B7M70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3411548 | PA      | $3209153.11   | 1.07%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B97K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2871768 | PA      | $2769849.01   | 0.92%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B9M50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    999422 | PA      | $853803.59    | 0.28%             | 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        |    594560 | PA      | $490648.16    | 0.16%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133BBTP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3230725 | PA      | $2945410.87   | 0.98%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133BCQ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3237697 | PA      | $2951076.72   | 0.98%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133BM2E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3379694 | PA      | $3403614.70   | 1.14%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136BKUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7251728 | PA      | $164445.27    | 0.05%             | 2035-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31371NU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423276 | PA      | $426203.02    | 0.14%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31375JVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11595 | PA      | $11488.07     | 0.00%             | 2025-10-01      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31375UDG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23473 | PA      | $23575.16     | 0.01%             | 2025-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31376HVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42084 | PA      | $43192.53     | 0.01%             | 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        |     34341 | PA      | $33629.36     | 0.01%             | 2027-01-01      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31376SEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12605 | PA      | $12382.93     | 0.00%             | 2027-04-01      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31378RM55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22667 | PA      | $22300.17     | 0.01%             | 2027-11-01      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31378RSJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18802 | PA      | $18304.13     | 0.01%             | 2026-05-01      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137A8P77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334668 | PA      | $332985.92    | 0.11%             | 2039-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137AV4U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    762233 | PA      | $552794.64    | 0.18%             | 2042-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137B5KX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12147654 | PA      | $20375.26     | 0.01%             | 2023-08-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BBBE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19312786 | PA      | $185086.02    | 0.06%             | 2024-03-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BEVJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  41170293 | PA      | $353451.09    | 0.12%             | 2024-09-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BKRK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 126181004 | PA      | $350240.61    | 0.12%             | 2025-05-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BN6H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14175912 | PA      | $294949.70    | 0.10%             | 2025-12-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BPW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8879638 | PA      | $308915.49    | 0.10%             | 2026-03-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5810190 | PA      | $157916.32    | 0.05%             | 2026-08-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BSRG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6234418 | PA      | $56713.26     | 0.02%             | 2026-09-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BVZA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53346809 | PA      | $502142.84    | 0.17%             | 2027-01-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20905012 | PA      | $444396.65    | 0.15%             | 2027-03-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FAQF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5275991 | PA      | $133298.44    | 0.04%             | 2027-06-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FARK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367399 | PA      | $365217.98    | 0.12%             | 2046-01-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FARL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    840931 | PA      | $836034.63    | 0.28%             | 2046-08-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12196395 | PA      | $204005.45    | 0.07%             | 2027-08-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133BMRN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2989938 | PA      | $3015846.80   | 1.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KNW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3983316 | PA      | $3272566.79   | 1.09%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KPFP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3864994 | PA      | $3409530.87   | 1.14%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3133T6T76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5499 | PA      | $5516.75      | 0.00%             | 2026-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31359KEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19585 | PA      | $19656.33     | 0.01%             | 2026-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136A3ZF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53721 | PA      | $52867.51     | 0.02%             | 2042-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136A4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    854598 | PA      | $80787.17     | 0.03%             | 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        |   1033456 | PA      | $1032777.89   | 0.34%             | 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        |    696278 | PA      | $28694.39     | 0.01%             | 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        |     53096 | PA      | $2711.10      | 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        |    307862 | PA      | $40017.87     | 0.01%             | 2042-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136AG6Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131514 | PA      | $1063.08      | 0.00%             | 2031-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136AJEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1283287 | PA      | $158204.92    | 0.05%             | 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        |    355434 | PA      | $69802.81     | 0.02%             | 2045-03-25      | Fixed         | 4.50%                 | 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        |   1994845 | PA      | $1864616.68   | 0.62%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136B3SX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203286 | PA      | $196797.95    | 0.07%             | 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        |    930866 | PA      | $134385.84    | 0.04%             | 2049-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                              | CUSIP: 3136B6XV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23849558 | PA      | $421855.75    | 0.14%             | 2031-10-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                              | CUSIP: 3136B9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5652029 | PA      | $319028.24    | 0.11%             | 2031-09-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136BH2W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4814457 | PA      | $671536.80    | 0.22%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FBU95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28736341 | PA      | $417355.12    | 0.14%             | 2027-09-25      | Variable      | 0.35%                 | 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        |    596112 | PA      | $563872.22    | 0.19%             | 2026-09-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FEBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31140871 | PA      | $478853.18    | 0.16%             | 2027-12-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FFSV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2777846 | PA      | $2143017.70   | 0.71%             | 2051-03-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FHQ30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63008915 | PA      | $255242.81    | 0.09%             | 2024-03-25      | Variable      | 0.38%                 | 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        |    870903 | PA      | $868487.08    | 0.29%             | 2047-10-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FKUR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24749389 | PA      | $465840.43    | 0.16%             | 2028-12-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FKWE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16994513 | PA      | $165309.03    | 0.06%             | 2024-11-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FLE59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455343 | PA      | $444897.73    | 0.15%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FLNB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17908678 | PA      | $521568.76    | 0.17%             | 2029-03-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FLYX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12610821 | PA      | $462886.50    | 0.15%             | 2029-04-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FM2D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142143 | PA      | $136960.99    | 0.05%             | 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        |    722129 | PA      | $657929.19    | 0.22%             | 2049-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6249815 | PA      | $298576.15    | 0.10%             | 2029-05-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10939793 | PA      | $494120.92    | 0.16%             | 2029-06-25      | Variable      | 0.88%                 | 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        |    153048 | PA      | $153497.66    | 0.05%             | 2046-04-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FQKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14462244 | PA      | $512025.61    | 0.17%             | 