# EDGAR Filing Document

**Accession Number:** 0000762156
**File Stem:** 0001775697-23-000200
**Filing Date:** 2023-3
**Character Count:** 72012
**Document Hash:** e427ef15a6f517d8e514947f6ac163ab
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001775697-23-000200.hdr.sgml**: 20230324

**ACCESSION NUMBER**: 0001775697-23-000200

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230324

**DATE AS OF CHANGE**: 20230324

**PERIOD START**: 20230430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BNY Mellon U.S. Mortgage Fund, Inc.
- **CENTRAL INDEX KEY:** 0000762156
- **IRS NUMBER:** 133281750
- **STATE OF INCORPORATION:** NY
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04215
- **FILM NUMBER:** 23758560

**BUSINESS ADDRESS:**
- **STREET 1:** C/O BNY MELLON INVESTMENT ADVISER, INC.
- **STREET 2:** 240 GREENWICH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10286
- **BUSINESS PHONE:** 2129226400

**MAIL ADDRESS:**
- **STREET 1:** C/O BNY MELLON INVESTMENT ADVISER, INC.
- **STREET 2:** 240 GREENWICH STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10286

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DREYFUS PREMIER GNMA FUND, INC.
- **DATE OF NAME CHANGE:** 20181030

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DREYFUS PREMIER GNMA FUND, INC
- **DATE OF NAME CHANGE:** 20110606

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DREYFUS PREMIER GNMA FUND INC
- **DATE OF NAME CHANGE:** 20070508

## Series and Classes Contracts Data

### BNY Mellon U.S. Mortgage Fund, Inc. (Series ID: S000000069)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000000106 | Class Z      | DRGMX           |
| C000041113 | Class A      | GPGAX           |
| C000041115 | Class C      | GPNCX           |
| C000162288 | Class Y      | GPNYX           |
| C000173349 | Class I      | GPNIX           |

## Nport-Ex

STATEMENT OF INVESTMENTS<br>BNY Mellon U.S. Mortgage Fund, Inc.

January 31, 2023 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description  | Coupon <br>Rate (%) | Maturity<br>Date | Principal<br>Amount ($) |  | Value ($) |
| **Bonds and Notes - 112.1%**  | **Bonds and Notes - 112.1%**  | **Bonds and Notes - 112.1%**  |  |  |  |
| **Commercial Mortgage Pass-Through Certificates - 11.2%**  | **Commercial Mortgage Pass-Through Certificates - 11.2%**  | **Commercial Mortgage Pass-Through Certificates - 11.2%**  |  |  |  |
| Alen Mortgage Trust, Ser. 2021-ACEN, Cl. A, 1 Month LIBOR +1.15% | 5.61 | 4/15/2034 | 6000000 | <sup>a,b</sup>  | 5565293 |
| BFLD Trust, Ser. 2019-DPLO, Cl. A, 1 Month LIBOR +1.09% | 5.55 | 10/15/2034 | 1800000 | <sup>a,b</sup>  | 1776516 |
| BX Trust, Ser. 2022-VAMP, CI. A, 1 Month TSFR +0.85% | 5.33 | 1/15/2039 | 3600000 | <sup>a,b</sup>  | 3505819 |
| GS Mortgage Securities Corp II, Ser. 2017-375H, CI. A | 3.48 | 9/10/2037 | 1500000 | <sup>b</sup>  | 1363369 |
| GS Mortgage Securities Corp. Trust, Ser. 2019-70P, Cl. A, 1 Month LIBOR +1.00% | 5.46 | 10/15/2036 | 2500000 | <sup>a,b</sup>  | 2421337 |
| KNDR Trust, Ser. 2021-KIND, Cl. A, 1 Month LIBOR +0.95% | 5.41 | 8/15/2038 | 6850489 | <sup>a,b</sup>  | 6547637 |
| Morgan Stanley Capital I Trust, Ser. 2015-420, CI. A | 3.73 | 10/12/2050 | 2260530 | <sup>b</sup>  | 2134412 |
|  |  |  |  | **23314383** | **23314383** |
| **U.S. Government Agencies Collateralized Mortgage Obligations - 21.2%**  | **U.S. Government Agencies Collateralized Mortgage Obligations - 21.2%**  | **U.S. Government Agencies Collateralized Mortgage Obligations - 21.2%**  |  |  |  |
| Federal Home Loan Mortgage Corp., REMIC, Ser. 3785, CI. LS, 1 Month LIBOR +9.90% | 0.98 | 1/15/2041 | 890184 | <sup>a,c</sup>  | 804412 |
| Federal Home Loan Mortgage Corp., REMIC, Ser. 4423, CI. Z | 3.50 | 12/15/2044 | 1082428 | <sup>c</sup>  | 1012363 |
| Federal National Mortgage Association, REMIC, Ser. 2018-9, Cl. EZ | 3.00 | 2/25/2048 | 1393940 | <sup>c</sup>  | 1191914 |
| Government National Mortgage Association, Ser. 2010-101, Cl. SH, 1 Month LIBOR +6.65% | 2.19 | 8/16/2040 | 2637359 | <sup>a</sup>  | 300867 |
| Government National Mortgage Association, Ser. 2010-89, Cl. Z | 5.00 | 7/20/2040 | 4162359 |  | 4225768 |
| Government National Mortgage Association, Ser. 2013-188, Cl. CG | 4.00 | 12/20/2043 | 303247 |  | 296205 |
| Government National Mortgage Association, Ser. 2014-145, Cl. KA | 3.50 | 1/20/2038 | 2137623 |  | 2079528 |
| Government National Mortgage Association, Ser. 2015-176, CI. QZ | 3.50 | 11/20/2045 | 954510 |  | 911496 |
| Government National Mortgage Association, Ser. 2015-185, Cl. PZ | 3.00 | 12/20/2045 | 220739 |  | 202704 |
| Government National Mortgage Association, Ser. 2017-176, Cl. BZ | 3.50 | 11/20/2047 | 5236388 |  | 4855521 |

