Brown Advisory Mortgage Securities Fund
|
||||||||||||
Schedule of Investments
|
||||||||||||
March 31, 2023 (Unaudited)
|
||||||||||||
Par Value
|
Security Description
|
Rate
|
Maturity
|
Value $
|
||||||||
Mortgage Backed Securities - 92.2%
|
||||||||||||
2,360,765
|
Angel Oak Mortgage Trust, Series 2022-1 A1^+
|
2.88
|
%
|
12/25/2066
|
2,081,711
|
|||||||
3,063,994
|
Bayview MSR Opportunity Master Fund Trust INV2, Series 2022-2 A1#^
|
3.00
|
%
|
12/25/2051
|
2,601,797
|
|||||||
4,378,426
|
Bayview MSR Opportunity Master Fund Trust INV5, Series 2021-5 A2#^
|
2.50
|
%
|
11/25/2051
|
3,564,282
|
|||||||
4,568,356
|
Bayview MSR Opportunity Master Fund Trust INV6, Series 2021-6 A1#^
|
3.00
|
%
|
10/25/2051
|
3,879,230
|
|||||||
986,000
|
DBGS Mortgage Trust, Series 2018-C1 7EA^
|
4.64
|
%
|
10/17/2051
|
944,233
|
|||||||
36,157
|
FHLMC PC, Pool# N3-0530
|
5.50
|
%
|
01/01/2029
|
36,600
|
|||||||
49,327
|
FHLMC PC, Pool# C5-3878
|
5.50
|
%
|
12/01/2030
|
50,405
|
|||||||
109,322
|
FHLMC PC, Pool# C9-1366
|
4.50
|
%
|
04/01/2031
|
109,485
|
|||||||
50,170
|
FHLMC PC, Pool# C6-6421
|
6.50
|
%
|
02/01/2032
|
52,160
|
|||||||
160,910
|
FHLMC PC, Pool# N7-0078
|
5.50
|
%
|
01/01/2033
|
160,367
|
|||||||
40,686
|
FHLMC PC, Pool# A1-4256
|
5.50
|
%
|
10/01/2033
|
41,424
|
|||||||
125,760
|
FHLMC PC, Pool# G3-0932
|
4.50
|
%
|
03/01/2034
|
125,946
|
|||||||
395,574
|
FHLMC PC, Pool# C9-1826
|
3.00
|
%
|
05/01/2035
|
372,558
|
|||||||
19,332
|
FHLMC PC, Pool# 1J-0204 (12 Month LIBOR USD + 1.75%)
|
3.12
|
%
|
05/01/2035
|
18,942
|
|||||||
120,678
|
FHLMC PC, Pool# N7-0071
|
6.00
|
%
|
06/01/2035
|
121,587
|
|||||||
36,404
|
FHLMC PC, Pool# A4-6629
|
5.00
|
%
|
08/01/2035
|
37,165
|
|||||||
237,121
|
FHLMC PC, Pool# K9-3365
|
3.50
|
%
|
11/01/2035
|
229,642
|
|||||||
231,893
|
FHLMC PC, Pool# K9-3349
|
4.00
|
%
|
11/01/2035
|
226,848
|
|||||||
16,923
|
FHLMC PC, Pool# 1L-1263 (1 Year CMT Rate + 2.25%)
|
2.86
|
%
|
03/01/2036
|
17,280
|
|||||||
15,584
|
FHLMC PC, Pool# 1H-1348 (1 Year CMT Rate + 2.14%)
|
4.09
|
%
|
10/01/2036
|
15,926
|
|||||||
117,374
|
FHLMC PC, Pool# G2-0028
|
7.50
|
%
|
12/01/2036
|
121,440
|
|||||||
66,700
|
FHLMC PC, Pool# B3-1891
|
5.38
|
%
|
01/01/2037
|
67,904
|
|||||||
4,359
|
FHLMC PC, Pool# 84-7727 (12 Month LIBOR USD + 1.74%)
