# EDGAR Filing Document

**Accession Number:** 0001027596
**File Stem:** 0001145549-23-004405
**Filing Date:** 2023-1
**Character Count:** 66734
**Document Hash:** 6ac77c079c80258814141a5f7ebd5bfd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-004405.hdr.sgml**: 20230130

**ACCESSION NUMBER**: 0001145549-23-004405

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230130

**DATE AS OF CHANGE**: 20230130

**PERIOD START**: 20221130

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** ADVISORS SERIES TRUST
- **CENTRAL INDEX KEY:** 0001027596
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07959
- **FILM NUMBER:** 23565880

**BUSINESS ADDRESS:**
- **STREET 1:** U.S BANCORP FUND SERVICES, LLC
- **STREET 2:** 615 E MICHIGAN STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202
- **BUSINESS PHONE:** 414-765-5340

**MAIL ADDRESS:**
- **STREET 1:** 615 E MICHIGAN STREET
- **STREET 2:** MK-WI-LC2
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53202

## Series and Classes Contracts Data

### Semper MBS Total Return Fund (Series ID: S000041568)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000129089 | Institutional Class | SEMMX           |
| C000129090 | Investor Class      | SEMPX           |
| C000164429 | Class A             | SEMOX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Advisors Series Trust

- **b. Investment Company Act file number:** 811-07959

- **c. CIK number of Registrant:** 0001027596

- **d. LEI of Registrant:** 2549003Z0J6URS6I4Y63

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

  - **Street Address 1:** 615 East Michigan Street

  - **City:** Milwaukee

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 53202

  - **Telephone number:** 626-914-7363

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

- **a. Name of Series:** Semper MBS Total Return Fund

- **b. EDGAR series identifier (if any):** S000041568

- **c. LEI of Series:** 549300WF54ATBCP8J702

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

- **a. Date of fiscal year-end:** 2022-11-30

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $347863252.72

**Total Liabilities:** $2924804.06

**Net Assets:** $344938448.66

**Cash Not Reported:** $91070.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 345.206320101378 | **1-Year:** 1068.567772699677 | **5-Year:** 2321.238770888628 | **10-Year:** 1414.385770024247 | **30-Year:** 2016.536489538476

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

- **3-Month:** 34170.988223609573 | **1-Year:** 42984.975676580883 | **5-Year:** 79422.699053786537 | **10-Year:** 35290.407070087872 | **30-Year:** 10050.713023110213