---

------

*STATEMENT OF INVESTMENTS (Unaudited) (continued)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| Description  | Coupon <br>Rate (%) | Maturity<br>Date | Principal<br>Amount ($) | Value ($) |
| **Bonds and Notes - 112.1% (continued)** | **Bonds and Notes - 112.1% (continued)** | **Bonds and Notes - 112.1% (continued)** |  |  |
| **U.S. Government Agencies Collateralized Mortgage Obligations - 21.2% (continued)** | **U.S. Government Agencies Collateralized Mortgage Obligations - 21.2% (continued)** | **U.S. Government Agencies Collateralized Mortgage Obligations - 21.2% (continued)** |  |  |
| Government National Mortgage Association, Ser. 2017-93, Cl. GY | 3.50 | 6/20/2047 | 6279536 | 6053119 |
| Government National Mortgage Association, Ser. 2018-115, Cl. SJ, 1 Month LIBOR +6.20% | 1.71 | 8/20/2048 | 1962863<br> <sup>a</sup>  | 172197 |
| Government National Mortgage Association, Ser. 2018-120, Cl. PU | 3.50 | 9/20/2048 | 549558 | 528941 |
| Government National Mortgage Association, Ser. 2018-131, Cl. ML | 3.50 | 9/20/2048 | 5720873 | 5501867 |
| Government National Mortgage Association, Ser. 2018-138, Cl. SK, 1 Month LIBOR +6.20% | 1.71 | 10/20/2048 | 805709<br> <sup>a</sup>  | 70049 |
| Government National Mortgage Association, Ser. 2018-146, CI. BL | 4.00 | 10/20/2048 | 390598 | 377997 |
| Government National Mortgage Association, Ser. 2018-160, Cl. PD | 3.50 | 1/20/2048 | 4789611 | 4656492 |
| Government National Mortgage Association, Ser. 2018-164, Cl. SW, 1 Month LIBOR +6.10% | 1.61 | 12/20/2048 | 5588563<br> <sup>a</sup>  | 573074 |
| Government National Mortgage Association, Ser. 2018-46, Cl. CZ | 3.20 | 3/20/2048 | 1726592 | 1559133 |
| Government National Mortgage Association, Ser. 2018-65, Cl. SL, 1 Month LIBOR +6.25% | 1.76 | 5/20/2048 | 1344692<br> <sup>a</sup>  | 144046 |
| Government National Mortgage Association, Ser. 2019-112, Cl. JZ | 3.00 | 9/20/2049 | 759422 | 695494 |
| Government National Mortgage Association, Ser. 2019-119, Cl. IT | 5.50 | 9/20/2049 | 2725840 | 503634 |
| Government National Mortgage Association, Ser. 2019-132, Cl. SB, 1 Month LIBOR +4.44% | 1.00 | 10/20/2049 | 1348226<br> <sup>a</sup>  | 78062 |
| Government National Mortgage Association, Ser. 2019-140, Cl. DI | 5.50 | 11/20/2049 | 1186779 | 209689 |
| Government National Mortgage Association, Ser. 2019-23, Cl. SB, 1 Month LIBOR +6.05% | 1.56 | 2/20/2049 | 1296918<br> <sup>a</sup>  | 135593 |
| Government National Mortgage Association, Ser. 2019-3, CI. JZ | 4.00 | 1/20/2049 | 443034 | 434031 |
| Government National Mortgage Association, Ser. 2019-5, Cl. P | 3.50 | 7/20/2048 | 265890 | 256667 |
| Government National Mortgage Association, Ser. 2019-5, Cl. SM, 1 Month LIBOR +6.10% | 1.61 | 1/20/2049 | 2172304<br> <sup>a</sup>  | 206810 |
| Government National Mortgage Association, Ser. 2019-57, Cl. NS, 1 Month LIBOR +3.28% | 3.28 | 5/20/2049 | 3431187<br> <sup>a</sup>  | 62919 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Description  | Coupon <br>Rate (%) | Maturity<br>Date | Principal<br>Amount ($) |  | Value ($) |
| **Bonds and Notes - 112.1% (continued)** | **Bonds and Notes - 112.1% (continued)** | **Bonds and Notes - 112.1% (continued)** |  |  |  |