|
3.49
|
%
|
02/01/2037
|
4,285
|
|||||||
84,210
|
FHLMC PC, Pool# B3-1900
|
5.38
|
%
|
02/01/2037
|
85,782
|
|||||||
41,715
|
FHLMC PC, Pool# B3-1934
|
5.38
|
%
|
04/01/2037
|
42,493
|
|||||||
84,660
|
FHLMC PC, Pool# B3-1976
|
5.10
|
%
|
05/01/2037
|
85,532
|
|||||||
22,056
|
FHLMC PC, Pool# 1J-1681 (12 Month LIBOR USD + 1.98%)
|
3.73
|
%
|
06/01/2037
|
21,999
|
|||||||
49,083
|
FHLMC PC, Pool# U3-0653
|
5.13
|
%
|
07/01/2037
|
50,021
|
|||||||
201,680
|
FHLMC PC, Pool# U3-0681
|
5.10
|
%
|
09/01/2037
|
204,989
|
|||||||
62,242
|
FHLMC PC, Pool# U3-0606
|
5.10
|
%
|
09/01/2037
|
62,877
|
|||||||
44,253
|
FHLMC PC, Pool# 1G-2249 (12 Month LIBOR USD + 1.78%)
|
4.03
|
%
|
10/01/2037
|
43,374
|
|||||||
124,821
|
FHLMC PC, Pool# T3-0346
|
5.38
|
%
|
10/01/2037
|
127,448
|
|||||||
638,186
|
FHLMC PC, Pool# G3-1063
|
3.50
|
%
|
11/01/2037
|
616,467
|
|||||||
75,221
|
FHLMC PC, Pool# U3-0800
|
5.10
|
%
|
11/01/2037
|
75,997
|
|||||||
3,197,390
|
FHLMC PC, Pool# WA-3311
|
2.21
|
%
|
04/01/2038
|
2,407,834
|
|||||||
131,175
|
FHLMC PC, Pool# U3-1874
|
5.38
|
%
|
04/01/2038
|
133,848
|
|||||||
290,435
|
FHLMC PC, Pool# N7-0082
|
6.00
|
%
|
07/01/2038
|
293,678
|
|||||||
128,034
|
FHLMC PC, Pool# G0-4540
|
6.00
|
%
|
08/01/2038
|
135,466
|
|||||||
113,207
|
FHLMC PC, Pool# G0-4655
|
6.00
|
%
|
08/01/2038
|
119,831
|
|||||||
91,932
|
FHLMC PC, Pool# U3-2470
|
5.10
|
%
|
11/01/2038
|
92,879
|
|||||||
63,593
|
FHLMC PC, Pool# G0-8348
|
5.00
|
%
|
06/01/2039
|
65,081
|
|||||||
280,844
|
FHLMC PC, Pool# C0-3427
|
5.50
|
%
|
10/01/2039
|
292,153
|
|||||||
154,082
|
FHLMC PC, Pool# G0-8828
|
5.50
|
%
|
04/01/2048
|
156,016
|
|||||||
1,401,625
|
FHLMC PC, Pool# QC-5310
|
3.00
|
%
|
08/01/2051
|
1,260,327
|
|||||||
3,797,407
|
FHLMC PC, Pool# QD-5779
|
3.00
|
%
|
01/01/2052
|
3,412,013
|
|||||||
3,244,458
|
FHLMC PC, Pool# SD-0846
|
2.50
|
%
|
02/01/2052
|
2,819,156
|
|||||||
5,339,682
|
FHLMC PC, Pool# SD-8196
|
3.50
|
%
|
02/01/2052
|
4,970,298
|
|||||||
3,942,992
|
FHLMC PC, Pool# RA-6966
|
2.00
|
%
|
03/01/2052
|
3,273,621
|
|||||||
1,869,768
|
FHLMC PC, Pool# QD-7450
|
3.00
|
%
|
03/01/2052
|
1,684,809
|
|||||||
4,204,088
|
FHLMC PC, Pool# QD-7999
|
4.00
|
%
|
03/01/2052
|
4,026,480
|
|||||||
591,068
|
