# EDGAR Filing Document

**Accession Number:** 0001548609
**File Stem:** 0000894189-26-005987
**Filing Date:** 2026-2
**Character Count:** 128994
**Document Hash:** c50a2e2164a269fa1a4736fa91952c8d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000894189-26-005987.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0000894189-26-005987

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20260630

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22708
- **FILM NUMBER:** 26684976

**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:** 2026-06-30

- **b. Date as of which information is reported:** 2025-12-31

**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:** $333593162.40

**Total Liabilities:** $66077673.88

**Net Assets:** $267515488.52

**Delayed Delivery Securities:** $65938308.45

**Cash Not Reported:** $1967567.61

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -12845.390000000000 | **1-Year:** 2924.330000000000 | **5-Year:** 5054.150000000000 | **10-Year:** 35788.260000000000 | **30-Year:** 111047.810000000000

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

- **3-Month:** 0.000000000000 | **1-Year:** 92.230000000000 | **5-Year:** 112.310000000000 | **10-Year:** 0.000000000000 | **30-Year:** 0.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000135279 | 0.84%                | 0.69%                | 0.00%                |
| Class ID C000135280 | 0.83%                | 0.68%                | -0.01%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-829162.28              | $2339541.88                                |
| Month 2  | $-67199.43               | $826849.71                                 |
| Month 3  | $-737965.80              | $-386491.93                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   6837000 | PA      | $6048341.38   | 2.26%             | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  11874000 | PA      | $10941241.61  | 4.09%             | 2056-02-15      | 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        |   6215000 | PA      | $5895915.31   | 2.20%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2600000 | PA      | $2538579.03   | 0.95%             | 2056-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2025-VLT6                                           | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    915000 | PA      | $915131.94    | 0.34%             | 2042-03-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust        | Carmax Auto Owner Trust 2025-3                               | CUSIP: 14290FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1510000 | PA      | $1529890.48   | 0.57%             | 2031-03-17      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trus | Carmax Select Receivables Trust 2024-A                       | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89834 | PA      | $90004.66     | 0.03%             | 2027-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC       | FHF Issuer Trust 2024-2                                      | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495090 | PA      | $498270.38    | 0.19%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128JRSQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2702 | PA      | $2777.45      | 0.00%             | 2037-02-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128LUGM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7585 | PA      | $7799.73      | 0.00%             | 2035-05-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128NGEV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9139 | PA      | $9568.24      | 0.00%             | 2036-10-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31335YXJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173861 | PA      | $179324.88    | 0.07%             | 2037-09-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31376HY23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9397 | PA      | $9434.29      | 0.00%             | 2027-01-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137AV4U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    762075 | PA      | $549717.13    | 0.21%             | 2042-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FFSV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2274625 | PA      | $1775290.67   | 0.66%             | 2051-03-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass Through Certificates | CUSIP: 3137FHQB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390505 | PA      | $390632.49    | 0.15%             | 2047-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FM2D3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66569 | PA      | $65736.75     | 0.02%             | 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        |    539972 | PA      | $504672.03    | 0.19%             | 2049-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138LMZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $148077.89    | 0.06%             | 2028-04-01      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138LPA97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    965552 | PA      | $857167.15    | 0.32%             | 2048-08-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138MTKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2645399 | PA      | $2640278.14   | 0.99%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138WAST5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123818 | PA      | $120624.58    | 0.05%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31409X4A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29302 | PA      | $29982.22     | 0.01%             | 2036-05-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140A0A33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1397574 | PA      | $1455888.25   | 0.54%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140E0VW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    777106 | PA      | $752896.59    | 0.28%             | 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        |    464375 | PA      | $463903.77    | 0.17%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140MJBA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1673046 | PA      | $1556473.49   | 0.58%             | 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        |    614278 | PA      | $589074.62    | 0.22%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1868491 | PA      | $1864874.01   | 0.70%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140Q0UA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2780000 | PA      | $2792422.07   | 1.04%             | 2030-10-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1564885 | PA      | $1346379.21   | 0.50%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2209559 | PA      | $1989811.81   | 0.74%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XF4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2307889 | PA      | $2150661.08   | 0.80%             | 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        |   3488380 | PA      | $2870138.46   | 1.