| **U.S. Government Agencies Collateralized Mortgage Obligations - 21.2% (continued)** | **U.S. Government Agencies Collateralized Mortgage Obligations - 21.2% (continued)** | **U.S. Government Agencies Collateralized Mortgage Obligations - 21.2% (continued)** |  |  |  |
| Government National Mortgage Association, Ser. 2019-59, Cl. KA | 3.00 | 12/20/2048 | 807051 |  | 755418 |
| Government National Mortgage Association, Ser. 2019-6, Cl. JK | 3.50 | 1/20/2049 | 897402 |  | 826833 |
| Government National Mortgage Association, Ser. 2019-70, Cl. AS, 1 Month LIBOR +6.15% | 1.66 | 6/20/2049 | 836770 | <sup>a</sup>  | 71046 |
| Government National Mortgage Association, Ser. 2020-11, Cl. CB | 3.50 | 1/20/2050 | 2463594 |  | 2276888 |
| Government National Mortgage Association, Ser. 2020-141, Cl. AI | 2.50 | 9/20/2050 | 2700938 |  | 351770 |
| Government National Mortgage Association, Ser. 2020-15, Cl. CB | 2.50 | 2/20/2050 | 855509 |  | 783114 |
| Government National Mortgage Association, Ser. 2020-162, Cl. DI | 2.50 | 10/20/2050 | 2991393 |  | 375549 |
| Government National Mortgage Association, Ser. 2020-164, Cl. KI | 2.50 | 11/20/2050 | 3843003 |  | 499036 |
| Government National Mortgage Association, Ser. 2020-4, CI. BS, 1 Month LIBOR +5.00% | 0.51 | 1/20/2050 | 2778895 | <sup>a</sup>  | 131974 |
| Government National Mortgage Association, Ser. 2020-63, Cl. AI | 4.00 | 5/20/2035 | 1793612 |  | 195693 |
|  |  |  |  | **44367913** | **44367913** |
| **U.S. Government Agencies Collateralized Municipal-Backed Securities - .3%**  | **U.S. Government Agencies Collateralized Municipal-Backed Securities - .3%**  | **U.S. Government Agencies Collateralized Municipal-Backed Securities - .3%**  |  |  |  |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates, Ser. Q007, Cl. APT1 | 4.15 | 10/25/2047 | 595893 | <sup>c</sup>  | **594625** |
| **U.S. Government Agencies Mortgage-Backed - 79.4%**  | **U.S. Government Agencies Mortgage-Backed - 79.4%**  | **U.S. Government Agencies Mortgage-Backed - 79.4%**  |  |  |  |
| Federal National Mortgage Association: | Federal National Mortgage Association: | Federal National Mortgage Association: |  |  |  |
| &nbsp;&nbsp;&nbsp;2.50%, 10/1/2051 |  |  | 1661074  | <sup>c</sup>  | 1426189 |
| &nbsp;&nbsp;&nbsp;3.00%, 12/1/2051-2/1/2052 |  |  | 22907870  | <sup>c</sup>  | 20862054 |
| &nbsp;&nbsp;&nbsp;4.50%, 1/1/2049 |  |  | 2571949  | <sup>c</sup>  | 2611000 |
| &nbsp;&nbsp;&nbsp;5.00%, 6/1/2052 |  |  | 7847660  | <sup>c</sup>  | 7886859 |
| &nbsp;&nbsp;&nbsp;5.50% |  |  | 10000000  | <sup>c,d</sup>  | 10164844 |
| &nbsp;&nbsp;&nbsp;7.00% |  |  | 12000000  | <sup>c,d</sup>  | 12457031 |
| Government National Mortgage Association I: | Government National Mortgage Association I: | Government National Mortgage Association I: |  |  |  |
| &nbsp;&nbsp;&nbsp;3.50%, 9/15/2041-2/15/2048 |  |  | 3896841  |  | 3770781 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/15/2039-8/15/2045 |  |  | 5619826  |  | 5558885 |
| &nbsp;&nbsp;&nbsp;4.50%, 4/15/2039-12/15/2047 |  |  | 6962470  |  | 7031759 |
| Government National Mortgage Association II: | Government National Mortgage Association II: | Government National Mortgage Association II: |  |  |  |
| &nbsp;&nbsp;&nbsp;2.00%, 3/20/2052 |  |  | 9745710  |  | 8433785 |
| &nbsp;&nbsp;&nbsp;2.50%, 12/20/2050-7/20/2052 |  |  | 45063317  |  | 39270708 |
| &nbsp;&nbsp;&nbsp;3.00%, 8/20/2046-9/20/2052 |  |  | 12200008  |  | 11260076 |