FHLMC PC, Pool# QE-0622
|
2.00
|
%
|
04/01/2052
|
493,905
|
|||||||
983,611
|
FHLMC PC, Pool# QE-0380
|
2.50
|
%
|
04/01/2052
|
854,058
|
|||||||
3,203,019
|
FHLMC PC, Pool# QD-9382
|
4.00
|
%
|
04/01/2052
|
3,067,702
|
|||||||
2,847,869
|
FHLMC PC, Pool# QD-9775
|
4.00
|
%
|
04/01/2052
|
2,727,102
|
|||||||
2,861,091
|
FHLMC PC, Pool# QE-0898
|
4.50
|
%
|
04/01/2052
|
2,805,769
|
|||||||
3,823,824
|
FHLMC PC, Pool# RA-7374
|
3.00
|
%
|
05/01/2052
|
3,438,023
|
|||||||
3,162,509
|
FHLMC PC, Pool# QE-2358
|
3.50
|
%
|
05/01/2052
|
2,943,402
|
|||||||
3,223,484
|
FHLMC PC, Pool# QE-3174
|
3.50
|
%
|
06/01/2052
|
2,999,468
|
|||||||
2,956,355
|
FHLMC PC, Pool# QF-0493
|
5.50
|
%
|
09/01/2052
|
3,025,419
|
|||||||
3,316,843
|
FHLMC PC, Pool# QF-0773
|
5.50
|
%
|
09/01/2052
|
3,368,427
|
|||||||
3,553,032
|
FHLMC PC, Pool# SD-1846
|
4.50
|
%
|
10/01/2052
|
3,492,316
|
|||||||
3,234
|
FHLMC REMIC, Series 1843 Z
|
7.00
|
%
|
04/15/2026
|
3,237
|
|||||||
44,311
|
FHLMC REMIC, Series 2517 Z
|
5.50
|
%
|
10/15/2032
|
43,391
|
|||||||
595,797
|
FHLMC REMIC, Series 2907 VZ
|
4.50
|
%
|
05/15/2034
|
584,759
|
|||||||
175,851
|
FHLMC REMIC, Series 2890 ZA
|
5.00
|
%
|
11/15/2034
|
178,653
|
|||||||
311,264
|
FHLMC REMIC, Series 3150 DZ
|
5.50
|
%
|
05/15/2036
|
320,356
|
|||||||
210,315
|
FHLMC REMIC, Series 3294 CB
|
5.50
|
%
|
03/15/2037
|
219,200
|
|||||||
247,795
|
FHLMC REMIC, Series 3830 NB
|
4.50
|
%
|
02/15/2039
|
246,481
|
|||||||
762,219
|
FHLMC REMIC, Series 4121 DH
|
2.00
|
%
|
10/15/2042
|
579,300
|
|||||||
437,838
|
FHLMC REMIC, Series 4872 AB
|
4.00
|
%
|
08/15/2047
|
430,916
|
|||||||
135,132
|
FHLMC REMIC, Series 4891 PA
|
3.50
|
%
|
07/15/2048
|
131,005
|
|||||||
705,402
|
FHLMC REMIC, Series 4888 AC
|
3.50
|
%
|
01/15/2049
|
653,988
|
|||||||
2,200,610
|
FHLMC REMIC, Series 5080 PB
|
1.25
|
%
|
03/25/2050
|
1,733,287
|
|||||||
2,763,333
|
FHLMC REMIC, Series 5083 UB
|
1.25
|
%
|
03/25/2051
|
2,181,788
|
|||||||
349,066
|
FHLMC SCRTT, Series 2017-1 M1#^
|
4.00
|
%
|
01/25/2056
|
344,308
|
|||||||
11,145,778
|
FHMS, Series K-035 X1#~
|
0.32
|
%
|
08/25/2023
|
9,602
|
|||||||
62,822,038
|
FHMS, Series K-C02 X1#~
|
0.38
|
%
|
03/25/2024
|
191,519
|
|||||||
19,179,907
|
FHMS, Series K-038 X1#~
|
1.08
|
%
|
03/25/2024