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000129089 | -3.83%               | -3.03%               | -0.93%               |
| Class ID C000129090 | -3.84%               | -3.04%               | -1.07%               |
| Class ID C000164429 | -3.84%               | -3.04%               | -1.07%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-7805094.73             | $-11799483.73                              |
| Month 2  | $-10479405.35            | $-3407038.22                               |
| Month 3  | $-10131732.20            | $4276967.82                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                              | CUSIP: 17307GMJ4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      7343 | PA      | $6933.34      | 0.00%             | 2034-12-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2021-3 Mortgage Loan Trust                                                | CUSIP: 19688FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1578000 | PA      | $895731.66    | 0.26%             | 2066-09-27      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC               | COLT 2021-4 Mortgage Loan Trust                                                | CUSIP: 19688GAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2625000 | PA      | $1937691.00   | 0.56%             | 2066-10-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2020-SBT1                                  | CUSIP: 20753VBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14106000 | PA      | $12653959.39  | 3.67%             | 2040-02-25      | Floating      | 10.77%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2020-SBT1                                  | CUSIP: 20753VDL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11475000 | PA      | $10291117.37  | 2.98%             | 2040-02-25      | Floating      | 10.62%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2020-R01                                   | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $942513.00    | 0.27%             | 2040-01-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Home Loan Trus | Conseco Finance Home Improvement Loan Trust 2000-E                             | CUSIP: 20846QEH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121359 | PA      | $15797.78     | 0.00%             | 2031-08-15      | Variable      | 10.26%                | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd  | Corevest American Finance 2019-1 Trust                                         | CUSIP: 21872FAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242500 | PA      | $218097.23    | 0.06%             | 2052-03-15      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-23                                  | CUSIP: 23243HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       928 | PA      | $925.67       | 0.00%             | 2047-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2021-1                                    | CUSIP: 24380VAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $2557693.76   | 0.74%             | 2065-05-25      | Variable      | 3.96%                 | No            |                  3 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2021-4                                    | CUSIP: 24381JAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $2703620.00   | 0.78%             | 2066-11-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FRTKL                          | FRTKL 2021-SFR1                                                                | CUSIP: 30322DAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6811000 | PA      | $5702823.06   | 1.65%             | 2038-09-17      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit | Freddie Mac Whole Loan Securities Trust                                        | CUSIP: 3137G1BN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    595000 | PA      | $522697.98    | 0.15%             | 2046-12-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit | Freddie Mac Whole Loan Securities Trust 2017-SC02                              | CUSIP: 3137G1BZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1411000 | PA      | $1272762.21   | 0.37%             | 2047-05-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2003-T2                                               | CUSIP: 31392JAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29195 | PA      | $28885.97     | 0.01%             | 2033-03-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust        | Fannie Mae Grantor Trust 2004-T3                                               | CUSIP: 31393YV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31429 | PA      | $30818.79     | 0.01%             | 2043-08-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                 | Fannie Mae-Aces                                                                | CUSIP: 31395BY98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1084441 | PA      | $5.53         | 0.00%             | 2036-03-25      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae REMICS                                                              | CUSIP: 31396VHF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60259 | PA      | $57617.57     | 0.02%             | 2037-04-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan           | Fannie Mae REMIC Trust 2007-W8                                                 | CUSIP: 31396XVY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7333 | PA      | $7391.70      | 0.00%             | 2037-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                     | Fannie Mae Pool                                                                | CUSIP: 31410GEF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6167 | PA      | $6133.23      | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                                     | CUSIP: 31846V567<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |   7992460 | NS      | $7992460.18   | 2.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2018-1                                                 | CUSIP: 33850TBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1206000 | PA      | $649219.71    | 0.19%             | 2048-03-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit  | Freddie Mac Multifamily Structured Credit Risk                                 | CUSIP: 35563FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3537000 | PA      | $3011058.71   | 0.87%             | 2051-01-25      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit  | Freddie Mac Multifamily Structured Credit Risk                                 | CUSIP: 35563FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6603000 | PA      | $6116885.82   | 1.77%             | 2051-01-25      | Floating      | 11.30%                | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2019-HY3                                             | CUSIP: 89177XAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1106000 | PA      | $798399.72    | 0.23%             | 2059-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2019-HY3                                             | CUSIP: 89177XAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1105000 | PA      | $750123.28    | 0.22%             | 2059-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2018-1                                  | CUSIP: 92257AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225878 | PA      | $214362.60    | 0.06%             | 2048-04-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2019-1                                  | CUSIP: 92257CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553944 | PA      | $449232.37    | 0.13%             | 2049-03-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2017-2                                  | CUSIP: 92258VAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333437 | PA      | $274101.79    | 0.08%             | 2047-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2018-2                                  | CUSIP: 92259BAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252925 | PA      | $230225.41    | 0.07%             | 2048-10-26      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit  | Freddie Mac Multifamily Structured Credit Risk                                 | CUSIP: 35563GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6413000 | PA      | $5607010.95   | 1.63%             | 2051-11-25      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT             | Seasoned Credit Risk Transfer Trust Series 2018-2                              | CUSIP: 35563PFU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 431309126 | PA      | $1175576.15   | 0.34%             | 2057-11-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2019-INV3                                           | CUSIP: 92537MAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $511094.22    | 0.15%             | 2059-11-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-R3                                             | CUSIP: 92538EAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3081000 | PA      | $2126847.57   | 0.62%             | 2064-04-25      | Variable      | 4.07%                 | No            |                  3 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-8                                              | CUSIP: 92538GAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288000 | PA      | $180063.39    | 0.05%             | 2066-11-25      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-5                                              | CUSIP: 92538KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1235312.75   | 0.36%             | 2066-09-25      | Variable      | 3.94%                 | No            |                  3 | On Loan: No      |
| Freddie Mac - SCRT             | Seasoned Credit Risk Transfer Trust Series 2018-2                              | CUSIP: 35563PFX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8004612 | PA      | $2632425.63   | 0.76%             | 2057-11-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-HQA1                                        | CUSIP: 35564KCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1486000 | PA      | $1130788.19   | 0.33%             | 2033-08-25      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-6                                              | CUSIP: 92538MAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4369000 | PA      | $2632447.02   | 0.76%             | 2066-10-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra | VOLT XCV LLC                                                                   | CUSIP: 92873BAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1284851.70   | 0.37%             | 2051-03-27      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes                           | CUSIP: 35564KDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   2393000 | PA      | $2152839.48   | 0.62%             | 2033-08-25      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes                           | CUSIP: 35564KDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $814103.50    | 0.24%             | 2033-08-25      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-DNA3                                        | CUSIP: 35564KFG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2506400 | PA      | $2230605.52   | 0.65%             | 2033-10-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-DNA3                                        | CUSIP: 35564KFH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $822152.60    | 0.24%             | 2033-10-25      | Floating      | 9.77%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-4 Trust | CUSIP: 93936NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5106767 | PA      | $2379387.69   | 0.69%             | 2037-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Clean Coal Technologies Inc.   | SERIES A 12% SECURED CONVERTIBLE PROMISSORY NOTE                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    749058 | PA      | $0.00         | 0.00%             | 2023-02-08      | Fixed         | 12.00%                | Yes           |                  3 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2021-DNA6                                        | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $850338.60    | 0.25%             | 2041-10-25      | Floating      | 11.05%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR Trust 2019-DNA4                                              | CUSIP: 35565ABE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987000 | PA      | $884920.22    | 0.26%             | 2049-10-25      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR Trust 2019-FTR3                                              | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-MBS          | CORP              | US        |   6233500 | PA      | $4883628.09   | 1.42%             | 2047-09-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Stacr Trust 2019-FTR4                                              | CUSIP: 35565GAE7<br>LEI: 549300K0XW5MBR2WNZ55 | Long             | ABS-MBS          | CORP              | US        |  10050000 | PA      | $8041081.38   | 2.33%             | 2047-11-25      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2020-HQA1                                        | CUSIP: 35565JBE0<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-MBS          | CORP              | US        |   8679000 | PA      | $7391696.87   | 2.14%             | 2050-01-25      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR Remic Trust 2020-DNA2                                        | CUSIP: 35565KBE7<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   6990000 | PA      | $5658153.36   | 1.64%             | 2050-02-25      | Floating      | 8.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Stacr Remic Trust 2020-HQA2                                        | CUSIP: 35565LBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10250000 | PA      | $9571151.73   | 2.77%             | 2050-03-25      | Floating      | 11.62%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2020-HQA4                                        | CUSIP: 35565RBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1780000 | PA      | $1882430.81   | 0.55%             | 2050-09-25      | Floating      | 13.42%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Structured Agency Credit Risk Debt Notes                           | CUSIP: 35565TBE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   4460000 | PA      | $4188617.03   | 1.21%             | 2050-11-25      | Floating      | 10.92%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2020-DNA4                                        | CUSIP: 35565XBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1888000 | PA      | $2044230.11   | 0.59%             | 2050-08-25      | Floating      | 14.02%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2020-DNA5                                        | CUSIP: 35566ABE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1810000 | PA      | $2030722.08   | 0.59%             | 2050-10-25      | Floating      | 15.02%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR REMIC Trust 2020-DNA6                                        | CUSIP: 35566CBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5750000 | PA      | $4773344.68   | 1.38%             | 2050-12-25      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| GMAC Commercial Mortgage Asset | GMAC Commercial Mortgage Asset Corp                                            | CUSIP: 36186XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27557339 | PA      | $1520196.47   | 0.44%             | 2050-07-10      | Fixed         | 0.58%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Home