---

------

*STATEMENT OF INVESTMENTS (Unaudited) (continued)*

---

| | | | | |
|:---|:---|:---|:---|:---|
| Description  | Coupon <br>Rate (%) | Maturity<br>Date | Principal<br>Amount ($) | Value ($) |
| **Bonds and Notes - 112.1% (continued)** | **Bonds and Notes - 112.1% (continued)** | **Bonds and Notes - 112.1% (continued)** |  |  |
| **U.S. Government Agencies Mortgage-Backed - 79.4% (continued)** | **U.S. Government Agencies Mortgage-Backed - 79.4% (continued)** | **U.S. Government Agencies Mortgage-Backed - 79.4% (continued)** |  |  |
| &nbsp;&nbsp;&nbsp;3.50%, 9/20/2042-3/20/2050 |  |  | 21737907  | 20935595 |
| &nbsp;&nbsp;&nbsp;4.00% |  |  | 5000000 <br> <sup>d</sup>  | 4855469 |
| &nbsp;&nbsp;&nbsp;4.00%, 10/20/2047-11/20/2052 |  |  | 6527945  | 6361282 |
| &nbsp;&nbsp;&nbsp;4.50%, 12/20/2039-1/20/2050 |  |  | 2163642  | 2177686 |
| &nbsp;&nbsp;&nbsp;5.00%, 4/20/2049-5/20/2050 |  |  | 680273  | 695227 |
|  |  |  |  | **165759230** |
| **Total Bonds and Notes**<br> (cost $258,405,299) | **Total Bonds and Notes**<br> (cost $258,405,299) | **Total Bonds and Notes**<br> (cost $258,405,299) | **234036151** | **234036151** |
| Description | 1-Day<br>Yield (%) |  | Shares | Value ($) |
| **Investment Companies - .9%** | **Investment Companies - .9%** | **Investment Companies - .9%** |  |  |
| **Registered Investment Companies - .9%**  | **Registered Investment Companies - .9%**  | **Registered Investment Companies - .9%**  |  |  |
| Dreyfus Institutional Preferred Government Plus Money Market Fund, Institutional Shares<br>(cost $1,735,118) | 4.41 |  | 1735118<br> <sup>e</sup>  | **1735118** |
| **Total Investments** (cost $260,140,417) | **Total Investments** (cost $260,140,417) | **Total Investments** (cost $260,140,417) | **113.0%** | **235771269** |
| **Liabilities, Less Cash and Receivables** | **Liabilities, Less Cash and Receivables** | **Liabilities, Less Cash and Receivables** | **(13.0%)** | **(27045716)** |
| **Net Assets** | **Net Assets** | **Net Assets** | **100.0%** | **208725553** |