|
135,869
|
|||||||
40,913,085
|
FHMS, Series K-040 X1#~
|
0.69
|
%
|
09/25/2024
|
320,681
|
|||||||
16,934,656
|
FHMS, Series K-C03 X1#~
|
0.48
|
%
|
11/25/2024
|
145,508
|
|||||||
125,452,751
|
FHMS, Series K-047 X1#~
|
0.10
|
%
|
05/25/2025
|
314,209
|
|||||||
7,553,934
|
FHMS, Series Q-013 XPT1#~
|
1.66
|
%
|
05/25/2025
|
168,341
|
|||||||
14,119,167
|
FHMS, Series K-053 X1#~
|
0.88
|
%
|
12/25/2025
|
282,745
|
|||||||
8,823,716
|
FHMS, Series K-055 X1#~
|
1.34
|
%
|
03/25/2026
|
304,757
|
|||||||
5,777,294
|
FHMS, Series K-058 X1#~
|
0.91
|
%
|
08/25/2026
|
147,272
|
|||||||
6,202,722
|
FHMS, Series K-059 X1#~
|
0.30
|
%
|
09/25/2026
|
52,518
|
|||||||
26,354,687
|
FHMS, Series K-737 X1#~
|
0.64
|
%
|
10/25/2026
|
463,750
|
|||||||
53,034,168
|
FHMS, Series K-063 X1#~
|
0.28
|
%
|
01/25/2027
|
470,578
|
|||||||
20,791,162
|
FHMS, Series K-064 X1#~
|
0.60
|
%
|
03/25/2027
|
418,959
|
|||||||
5,580,518
|
FHMS, Series Q-013 XPT#~
|
1.81
|
%
|
05/25/2027
|
154,629
|
|||||||
5,250,330
|
FHMS, Series K-W03 X1#~
|
0.83
|
%
|
06/25/2027
|
124,942
|
|||||||
12,138,350
|
FHMS, Series K-068 X1#~
|
0.42
|
%
|
08/25/2027
|
194,607
|
|||||||
28,603,277
|
FHMS, Series K-069 X1#~
|
0.35
|
%
|
09/25/2027
|
397,869
|
|||||||
31,003,334
|
FHMS, Series K-072 X1#~
|
0.37
|
%
|
12/25/2027
|
457,606
|
|||||||
591,772
|
FHMS, Series Q-006 APT2#
|
2.76
|
%
|
10/25/2028
|
565,272
|
|||||||
24,714,448
|
FHMS, Series K-087 X1#~
|
0.36
|
%
|
12/25/2028
|
450,616
|
|||||||
17,891,441
|
FHMS, Series K-091 X1#~
|
0.56
|
%
|
03/25/2029
|
509,094
|
|||||||
12,603,056
|
FHMS, Series K-092 X1#~
|
0.71
|
%
|
04/25/2029
|
450,916
|
|||||||
6,243,479
|
FHMS, Series K-093 X1#~
|
0.95
|
%
|
05/25/2029
|
290,712
|
|||||||
10,928,891
|
FHMS, Series K-094 X1#~
|
0.88
|
%
|
06/25/2029
|
487,632
|
|||||||
14,453,547
|
FHMS, Series K-103 X1#~
|
0.64
|
%
|
11/25/2029
|
503,550
|
|||||||
65,391,385
|
FHMS, Series K-139 X1#~
|
0.09
|
%
|
01/25/2032
|
529,304
|
|||||||
364,311
|
FHMS, Series Q-004 A2H#
|
3.69
|
%
|
01/25/2046
|
362,054
|
|||||||
144,696
|
FHMS, Series Q-010 APT1#
|
4.34
|
%
|
04/25/2046
|
144,054
|
|||||||
832,144
|
FHMS, Series Q-004 A4H#
|
3.69
|
%
|
08/25/2046
|
827,669
|
|||||||
708,928
|
FHMS, Series Q-007 APT1#
|
4.73
|
%
|
10/25/2047
|