Equity Trust 2006-5                                                  | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26245 | PA      | $9762.26      | 0.00%             | 2036-03-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GMAC Commercial Mortgage Asset | GMAC Commercial Mortgage Asset Corp                                            | CUSIP: 38012DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 138635777 | PA      | $2257496.47   | 0.65%             | 2050-05-10      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                       | CUSIP: 38373MCH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9200 | PA      | $0.20         | 0.00%             | 2042-01-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                       | CUSIP: 38373MPG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116624 | PA      | $0.17         | 0.00%             | 2045-06-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                       | CUSIP: 38375JCL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114009 | PA      | $412.09       | 0.00%             | 2046-05-16      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A | Government National Mortgage Association                                       | CUSIP: 38378BED7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37109 | PA      | $30.30        | 0.00%             | 2052-08-16      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust 2005-AR4                                     | CUSIP: 39538WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16168121 | PA      | $14231849.58  | 4.13%             | 2045-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-5                                                | CUSIP: 46591FBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1232439 | PA      | $801873.98    | 0.23%             | 2049-11-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-5                                                | CUSIP: 46591FBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3601237 | PA      | $1868978.03   | 0.54%             | 2049-11-25      | Variable      | 4.33%                 | No            |                  3 | On Loan: No      |
| Chase Mortgage Finance Corpora | JPMorgan Chase Bank NA - CHASE                                                 | CUSIP: 46591HAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318066 | PA      | $308169.80    | 0.09%             | 2057-10-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management  | JPMorgan Chase Bank NA - JPMWM                                                 | CUSIP: 46591HBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1036681 | PA      | $866669.04    | 0.25%             | 2051-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management  | JPMorgan Chase Bank NA - JPMWM                                                 | CUSIP: 46591HBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705612 | PA      | $611724.59    | 0.18%             | 2051-03-25      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-2                                                | CUSIP: 46591TBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2226107 | PA      | $1608537.86   | 0.47%             | 2050-07-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-2                                                | CUSIP: 46591TCE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3632673 | PA      | $2385892.63   | 0.69%             | 2050-07-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-3                                                | CUSIP: 46592KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62471291 | PA      | $1633889.75   | 0.47%             | 2051-07-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2014-IVR6                                             | CUSIP: 46643QAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500500 | PA      | $415568.90    | 0.12%             | 2044-07-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2017-1                                                | CUSIP: 46648CBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1766160 | PA      | $1404715.02   | 0.41%             | 2047-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-HYB1                                             | CUSIP: 46651FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4979610 | PA      | $4437797.43   | 1.29%             | 2049-10-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-6                                                | CUSIP: 46653PBS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  78146084 | PA      | $768234.61    | 0.22%             | 2051-10-25      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Lt | LSTAR Securities Investment Ltd 2019-3                                         | CUSIP: 50220XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250159 | PA      | $3273957.66   | 0.95%             | 2024-04-01      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance  | Lehman Brothers Small Balance Commercial Mortgage Trust 2006-3                 | CUSIP: 52521BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2705322 | PA      | $2592196.87   | 0.75%             | 2036-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance  | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1                 | CUSIP: 52521GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5881000 | PA      | $5586910.01   | 1.62%             | 2037-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2008-4                                                   | CUSIP: 52524UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22389308 | PA      | $6979968.57   | 2.02%             | 2037-01-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Lt | LSTAR Securities Investment Ltd 2019-4                                         | CUSIP: 54912JAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10441908 | PA      | $10516643.76  | 3.05%             | 2024-05-01      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Lt | LSTAR Securities Investment Ltd 2020-1                                         | CUSIP: 54912MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    926614 | PA      | $839102.38    | 0.24%             | 2026-02-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Lt | LSTAR Securities Investment Ltd 2021-2                                         | CUSIP: 54912PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9730449 | PA      | $9800028.52   | 2.84%             | 2026-03-02      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2005-AR1                         | CUSIP: 59020UG33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2285675 | PA      | $1925274.62   | 0.56%             | 2036-06-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust       | Mill City Mortgage Loan Trust 2019-1                                           | CUSIP: 59981AAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2245863 | PA      | $1755532.33   | 0.51%             | 2069-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2021-5                          | CUSIP: 61772NBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  37254224 | PA      | $504515.33    | 0.15%             | 2051-08-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue | Multifamily Connecticut Avenue Securities Trust 2019-01                        | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   5099477 | PA      | $4721613.51   | 1.37%             | 2049-10-25      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue | Multifamily Connecticut Avenue Securities Trust 2019-01                        | CUSIP: 62547NAC3<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |   2384000 | PA      | $2114928.65   | 0.61%             | 2049-10-25      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE | Multifamily Connecticut Avenue Securities Trust 2020-01                        | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $917408.20    | 0.27%             | 2050-03-25      | Floating      | 7.79%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                     | NLT 2021-INV2 Trust                                                            | CUSIP: 62917JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $2589868.80   | 0.75%             | 2056-08-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                     | NMLT 2021-INV1 Trust                                                           | CUSIP: 62923JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7326000 | PA      | $4615281.83   | 1.34%             | 2056-05-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2021-NQM2R                                 | CUSIP: 64831EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2034000 | PA      | $1677818.12   | 0.49%             | 2058-10-25      | Variable      | 3.01%                 | No            |                  3 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2021-NQM2R                                 | CUSIP: 64831EAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1813000 | PA      | $1428718.33   | 0.41%             | 2058-10-25      | Variable      | 3.96%                 | No            |                  3 | On Loan: No      |
| AMSR Trust                     | AMSR 2020-SFR4 Trust                                                           | CUSIP: 66981FAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $665297.78    | 0.19%             | 2037-11-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                 | Oaktown Re VI Ltd                                                              | CUSIP: 67401FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1226000 | PA      | $1108991.17   | 0.32%             | 2033-10-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | PRET 2021-NPL6 LLC                                                             | CUSIP: 69362GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2503000 | PA      | $2207696.06   | 0.64%             | 2051-07-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2020-SFR3 Trust                                           | CUSIP: 74333AAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $926143.00    | 0.27%             | 2027-10-17      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                     | CUSIP: 74922EAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2832407 | PA      | $2238010.65   | 0.65%             | 2036-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                     | CUSIP: 74922EAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2315143 | PA      | $1841359.12   | 0.53%             | 2036-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS6 Trust                                                     | CUSIP: 74922EAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5241331 | PA      | $114125.26    | 0.03%             | 2036-06-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS18 Trust                                                    | CUSIP: 74922RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2718634 | PA      | $2162352.34   | 0.63%             | 2036-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro | RAMP Series 2007-RS1 Trust                                                     | CUSIP: 74923RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9723687 | PA      | $2915906.06   | 0.85%             | 2037-02-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro | RAMP Series 2007-RS1 Trust                                                     | CUSIP: 74923RAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10547597 | PA      | $2801870.00   | 0.81%             | 2037-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2008-QR1 Trust                                                     | CUSIP: 74925FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1548223 | PA      | $1109417.48   | 0.32%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                  | Radnor RE 2021-2 Ltd                                                           | CUSIP: 75049GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1234000 | PA      | $1153936.85   | 0.33%             | 2031-11-25      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| RAAC Series                    | RAAC Series 2004-SP1 Trust                                                     | CUSIP: 7609855T4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2064 | PA      | $1994.64      | 0.00%             | 2034-03-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Residential Funding Securities | RFSC Trust                                                                     | CUSIP: 760985JD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498345 | PA      | $486392.59    | 0.14%             | 2033-03-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS13 Trust                                                    | CUSIP: 761118HA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3016480 | PA      | $2377007.61   | 0.69%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Starvest Emerging Markets CBO  | STAR 2021-SFR2 Trust                                                           | CUSIP: 78474LAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2697002.56   | 0.78%             | 2024-01-17      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Starvest Emerging Markets CBO  | STAR 2021-SFR2 Trust                                                           | CUSIP: 78474LAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2421000 | PA      | $2320062.22   | 0.67%             | 2024-01-17      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Star Trust                     | STAR 2021-SFR1 Trust                                                           | CUSIP: 85521DAQ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $937400.00    | 0.27%             | 2038-04-17      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2020-INV                                   | CUSIP: 85573EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2084218.40   | 0.60%             | 2055-11-25      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2020-INV                                   | CUSIP: 85573EAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $792106.50    | 0.23%             | 2055-11-25      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 863579B49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27286 | PA      | $24149.22     | 0.01%             | 2035-11-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.          | TRK 2021-INV2 Trust                                                            | CUSIP: 87267TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $2613848.80   | 0.76%             | 2056-11-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust          | Terwin Mortgage Trust                                                          | CUSIP: 881561ES9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21259 | PA      | $15990.52     | 0.00%             | 2034-03-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2018-3                                               | CUSIP: 89175MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1223496.40   | 0.35%             | 2058-05-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2018-6                                               | CUSIP: 89176LAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $1975009.58   | 0.57%             | 2058-03-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2019-1                                               | CUSIP: 89177BAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $2722655.20   | 0.79%             | 2058-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2019-HY1                                             | CUSIP: 89177EAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11739000 | PA      | $10881381.53  | 