---

*LIBOR—London Interbank Offered Rate* 

*REMIC—Real Estate Mortgage Investment Conduit* 

*<sup>a</sup> Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.*

*<sup>b</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2023, these securities were valued at $23,314,383 or 11.17% of net assets.*

*<sup>c</sup> The Federal Housing Finance Agency ("FHFA") placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.*

*<sup>d</sup> Purchased on a forward commitment basis.*

*<sup>e</sup> Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company's prospectus.*

------

STATEMENT OF INVESTMENTS<br>BNY Mellon U.S. Mortgage Fund, Inc.

January 31, 2023 (Unaudited)

The following is a summary of the inputs used as of January 31, 2023 in valuing the fund's investments:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | **Total** |
| **Assets ($)** | **Assets ($)** | **Assets ($)** | **Assets ($)** |  |
| Investments in Securities:<sup>†</sup> | Investments in Securities:<sup>†</sup> | Investments in Securities:<sup>†</sup> | Investments in Securities:<sup>†</sup> |  |
| Commercial Mortgage-Backed | - | 23314383 | - | **23314383** |
| Investment Companies | 1735118 | - | - | **1735118** |
| U.S. Government Agencies Collateralized Mortgage Obligations | - | 44367913 | - | **44367913** |
| U.S. Government Agencies Collateralized Municipal-Backed Securities | - | 594625 | - | **594625** |
| U.S. Government Agencies Mortgage-Backed | - | 165759230 | - | **165759230** |

---

*<sup>†</sup> See Statement of Investments for additional detailed categorizations, if any.*

------

The Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") is the exclusive reference of authoritative U.S. generally accepted accounting principles ("GAAP") recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund's financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).

Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.

Various inputs are used in determining the value of the fund's investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:

**Level 1**—unadjusted quoted prices in active markets for identical investments.

**Level 2**—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).

**Level 3**—significant unobservable inputs (including the fund's own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund's investments are as follows:

The fund's Board of Directors (the "Board") has designated the Adviser as the fund's valuation designee, effective September 8, 2022, to make all fair value determinations with respect to the fund's portfolio investments, subject to the Board's oversight and pursuant to Rule 2a-5 under the Act.

------

Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.

Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills), financial futures and forward foreign currency exchange contracts ("forward contracts") are valued each business day by one or more independent pricing services (each, a "Service") approved by the Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. The Services are engaged under the general supervision of the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.

When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.

At January 31, 2023, accumulated net unrealized depreciation on investments was $24,369,148, consisting of $406,034 gross unrealized appreciation and $24,775,182 gross unrealized depreciation.

At January 31, 2023, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).

Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BNY Mellon U.S. Mortgage Fund, Inc.

- **b. Investment Company Act file number:** 811-04215

- **c. CIK number of Registrant:** 0000762156

- **d. LEI of Registrant:** 549300M4GYTVW3IU0Q57

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

  - **Street Address 1:** 240 Greenwich Street

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10286

  - **Telephone number:** 212 495 1784

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

- **a. Name of Series:** BNY Mellon U.S. Mortgage Fund, Inc.