705,548
|
|||||||
809,149
|
FHS, Series 366 IO, Pool~
|
4.00
|
%
|
08/01/2049
|
142,384
|
|||||||
1,000,000
|
FNMA, Pool# AN9202
|
3.32
|
%
|
05/01/2025
|
971,970
|
|||||||
10,356
|
FNMA, Pool# 336422 (3 Year CMT Rate + 2.30%)
|
3.43
|
%
|
10/01/2025
|
10,263
|
|||||||
16,293
|
FNMA, Pool# 344903
|
5.50
|
%
|
10/01/2025
|
16,472
|
|||||||
37,494
|
FNMA, Pool# 356232
|
6.50
|
%
|
01/01/2026
|
38,713
|
|||||||
16,866
|
FNMA, Pool# 406521 (1 Year CMT Rate + 2.52%)
|
3.90
|
%
|
05/01/2026
|
16,426
|
|||||||
32,395
|
FNMA, Pool# 356329 (1 Year CMT Rate + 2.65%)
|
4.78
|
%
|
01/01/2027
|
31,750
|
|||||||
11,923
|
FNMA, Pool# 363850 (1 Year CMT Rate + 2.13%)
|
3.51
|
%
|
04/01/2027
|
11,749
|
|||||||
21,008
|
FNMA, Pool# 406380 (1 Year CMT Rate + 2.17%)
|
4.34
|
%
|
11/01/2027
|
20,725
|
|||||||
150,000
|
FNMA, Pool# AN8842
|
3.32
|
%
|
04/01/2028
|
143,491
|
|||||||
2,707,401
|
FNMA, Pool# BL0387
|
4.28
|
%
|
05/01/2028
|
2,700,944
|
|||||||
377,582
|
FNMA, Pool# 257203
|
5.00
|
%
|
05/01/2028
|
384,251
|
|||||||
773,466
|
FNMA, Pool# 958720
|
5.65
|
%
|
10/01/2028
|
827,327
|
|||||||
323,401
|
FNMA, Pool# 957502
|
3.98
|
%
|
07/01/2029
|
322,294
|
|||||||
28,521
|
FNMA, Pool# 520478 (1 Year CMT Rate + 2.10%)
|
4.22
|
%
|
11/01/2029
|
28,027
|
|||||||
63,790
|
FNMA, Pool# AL0898
|
5.00
|
%
|
02/01/2031
|
64,927
|
|||||||
1,214,081
|
FNMA, Pool# AI4717
|
4.50
|
%
|
07/01/2031
|
1,222,180
|
|||||||
28,520
|
FNMA, Pool# 656181 (1 Year CMT Rate + 2.16%)
|
4.35
|
%
|
08/01/2031
|
27,866
|
|||||||
2,150,000
|
FNMA, Pool# BL4313
|
2.31
|
%
|
09/01/2031
|
1,870,910
|
|||||||
29,821
|
FNMA, Pool# 723313 (1 Year CMT Rate + 2.54%)
|
4.54
|
%
|
09/01/2031
|
29,515
|
|||||||
8,266
|
FNMA, Pool# 642122 (1 Year CMT Rate + 2.27%)
|
3.40
|
%
|
03/01/2032
|
7,929
|
|||||||
794,066
|
FNMA, Pool# 470828
|
3.53
|
%
|
03/01/2032
|
764,732
|
|||||||
7,928
|
FNMA, Pool# 628837
|
6.50
|
%
|
03/01/2032
|
8,186
|
|||||||
12,965
|
FNMA, Pool# 640225 (1 Year CMT Rate + 2.27%)
|
3.40
|
%
|
04/01/2032
|
12,512
|
|||||||
32,612
|
FNMA, Pool# 662138 (1 Year CMT Rate + 2.30%)
|
4.30
|
%
|
09/01/2032
|
32,279
|
|||||||
26,065
|
FNMA, Pool# 668309 (1 Year CMT Rate + 2.02%)
|
4.02
|
%
|
11/01/2032
|
25,705
|
|||||||
24,856
|
FNMA, Pool# 696546 (6 Month LIBOR USD + 2.26%)