2029-11-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26455830 | PA      | $492689.58    | 0.16%             | 2026-10-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWGK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7581154 | PA      | $181363.94    | 0.06%             | 2025-05-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FWGL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5639449 | PA      | $160685.12    | 0.05%             | 2027-05-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FXW79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2259180 | PA      | $1792168.99   | 0.60%             | 2050-03-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137H6LQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  65392313 | PA      | $539303.48    | 0.18%             | 2032-01-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31381P3C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583099 | PA      | $609105.49    | 0.20%             | 2041-01-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31381SEB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    905775 | PA      | $878486.13    | 0.29%             | 2041-10-01      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31381UA56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800242 | PA      | $745753.19    | 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        |     29669 | PA      | $29116.65     | 0.01%             | 2029-11-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31385XPC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5577 | PA      | $5469.18      | 0.00%             | 2033-07-01      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31389LS26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8101 | PA      | $8314.04      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138AAL58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282108 | PA      | $285032.08    | 0.10%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138AJG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1253657 | PA      | $1246416.31   | 0.42%             | 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        |     66339 | PA      | $66800.73     | 0.02%             | 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        |    218106 | PA      | $224322.62    | 0.07%             | 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        |    450145 | PA      | $419096.94    | 0.14%             | 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      | $141143.21    | 0.05%             | 2028-04-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138LNGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $964467.59    | 0.32%             | 2025-05-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138LPA97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $916521.54    | 0.31%             | 2048-08-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138WAST5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220524 | PA      | $212989.95    | 0.07%             | 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        |   1464212 | PA      | $1409285.33   | 0.47%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138XKS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238782 | PA      | $232781.13    | 0.08%             | 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        |    139703 | PA      | $135447.83    | 0.05%             | 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        |    343651 | PA      | $335010.91    | 0.11%             | 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        |    192398 | PA      | $185629.56    | 0.06%             | 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        |    178505 | PA      | $175764.47    | 0.06%             | 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        |     13286 | PA      | $12767.79     | 0.00%             | 2032-04-01      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31392X2G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46001 | PA      | $44733.17     | 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        |      6744 | PA      | $6415.88      | 0.00%             | 2043-06-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31393EKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292746 | PA      | $299579.86    | 0.10%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2003-W12                                    | CUSIP: 31393ELF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11240 | PA      | $10909.20     | 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        |      1873 | PA      | $1825.78      | 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        |      7509 | PA      | $7374.44      | 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        |      6436 | PA      | $6225.18      | 0.00%             | 2043-06-25      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31394ED54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1744679 | PA      | $1757408.03   | 0.59%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31394US60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    634266 | PA      | $645608.30    | 0.22%             | 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        |    289860 | PA      | $294160.51    | 0.10%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31395JU20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182203 | PA      | $181595.43    | 0.06%             | 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        |    658227 | PA      | $640262.52    | 0.21%             | 2034-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31396LPU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    889789 | PA      | $904377.60    | 0.30%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                              | CUSIP: 31396PGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161105 | PA      | $158317.72    | 0.05%             | 2032-10-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31396PW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410923 | PA      | $420633.54    | 0.14%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31396RBT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    329976 | PA      | $335083.68    | 0.11%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31396YFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418000 | PA      | $428305.62    | 0.14%             | 2038-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31397FRW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212886 | PA      | $216392.19    | 0.07%             | 2037-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31397NPL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    616971 | PA      | $65785.73     | 0.02%             | 2039-04-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31400SZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25356 | PA      | $24724.85     | 0.01%             | 2033-03-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31402ASA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30584 | PA      | $30237.27     | 0.01%             | 2031-09-01      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31402XT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23853 | PA      | $23458.17     | 0.01%             | 2033-12-01      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31403CNW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28402 | PA      | $27746.59     | 0.01%             | 2033-11-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31403DLF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17635 | PA      | $17342.34     | 0.01%             | 2036-05-01      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31403DSF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74478 | PA      | $77388.31     | 0.03%             | 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        |     11944 | PA      | $11701.87     | 0.00%             | 2033-11-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31404CEP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25676 | PA      | $25215.37     | 0.01%             | 2034-02-01      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31404P6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25889 | PA      | $25510.26     | 0.01%             | 2034-04-01      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31405AQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103593 | PA      | $102515.06    | 0.03%             | 2034-07-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31406TTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2914 | PA      | $2847.72      | 0.00%             | 2035-03-01      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31407HFK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31264 | PA      | $30903.29     | 0.01%             | 2035-08-01      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31407PSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48383 | PA      | $47813.30     | 0.02%             | 2035-10-01      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31407QHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20806 | PA      | $20574.56     | 0.01%             | 2035-09-01      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31407VNX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112402 | PA      | $110012.47    | 0.04%             | 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        |    236371 | PA      | $231760.81    | 0.08%             | 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        |     11508 | PA      | $11250.60     | 0.00%             | 2036-03-01      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31409D6D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17350 | PA      | $17222.92     | 0.01%             | 2036-04-01      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31409JXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4314 | PA      | $4251.00      | 0.00%             | 2036-06-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31409SKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10394 | PA      | $10571.06     | 0.00%             | 2036-03-01      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31409X4A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34958 | PA      | $34126.39     | 0.01%             | 2036-05-01      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140E0VW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1022724 | PA      | $981773.82    | 0.33%             | 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        |    518052 | PA      | $510023.69    | 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        |    232683 | PA      | $228705.87    | 0.08%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Brown Advisory Funds

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

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

**Title:** Principal Financial Officer