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPK81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1635348 | PA      | $1706732.42   | 0.64%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPPG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1320909 | PA      | $1352458.10   | 0.51%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100016 | PA      | $1163788.88   | 0.44%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XQXV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2196000 | PA      | $2261418.78   | 0.85%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418ECB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1503693 | PA      | $1396117.75   | 0.52%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418FDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2597824 | PA      | $2593867.30   | 0.97%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418MDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128893 | PA      | $137185.96    | 0.05%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418MPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100864 | PA      | $105148.30    | 0.04%             | 2039-10-01      | 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        |  26923643 | NS      | $26923642.72  | 10.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36176MPJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134942 | PA      | $135295.75    | 0.05%             | 2031-08-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36176MPK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166306 | PA      | $166613.19    | 0.06%             | 2036-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36178YSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    421598 | PA      | $434798.51    | 0.16%             | 2042-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36202DQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147257 | PA      | $154177.75    | 0.06%             | 2031-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36202EUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83805 | PA      | $86523.41     | 0.03%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36241KMW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118557 | PA      | $122420.17    | 0.05%             | 2035-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 36291BHW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61500 | PA      | $61788.52     | 0.02%             | 2028-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38374J6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225242 | PA      | $224844.59    | 0.08%             | 2034-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38382WGR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1840280 | PA      | $1331230.31   | 0.50%             | 2051-07-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38383AVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1049804 | PA      | $613328.80    | 0.23%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38383CHC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1791418 | PA      | $1219931.74   | 0.46%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                       | BX Trust 2024-VLT4                                           | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1425000 | PA      | $1426245.88   | 0.53%             | 2041-06-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| COLORADO ST HLTH FACS AUTH REV | Colorado Health Facilities Authority                         | CUSIP: 19648FRX4<br>LEI: 5493002JB6DRFRZPEQ21 | Long             | DBT              | MUN               | US        |    230000 | PA      | $226099.29    | 0.08%             | 2026-12-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC       | FHF Issuer Trust 2024-3                                      | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    704406 | PA      | $703183.83    | 0.26%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31281AST0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20411 | PA      | $20989.18     | 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        |     79407 | PA      | $80454.15     | 0.03%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31281LCP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112924 | PA      | $114213.22    | 0.04%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31281LCT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241900 | PA      | $247950.66    | 0.09%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42253 | PA      | $43495.99     | 0.02%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31286DL33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62524 | PA      | $64950.68     | 0.02%             | 2037-10-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31287SD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36790 | PA      | $38221.88     | 0.01%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128K7LJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27059 | PA      | $27842.90     | 0.01%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128M6LV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83538 | PA      | $88500.07     | 0.03%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128M6QG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71876 | PA      | $76145.61     | 0.03%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128MJ4N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71353 | PA      | $74121.77     | 0.03%             | 2048-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128MJL65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43968 | PA      | $45289.94     | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128P7QT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55136 | PA      | $55644.39     | 0.02%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3128P8A35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259769 | PA      | $248816.45    | 0.09%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31292KYY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203665 | PA      | $212557.40    | 0.08%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31296NWR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26912 | PA      | $27333.46     | 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        |     55648 | PA      | $57950.95     | 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        |     72482 | PA      | $75511.63     | 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        |     35931 | PA      | $37425.11     | 0.01%             | 2037-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2017-T1                             | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1981531 | PA      | $1951963.04   | 0.73%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31371NU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122516 | PA      | $123331.66    | 0.05%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31376SEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4123 | PA      | $4140.97      | 0.00%             | 2027-04-01      | Floating      | 6.38%                 | 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        |    297928 | PA      | $297294.64    | 0.11%             | 2026-09-25      | Variable      | 2.69%                 | 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        |     33046 | PA      | $33343.57     | 0.01%             | 2046-04-25      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31381P3C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534751 | PA      | $574957.02    | 0.21%             | 2041-01-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31381UA56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    722730 | PA      | $700888.05    | 0.26%             | 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        |      5503 | PA      | $5584.54      | 0.00%             | 2029-11-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31389LS26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5798 | PA      | $6017.52      