- **b. EDGAR series identifier (if any):** S000000069

- **c. LEI of Series:** 549300M4GYTVW3IU0Q57

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

- **a. Date of fiscal year-end:** 2023-04-30

- **b. Date as of which information is reported:** 2023-01-31

**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:** $248714003.33

**Total Liabilities:** $39988450.18

**Net Assets:** $208725553.15

**Delayed Delivery Securities:** $27451796.88

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -222.97775336 | **1-Year:** -6333.74749978 | **5-Year:** -12797.67932329 | **10-Year:** -14986.83494255 | **30-Year:** -4484.02318566

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

- **3-Month:** -470.82318463 | **1-Year:** -8961.17231099 | **5-Year:** -24831.77078014 | **10-Year:** -41818.41167655 | **30-Year:** -10968.0610651

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000106 | 3.48%                | -1.02%               | 3.12%                |
| Class ID C000041113 | 3.47%                | -0.95%               | 3.12%                |
| Class ID C000041115 | 3.40%                | -1.08%               | 3.04%                |
| Class ID C000162288 | 3.40%                | -0.92%               | 3.12%                |
| Class ID C000173349 | 3.48%                | -1.00%               | 3.20%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $24857.76                | $6569590.76                                |
| Month 2  | $554460.58               | $-3019813.72                               |
| Month 3  | $150874.40               | $5707240.26                                |