3.15%             | 2048-10-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2019-HY1                                             | CUSIP: 89177EAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6170000 | PA      | $4556840.54   | 1.32%             | 2048-10-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2019-HY1                                             | CUSIP: 89177EAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6170000 | PA      | $4253066.76   | 1.23%             | 2048-10-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2019-HY2                                             | CUSIP: 89177HAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8639000 | PA      | $7387853.37   | 2.14%             | 2058-05-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2019-HY2                                             | CUSIP: 89177HAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2294000 | PA      | $1732484.54   | 0.50%             | 2058-05-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2019-HY2                                             | CUSIP: 89177HAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1836000 | PA      | $1316751.66   | 0.38%             | 2058-05-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2019-HY3                                             | CUSIP: 89177XAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5514000 | PA      | $4842845.29   | 1.40%             | 2059-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust      | Towd Point Mortgage Trust 2019-HY3                                             | CUSIP: 89177XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4130000 | PA      | $3526221.67   | 1.02%             | 2059-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| AFC Home Equity Loan Trust     | AFC Home Equity Loan Trust                                                     | CUSIP: 00105HDA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53334 | PA      | $52087.70     | 0.02%             | 2027-09-27      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2021-SFR3 Trust                                                           | CUSIP: 00180UAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1466244.50   | 0.43%             | 2038-10-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA9                                                | CUSIP: 02146YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23980 | PA      | $18660.71     | 0.01%             | 2046-07-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H | Asset Backed Securities Corp Home Equity Loan Trust 1999-LB1                   | CUSIP: 04541GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359644 | PA      | $355608.43    | 0.10%             | 2029-06-21      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| ABSC Long Beach Home Equity Lo | Asset Backed Securities Corp Long Beach Home Equity Loan Trust 2000-LB1        | CUSIP: 04541GAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508920 | PA      | $471818.77    | 0.14%             | 2030-09-21      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-D Trust                                           | CUSIP: 058933AP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6669 | PA      | $5728.05      | 0.00%             | 2036-05-20      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding Corp                                                   | CUSIP: 05953AAD5<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |   1315727 | PA      | $781001.20    | 0.23%             | 2037-07-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust | Bayview Commercial Asset Trust 2006-3                                          | CUSIP: 07324NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819152 | PA      | $761833.75    | 0.22%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust | Bayview Commercial Asset Trust 2004-3                                          | CUSIP: 07324SBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33415 | PA      | $33500.32     | 0.01%             | 2035-01-25      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust | Bayview Commercial Asset Trust 2006-2                                          | CUSIP: 07324YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648174 | PA      | $587908.55    | 0.17%             | 2036-07-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust | Bayview Commercial Asset Trust 2006-2                                          | CUSIP: 07324YAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    936959 | PA      | $863662.62    | 0.25%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust | Bayview Commercial Asset Trust 2007-2                                          | CUSIP: 07325XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1305632 | PA      | $1146795.89   | 0.33%             | 2037-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-IM1                          | CUSIP: 07387UFW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4924148 | PA      | $6833344.67   | 1.98%             | 2036-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-IM1                          | CUSIP: 07387UFZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2924277 | PA      | $3926524.48   | 1.14%             | 2036-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT               | Bellemeade Re Ltd                                                              | CUSIP: 07876AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2281000 | PA      | $1837773.87   | 0.53%             | 2031-06-25      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A7                             | CUSIP: 12566XAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154886 | PA      | $123347.88    | 0.04%             | 2037-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2020-AFC1 Trust                                                           | CUSIP: 12597MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4228000 | PA      | $3504523.67   | 1.02%             | 2050-02-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2020-AFC1 Trust                                                           | CUSIP: 12597MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5459650 | PA      | $4548422.40   | 1.32%             | 2050-02-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-15                                                 | CUSIP: 12667FPY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296152 | PA      | $264485.94    | 0.08%             | 2034-09-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-OA3                                                | CUSIP: 12668BB44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7801 | PA      | $6834.77      | 0.00%             | 2036-05-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-4CB                                                | CUSIP: 12668BPX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3608 | PA      | $2885.36      | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | Reperforming Loan REMIC Trust 2005-R1                                          | CUSIP: 12669GWN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1601648 | PA      | $1516672.97   | 0.44%             | 2035-03-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | Reperforming Loan REMIC Trust 2006-R1                                          | CUSIP: 12669UCN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2069027 | PA      | $1966229.90   | 0.57%             | 2036-01-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2019-ATR2                                    | CUSIP: 16159GBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1870117 | PA      | $1221649.47   | 0.35%             | 2049-07-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

**Name of Applicant:** Advisors Series Trust

**Signature:** /s/ Cheryl L. King

**Name of Signer:** Advisors Series Trust

**Title:** Vice President, Treasurer