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138AJG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620535 | PA      | $623012.25    | 0.23%             | 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        |     30289 | PA      | $30693.86     | 0.01%             | 2031-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138EGNZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123205 | PA      | $128587.35    | 0.05%             | 2039-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138EQQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288179 | PA      | $275736.39    | 0.10%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138WBQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050659 | PA      | $1037869.15   | 0.39%             | 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        |    210719 | PA      | $205979.95    | 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        |     75643 | PA      | $73801.19     | 0.03%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138XZSY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249104 | PA      | $240544.18    | 0.09%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138YDM89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146355 | PA      | $144339.00    | 0.05%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3138YVTL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60884 | PA      | $59444.67     | 0.02%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31390AHA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9639 | PA      | $9870.13      | 0.00%             | 2032-04-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31390CLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5884 | PA      | $6027.17      | 0.00%             | 2032-03-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31390T6S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19582 | PA      | $19909.33     | 0.01%             | 2031-08-01      | Floating      | 6.13%                 | 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        |      4430 | PA      | $4453.60      | 0.00%             | 2043-06-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae Trust 2003-W12                                    | CUSIP: 31393ELF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7164 | PA      | $7224.09      | 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        |      1194 | PA      | $1202.00      | 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        |      4759 | PA      | $4761.94      | 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        |      4079 | PA      | $4006.73      | 0.00%             | 2043-06-25      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                              | CUSIP: 31396PGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47848 | PA      | $48010.70     | 0.02%             | 2032-10-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31402ASA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20721 | PA      | $21345.29     | 0.01%             | 2031-09-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31402XT63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12378 | PA      | $12732.67     | 0.00%             | 2033-12-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust   | Ford Credit Auto Owner Trust 2024-B                          | CUSIP: 34531QAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1795000 | PA      | $1834821.00   | 0.69%             | 2030-05-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner  | Toyota Auto Receivables 2024-A Owner Trust                   | CUSIP: 89238DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1670483 | PA      | $1681602.07   | 0.63%             | 2028-10-16      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust           | Verizon Master Trust Series 2024-5                           | CUSIP: 92348KDB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2935000 | PA      | $3029977.19   | 1.13%             | 2032-06-21      | Fixed         | 5.00%                 | 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        |  20180000 | PA      | $16317341.56  | 6.10%             | 2056-01-15      | 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        |   3275000 | PA      | $2769166.03   | 1.04%             | 2056-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3450000 | PA      | $3441105.49   | 1.29%             | 2056-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4343000 | PA      | $4404404.98   | 1.65%             | 2056-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac      | Fannie Mae or Freddie Mac                                    | CUSIP: 01F062614<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |   2750000 | PA      | $2858341.28   | 1.07%             | 2056-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 2019-KF73 Mortgage Trust                               | CUSIP: 30313BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499990 | PA      | $466229.73    | 0.17%             | 2029-11-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust           | FREMF 2020-KF74 Mortgage Trust                               | CUSIP: 30313MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490858 | PA      | $487458.06    | 0.18%             | 2027-01-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128NH2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14492 | PA      | $15024.60     | 0.01%             | 2037-06-01      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128Q3ML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11846 | PA      | $12273.50     | 0.00%             | 2036-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Non Gold Pool                                    | CUSIP: 3128QSQA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14721 | PA      | $15136.01     | 0.01%             | 2037-10-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 312979FR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72912 | PA      | $75200.91     | 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        |     24010 | PA      | $24380.11     | 0.01%             | 2030-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31321XCK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115170 | PA      | $119645.78    | 0.04%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip               | Freddie Mac Strips                                           | CUSIP: 31325XJ35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    604575 | PA      | $93914.71     | 0.04%             | 2049-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132CXJY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1713483 | PA      | $1770279.53   | 0.66%             | 2039-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DM5F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2583636 | PA      | $2223713.80   | 0.83%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DNZE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1320155 | PA      | $1303936.53   | 0.49%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DQ2G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2474721 | PA      | $2535675.45   | 0.95%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DQ2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1097955 | PA      | $1156234.29   | 0.43%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DQSX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3065635 | PA      | $2612197.34   | 0.98%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DQXP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2009087 | PA      | $2046516.32   | 0.77%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DSGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4065686 | PA      | $4218691.62   | 1.58%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DTFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2856886 | PA      | $2579159.51   | 0.96%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    531509 | PA      | $476225.56    | 0.18%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DWDD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2512658 | PA      | $2138593.03   | 0.80%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132DWGY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    913056 | PA      | $911288.32    | 0.34%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132E0HR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    994855 | PA      | $1020466.77   | 0.38%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3132E0QE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220137 | PA      | $226772.25    | 0.08%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3132J4HJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64229 | PA      | $64887.04     | 0.02%             | 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        |    442735 | PA      | $429468.86    | 0.16%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3132LPTE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188720 | PA      | $185919.39    | 0.07%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 3132LPTW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135314 | PA      | $132275.57    | 0.05%             | 2035-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31335Y3H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60411 | PA      | $62341.65     | 0.02%             | 2037-11-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Gold Pool                                        | CUSIP: 31335YWN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42196 | PA      | $43869.33     | 0.02%             | 2037-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133AXMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2323606 | PA      | $1881497.02   | 0.70%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133B9M50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    803896 | PA      | $690836.72    | 0.26%             | 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        |    458412 | PA      | $377045.46    | 0.14%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133BM2E4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2492710 | PA      | $2544946.56   | 0.95%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133BMRN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1951305 | PA      | $1994667.54   | 0.75%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KL2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3311328 | PA      | $2806004.47   | 1.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KMT47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3082733 | PA      | $2782362.33   | 1.04%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KNQT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1568416 | PA      | $1349092.09   | 0.50%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KPY85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2400188 | PA      | $2424497.51   | 0.91%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133KR5L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1264875 | PA      | $1317288.03   | 0.49%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 3133L94X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2576691 | PA      | $2659550.53   | 0.99%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3133T6T76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         3 | PA      | $3.14         | 0.00%             | 2026-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136A3ZF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41237 | PA      | $41005.56     | 0.02%             | 2042-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136A4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278597 | PA      | $16761.56     | 0.01%             | 2042-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136A6YL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649527 | PA      | $664958.14    | 0.25%             | 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        |    129246 | PA      | $2051.70      | 0.00%             | 2027-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136ACR94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11636 | PA      | $236.53       | 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        |    197924 | PA      | $14405.28     | 0.01%             | 2042-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136AJEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    731139 | PA      | $67086.40     | 0.03%             | 2034-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136AN4S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245960 | PA      | $39671.49     | 0.01%             | 2045-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136B3SX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76188 | PA      | $76006.94     | 0.03%             | 2047-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136B4Y51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650737 | PA      | $118955.16    | 0.04%             | 2049-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 3136BKUT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3748777 | PA      | $249692.94    | 0.09%             | 2035-02-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 3137FXW79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1659710 | PA      | $1314414.23   | 0.49%             | 2050-03-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31392BKK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36560 | PA      | $37112.26     | 0.01%             | 2032-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31392X2G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22464 | PA      | $23092.27     | 0.01%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31393EKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163880 | PA      | $169739.71    | 0.06%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31394US60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390783 | PA      | $407183.10    | 0.15%             | 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        |    176786 | PA      | $183007.04    | 0.07%             | 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        |    108188 | PA      | $110988.43    | 0.04%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac REMICS                                           | CUSIP: 31395KND1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393075 | PA      | $397201.17    | 0.15%             | 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        |    553302 | PA      | $575530.58    | 0.22%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                            | CUSIP: 31396PW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252363 | PA      | $261308.21    | 0.10%             | 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        |    231837 | PA      | $241041.81    | 0.09%             | 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        |    330818 | PA      | $338676.03    | 0.13%             | 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        |    143848 | PA      | $149804.73    | 0.06%             | 