**Designated Index Information**

- **Index Name:** Bloomberg GNMA Index

- **Index Identifier:** BGGNMA

### 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 | GINNIE MAE I POOL                                                 | CUSIP: 3622AACV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2055643 | OU      | $1982846.68   | 0.95%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 3622AABN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1410752 | OU      | $1419945.83   | 0.68%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 3617JXPA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133645 | OU      | $134970.74    | 0.06%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 3622AAAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2342971 | OU      | $2358296.69   | 1.13%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38377GT58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   4162359 | OU      | $4225768.19   | 2.02%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST                     | BFLD 2019-DPLO                                                    | CUSIP: 054970AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | OU      | $1776515.76   | 0.85%             | 2034-10-15      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179VDF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33541 | OU      | $33056.39     | 0.02%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38382BT78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   2778895 | OU      | $131974.18    | 0.06%             | 2050-01-20      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36182D4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    776928 | OU      | $768737.51    | 0.37%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179VA91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53681 | OU      | $52830.12     | 0.03%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381AJB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    390598 | OU      | $377997.34    | 0.18%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38380FHM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   6279536 | OU      | $6053118.83   | 2.90%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381VH45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    807051 | OU      | $755417.87    | 0.36%             | 2048-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 3617LANC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    588479 | OU      | $565698.91    | 0.27%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36183LDQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    902620 | OU      | $866036.61    | 0.41%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 3622A22A9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1408508 | OU      | $1407563.96   | 0.67%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | FANNIE MAE POOL                                                   | CUSIP: 3140JAMJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2571949 | OU      | $2610999.68   | 1.25%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38379GUF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   2137623 | OU      | $2079528.18   | 1.00%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38380YZH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   5720873 | OU      | $5501867.37   | 2.64%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179VMH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    546628 | OU      | $560256.41    | 0.27%             | 2050-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST   | GS MORTGAGE SECURITIES CORP TRUST 2019-70P                        | CUSIP: 36257MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | OU      | $2421337.00   | 1.16%             | 2036-10-15      | Variable      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38377DKF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   2637359 | OU      | $300866.98    | 0.14%             | 2040-08-16      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38380XT72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   1962863 | OU      | $172196.85    | 0.08%             | 2048-08-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381RNT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   1296918 | OU      | $135593.27    | 0.06%             | 2049-02-20      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    956880 | OU      | $956433.77    | 0.46%             | 2049-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381VTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   3431187 | OU      | $62919.39     | 0.03%             | 2049-05-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    377689 | OU      | $385801.76    | 0.18%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36178DR37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    508781 | OU      | $493880.56    | 0.24%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36296YD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    311538 | OU      | $302579.34    | 0.14%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36193EP95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    726956 | OU      | $673644.74    | 0.32%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36193GE76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2014435 | OU      | $1941675.20   | 0.93%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36184Y5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1086651 | OU      | $1042219.30   | 0.50%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36176EWP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    759152 | OU      | $730905.04    | 0.35%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38379FKW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    954510 | OU      | $911496.28    | 0.44%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73377 | OU      | $71222.60     | 0.03%             | 2041-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36193SR84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    893554 | OU      | $863315.97    | 0.41%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36297F6L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156701 | OU      | $158717.43    | 0.08%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36194CAG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1304687 | OU      | $1260031.05   | 0.60%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36204DX38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    884151 | OU      | $866100.01    | 0.41%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179MNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1126128 | OU      | $1092225.65   | 0.52%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38380KDT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   5236388 | OU      | $4855520.54   | 2.33%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    258180 | OU      | $263725.90    | 0.13%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36297F6M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173207 | OU      | $175861.33    | 0.08%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36297JKC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271543 | OU      | $275707.29    | 0.13%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179EEQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1166065 | OU      | $1126508.79   | 0.54%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 3620A9PQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    794045 | OU      | $786099.93    | 0.38%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36184S4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226045 | OU      | $219054.08    | 0.10%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36198VNK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    851521 | OU      | $824249.57    | 0.39%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36192UD69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2162170 | OU      | $2095312.25   | 1.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36297F2P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415809 | OU      | $421768.65    | 0.20%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36297FHN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373498 | OU      | $378878.80    | 0.18%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36176BN29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600442 | OU      | $588205.21    | 0.28%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36295WJK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425325 | OU      | $430799.29    | 0.21%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381BJE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    443034 | OU      | $434031.15    | 0.21%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36176S4E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281921 | OU      | $287002.72    | 0.14%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36182YTF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    947502 | OU      | $920250.87    | 0.44%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 3620A7ZK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    449188 | OU      | $444472.46    | 0.21%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381V2F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    836770 | OU      | $71045.88     | 0.03%             | 2049-06-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36183QT47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1574739 | OU      | $1490274.16   | 0.71%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38380WL56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   1344692 | OU      | $144046.32    | 0.07%             | 2048-05-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36194GN75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    892238 | OU      | $862973.88    | 0.41%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36186SLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    284130 | OU      | $279725.78    | 0.13%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36188SPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303631 | OU      | $291029.89    | 0.14%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381Y5K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   1348226 | OU      | $78061.47     | 0.04%             | 2049-10-20      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36297FX98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    422434 | OU      | $417978.62    | 0.20%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38382FGJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   1793612 | OU      | $195693.44    | 0.09%             | 2035-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED P | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES      | CUSIP: 3137FHQB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    595893 | OU      | $594625.04    | 0.28%             | 2047-10-01      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 36297FRX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    577776 | OU      | $584132.67    | 0.28%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381BCY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   5588563 | OU      | $573074.19    | 0.27%             | 2048-12-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36193GEV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1604348 | OU      | $1545998.37   | 0.74%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38382AU94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   1186779 | OU      | $209689.18    | 0.10%             | 2049-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381ADE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    805709 | OU      | $70048.71     | 0.03%             | 2048-10-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38382JNR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   2700938 | OU      | $351770.46    | 0.17%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36193NG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1928812 | OU      | $1863264.22   | 0.89%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179VZG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2748130 | OU      | $2400846.60   | 1.15%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381YM50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   2725840 | OU      | $503633.86    | 0.24%             | 2049-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381BH56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    897402 | OU      | $826833.45    | 0.40%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381AH82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   4789611 | OU      | $4656491.90   | 2.23%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381BD68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   2172304 | OU      | $206809.68    | 0.10%             | 2049-01-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                    | FREDDIE MAC REMICS                                                | CUSIP: 3137A5L77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |    890184 | OU      | $804412.29    | 0.39%             | 2041-01-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38382KNC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   2991393 | OU      | $375549.02    | 0.18%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38382B5K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   2463594 | OU      | $2276887.69   | 1.09%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38378PLA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    303247 | OU      | $296205.44    | 0.14%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179V4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4698764 | OU      | $4100525.16   | 1.96%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38382LEZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   3843003 | OU      | $499035.91    | 0.24%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38380V4J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   1726592 | OU      | $1559133.20   | 0.75%             | 2048-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9745710 | OU      | $8433784.63   | 4.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | FANNIE MAE POOL                                                   | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6550519 | OU      | $5962866.36   | 2.86%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 3617VTH86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23858660 | OU      | $20581009.42  | 9.86%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                    | FREDDIE MAC REMICS                                                | CUSIP: 3137BFGQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   1082428 | OU      | $1012363.42   | 0.49%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE                                                        | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | OU      | $4855468.75   | 2.33%             | 2053-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | FANNIE MAE POOL                                                   | CUSIP: 3140XF7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16357351 | OU      | $14899188.34  | 7.14%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | FANNIE MAE POOL                                                   | CUSIP: 3140MTPZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7847660 | OU      | $7886858.91   | 3.78%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC      | FANNIE MAE OR FREDDIE MAC                                         | CUSIP: 01F070625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12000000 | OU      | $12457031.16  | 5.97%             | 2053-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1966272 | OU      | $1808138.51   | 0.87%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | FANNIE MAE POOL                                                   | CUSIP: 3140JBW69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1661074 | OU      | $1426189.24   | 0.68%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9660947 | OU      | $8626430.68   | 4.13%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC      | FANNIE MAE OR FREDDIE MAC                                         | CUSIP: 01F052623<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10000000 | OU      | $10164843.70  | 4.87%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST                       | BX TRUST 2022-VAMF                                                | CUSIP: 05609TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3600000 | OU      | $3505819.32   | 1.68%             | 2039-01-15      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381YV50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    759422 | OU      | $695494.19    | 0.33%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179XFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2934308 | OU      | $2701937.96   | 1.29%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                     | FANNIE MAE REMICS                                                 | CUSIP: 3136B0N36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |   1393940 | OU      | $1191914.03   | 0.57%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38379F3S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    220739 | OU      | $202704.00    | 0.10%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST | MORGAN STANLEY CAPITAL I TRUST 2015-420                           | CUSIP: 61765BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2260530 | OU      | $2134412.05   | 1.02%             | 2050-10-01      | Fixed         | 3.73%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38381BZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    265890 | OU      | $256667.41    | 0.12%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST   | GS MORTGAGE SECURITIES CORP II                                    | CUSIP: 36254JAA3<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   1500000 | OU      | $1363368.90   | 0.65%             | 2037-09-01      | Variable      | 3.48%                 | Yes           |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38382CRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    855509 | OU      | $783114.31    | 0.38%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 3617BLLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    483671 | OU      | $485837.64    | 0.23%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE I POOL                                                 | CUSIP: 3620AQ3U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    532967 | OU      | $540648.03    | 0.26%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179XN69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5777527 | OU      | $5621898.13   | 2.69%             | 2052-11-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION                          | CUSIP: 38380YWQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    549558 | OU      | $528940.78    | 0.25%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4847568 | OU      | $4458491.41   | 2.14%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36179TJY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750418 | OU      | $739383.91    | 0.35%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 3617VDQX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4096816 | OU      | $3561895.57   | 1.71%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36195CAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2451861 | OU      | $2291509.01   | 1.10%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE A | GINNIE MAE II POOL                                                | CUSIP: 36194GKH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1625676 | OU      | $1581176.53   | 0.76%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KNDR TRUST 2021-KIND           | KNDR 2021-KIND A                                                  | CUSIP: 482606AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6850489 | OU      | $6547637.26   | 3.14%             | 2038-08-15      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| ALEN 2021-ACEN MORTGAGE TRUST  | ALEN 2021-ACEN MORTGAGE TRUST                                     | CUSIP: 01449NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | OU      | $5565293.40   | 2.67%             | 2034-04-15      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| DREYFUS INSTITUTIONAL PREFERRE | Dreyfus Institutional Preferred Government Plus Money Market Fund | CUSIP: N/A<br>LEI: 549300RBWL04JG8SIX57       | Long             | STIV             | RF                | US        |   1735118 | OU      | $1735117.81   | 0.83%             | 2099-12-01      | Variable      | 4.40%                 | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-23

**Name of Applicant:** BNY Mellon Advantage Funds, Inc.

**Signature:** James Windels

**Name of Signer:** James Windels

**Title:** Fund Treasurer