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        |    410036 | PA      | $59309.76     | 0.02%             | 2039-04-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31403DLF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14152 | PA      | $14587.54     | 0.01%             | 2036-05-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31403DSF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46637 | PA      | $48962.05     | 0.02%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140W23H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1760387 | PA      | $1427788.30   | 0.53%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140W23K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483358 | PA      | $394275.25    | 0.15%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140W25H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2597855 | PA      | $2661718.47   | 0.99%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140W3YD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1644891 | PA      | $1367247.06   | 0.51%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XDDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1737237 | PA      | $1423834.15   | 0.53%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XFY54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    899104 | PA      | $741140.68    | 0.28%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1324382 | PA      | $1228118.14   | 0.46%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1871768 | PA      | $1658393.71   | 0.62%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGUE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372315 | PA      | $320645.77    | 0.12%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XGVP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2957377 | PA      | $2659717.54   | 0.99%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XJDK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1080307 | PA      | $919817.38    | 0.34%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XLML9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3117007 | PA      | $2658802.88   | 0.99%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XLVU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1474655 | PA      | $1251972.47   | 0.47%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XMB47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2694944 | PA      | $2737603.74   | 1.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XN2U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2359653 | PA      | $2407280.76   | 0.90%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XNP65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2864101 | PA      | $2482138.52   | 0.93%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPCF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1290465 | PA      | $1257073.78   | 0.47%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XPCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2513872 | PA      | $2528264.29   | 0.95%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XRE50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1334105 | PA      | $1360177.25   | 0.51%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XRGM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3039938 | PA      | $3125922.81   | 1.17%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XRMQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1014830 | PA      | $864213.18    | 0.32%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31410DQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13435 | PA      | $13897.19     | 0.01%             | 2036-07-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31410KSS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22528 | PA      | $22799.01     | 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        |    176817 | PA      | $178819.73    | 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        |     10069 | PA      | $10448.66     | 0.00%             | 2035-11-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31412NYC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72640 | PA      | $75864.81     | 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        |     20412 | PA      | $21014.73     | 0.01%             | 2037-08-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25692 | PA      | $26188.73     | 0.01%             | 2037-08-01      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413RBC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19852 | PA      | $20711.97     | 0.01%             | 2037-09-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413TV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55213 | PA      | $58614.33     | 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        |    178429 | PA      | $177958.05    | 0.07%             | 2029-07-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31413XSH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    699099 | PA      | $727474.77    | 0.27%             | 2028-10-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31416B4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15219 | PA      | $15722.00     | 0.01%             | 2037-05-01      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31416VUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131770 | PA      | $127894.06    | 0.05%             | 2036-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418CR63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    834876 | PA      | $840415.01    | 0.31%             | 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        |   1003477 | PA      | $815039.29    | 0.30%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    843492 | PA      | $689224.44    | 0.26%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31418NBK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152024 | PA      | $158482.57    | 0.06%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 31427MWR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1843014 | PA      | $1903507.91   | 0.71%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 31427N2K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    804693 | PA      | $788956.18    | 0.29%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 31427N4H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2477745 | PA      | $2032205.92   | 0.76%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 31427NVE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1266560 | PA      | $1301570.55   | 0.49%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 31427QFH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1336684 | PA      | $1361224.17   | 0.51%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                    | Freddie Mac Pool                                             | CUSIP: 31427QGB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1429768 | PA      | $1369921.63   | 0.51%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179V3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    439013 | PA      | $414307.33    | 0.15%             | 2036-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179V5Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415816 | PA      | $392430.23    | 0.15%             | 2036-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2995923 | PA      | $2484055.15   | 0.93%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1445924 | PA      | $1198987.00   | 0.45%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3016170 | PA      | $2500842.92   | 0.93%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2902965 | PA      | $2507312.06   | 0.94%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179WV39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    270336 | PA      | $285408.43    | 0.11%             | 2052-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1758578 | PA      | $1726887.24   | 0.65%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2903876 | PA      | $2911984.59   | 1.09%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 36179XTB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3014731 | PA      | $2956975.59   | 1.11%             | 2053-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 3617MQC46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    922339 | PA      | $782327.70    | 0.29%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 3617XJMU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1468641 | PA      | $1434204.60   | 0.54%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae II Pool                                           | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1501692 | PA      | $1499986.73   | 0.56%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 36201QC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    384626 | PA      | $386016.80    | 0.14%             | 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        |    221508 | PA      | $231497.22    | 0.09%             | 2033-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 3620AE5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13919 | PA      | $13814.13     | 0.01%             | 2029-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Ginnie Mae I Pool                                            | CUSIP: 3622A2YL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8907 | PA      | $9104.25      | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38374NMU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42442 | PA      | $43000.32     | 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        |    237392 | PA      | $246377.10    | 0.09%             | 2038-04-20      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38375GYQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    831612 | PA      | $700528.33    | 0.26%             | 2042-08-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38376UE54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169786 | PA      | $15447.27     | 0.01%             | 2039-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38376UF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    589612 | PA      | $93507.81     | 0.03%             | 2040-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38377D2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369210 | PA      | $28567.17     | 0.01%             | 2040-01-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38377TFK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320788 | PA      | $328517.44    | 0.12%             | 2039-03-20      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378AJ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    682000 | PA      | $567283.92    | 0.21%             | 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        |    610476 | PA      | $102912.63    | 0.04%             | 2041-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378PP77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    266690 | PA      | $32125.51     | 0.01%             | 2044-01-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378TVK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    352499 | PA      | $35512.77     | 0.01%             | 2043-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378XPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    977229 | PA      | $20508.91     | 0.01%             | 2056-01-16      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38378YND7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62594 | PA      | $920.48       | 0.00%             | 2028-11-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379K7D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    892716 | PA      | $17766.84     | 0.01%             | 2057-03-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379TK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    522775 | PA      | $57915.95     | 0.02%             | 2038-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379UMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1749563 | PA      | $34956.28     | 0.01%             | 2057-07-16      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379UQN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1165301 | PA      | $50112.38     | 0.02%             | 2057-11-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379UXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1779307 | PA      | $75387.10     | 0.03%             | 2058-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379XBY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    330715 | PA      | $36604.68     | 0.01%             | 2040-01-20      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38379YUV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114228 | PA      | $120021.22    | 0.04%             | 2040-12-20      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380H3F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1572140 | PA      | $197816.14    | 0.07%             | 2047-11-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380TG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    562312 | PA      | $61445.55     | 0.02%             | 2043-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380VR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1481955 | PA      | $206708.48    | 0.08%             | 2048-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38380YYX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203777 | PA      | $194229.74    | 0.07%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38381AY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335776 | PA      | $325136.17    | 0.12%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38382BQH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    579422 | PA      | $366492.30    | 0.14%             | 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      | $240778.20    | 0.09%             | 2051-03-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                     | CUSIP: 38383FP31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2515250 | PA      | $1762293.35   | 0.66%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2025-C                        | CUSIP: 44935JAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    870000 | PA      | $871530.16    | 0.33%             | 2032-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust | Hyundai Auto Receivables Trust 2025-B                        | CUSIP: 44935XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1695000 | PA      | $1729020.68   | 0.65%             | 2030-07-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust         | John Deere Owner Trust 2025-B                                | CUSIP: 47800UAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1013151.90   | 0.38%             | 2032-06-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust      | Kubota Credit Owner Trust 2025-2                             | CUSIP: 50117LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    855000 | PA      | $864431.76    | 0.32%             | 2029-09-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust      | Kubota Credit Owner Trust 2025-2                             | CUSIP: 50117LAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865000 | PA      | $880558.24    | 0.33%             | 2030-11-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                            | US 5YR NOTE (CBT) Mar26                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -71 | NC      | $14159.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 2YR NOTE (CBT) Mar26                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -29 | NC      | $-1661.58     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10YR NOTE (CBT)Mar26                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        27 | NC      | $-8564.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US LONG BOND(CBT) Mar26                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -37 | NC      | $34042.27     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US 10yr Ultra Fut Mar26                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        58 | NC      | $-23486.04    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | US ULTRA BOND CBT Mar26                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -58 | NC      | $114153.61    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31403K3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3407 | PA      | $3497.46      | 0.00%             | 2033-11-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31404CEP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18804 | PA      | $19111.89     | 0.01%             | 2034-02-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31404P6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20742 | PA      | $21373.98     | 0.01%             | 2034-04-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31405AQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83633 | PA      | $86136.32     | 0.03%             | 2034-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31406TTE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2299 | PA      | $2348.58      | 0.00%             | 2035-03-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31407PSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40223 | PA      | $41494.49     | 0.02%             | 2035-10-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31407QHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5583 | PA      | $5732.49      | 0.00%             | 2035-09-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31407VNX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68191 | PA      | $67427.99     | 0.03%             | 2035-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31408FSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133609 | PA      | $133820.62    | 0.05%             | 2035-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31409D6D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4548 | PA      | $4685.36      | 0.00%             | 2036-04-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 31409SKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5343 | PA      | $5575.03      | 0.00%             | 2036-03-01      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140EV4Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194131 | PA      | $195913.19    | 0.07%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140F2CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296066 | PA      | $296350.40    | 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        |    120588 | PA      | $120204.83    | 0.04%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140FCXT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307735 | PA      | $307137.45    | 0.11%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140FGRV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155528 | PA      | $155611.10    | 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        |    190016 | PA      | $187197.04    | 0.07%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140HAF54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132388 | PA      | $131684.63    | 0.05%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140HJU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174261 | PA      | $179627.62    | 0.07%             | 2048-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140HM4S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271018 | PA      | $280714.52    | 0.10%             | 2048-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140HRND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2594920 | PA      | $2605106.32   | 0.97%             | 2028-05-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140JMPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75429 | PA      | $77429.34     | 0.03%             | 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        |    174010 | PA      | $179134.30    | 0.07%             | 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        |   1821681 | PA      | $1648165.82   | 0.62%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140KLLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1407049 | PA      | $1150868.03   | 0.43%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140KNTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2403225 | PA      | $1960939.35   | 0.73%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140LHE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1483182.82   | 0.55%             | 2032-09-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140MHSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3262644 | PA      | $2648930.16   | 0.99%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QMZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2531171 | PA      | $2177208.20   | 0.81%             | 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        |   2571022 | PA      | $2203939.89   | 0.82%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QNC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3270331 | PA      | $2654113.42   | 0.99%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QNGT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1964456 | PA      | $1829910.89   | 0.68%             | 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        |   3336330 | PA      | $2885398.52   | 1.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QPH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1453232 | PA      | $1397300.09   | 0.52%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QRDB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2189862 | PA      | $2293359.80   | 0.86%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QU2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1791006 | PA      | $1864501.10   | 0.70%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QUG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2746030 | PA      | $2769968.48   | 1.04%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140QUNL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1237008 | PA      | $1273333.80   | 0.48%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140W0L37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2584287 | PA      | $2634794.51   | 0.98%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                              | CUSIP: 3140XJQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2327299 | PA      | $2106737.83   | 0.79%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-26

**Name of Applicant:** Brown Advisory Funds

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

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

**Title:** Principal Financial Officer