|
4.63
|
%
|
03/01/2033
|
24,181
|
|||||||
5,456
|
FNMA, Pool# 555819 (6 Month LIBOR USD + 1.03%)
|
3.28
|
%
|
07/01/2033
|
5,341
|
|||||||
27,098
|
FNMA, Pool# 744805 (6 Month LIBOR USD + 1.52%)
|
3.27
|
%
|
11/01/2033
|
26,439
|
|||||||
11,538
|
FNMA, Pool# 751498 (1 Year CMT Rate + 2.22%)
|
4.34
|
%
|
11/01/2033
|
11,318
|
|||||||
23,432
|
FNMA, Pool# 741373 (1 Year CMT Rate + 2.28%)
|
4.41
|
%
|
12/01/2033
|
23,086
|
|||||||
25,208
|
FNMA, Pool# 764342 (6 Month LIBOR USD + 1.52%)
|
3.90
|
%
|
02/01/2034
|
24,743
|
|||||||
25,428
|
FNMA, Pool# 774969 (1 Year CMT Rate + 2.28%)
|
3.28
|
%
|
04/01/2034
|
25,151
|
|||||||
101,905
|
FNMA, Pool# 783554 (1 Year CMT Rate + 2.21%)
|
4.21
|
%
|
07/01/2034
|
100,985
|
|||||||
2,861
|
FNMA, Pool# 819649 (12 Month LIBOR USD + 1.52%)
|
4.12
|
%
|
03/01/2035
|
2,808
|
|||||||
36,941
|
FNMA, Pool# 889829
|
5.00
|
%
|
07/01/2035
|
37,760
|
|||||||
30,069
|
FNMA, Pool# 830970 (12 Month LIBOR USD + 1.83%)
|
4.08
|
%
|
08/01/2035
|
29,603
|
|||||||
436,685
|
FNMA, Pool# AL7654
|
3.00
|
%
|
09/01/2035
|
411,153
|
|||||||
20,504
|
FNMA, Pool# 837329 (1 Year CMT Rate + 2.04%)
|
4.04
|
%
|
09/01/2035
|
20,297
|
|||||||
47,683
|
FNMA, Pool# 836715 (12 Month LIBOR USD + 1.77%)
|
4.02
|
%
|
10/01/2035
|
46,970
|
|||||||
110,302
|
FNMA, Pool# 842006
|
4.25
|
%
|
10/01/2035
|
109,787
|
|||||||
18,702
|
FNMA, Pool# 922680 (12 Month LIBOR USD + 1.91%)
|
3.85
|
%
|
11/01/2035
|
19,042
|
|||||||
232,353
|
FNMA, Pool# 850232
|
4.25
|
%
|
12/01/2035
|
231,514
|
|||||||
11,310
|
FNMA, Pool# 865849 (12 Month LIBOR USD + 1.54%)
|
3.94
|
%
|
03/01/2036
|
11,059
|
|||||||
212,096
|
FNMA, Pool# AB0577
|
4.00
|
%
|
03/01/2036
|
203,372
|
|||||||
9,953
|
FNMA, Pool# 877009 (12 Month LIBOR USD + 2.38%)
|
4.46
|
%
|
03/01/2036
|
9,988
|
|||||||
17,046
|
FNMA, Pool# 868568 (12 Month LIBOR USD + 1.74%)
|
4.07
|
%
|
04/01/2036
|
16,786
|
|||||||
34,450
|
FNMA, Pool# 882017 (6 Month LIBOR USD + 1.56%)
|
3.31
|
%
|
05/01/2036
|
33,590
|
|||||||
17,336
|
FNMA, Pool# 745626 (1 Year CMT Rate + 2.14%)
|
3.53
|
%
|
05/01/2036
|
17,095
|
|||||||
4,235
|
FNMA, Pool# 872895 (12 Month LIBOR USD + 1.88%)
|
4.13
|
%
|
06/01/2036
|
4,160
|
|||||||
15,666
|
FNMA, Pool# 886163 (12 Month LIBOR USD + 1.83%)
|
4.08
|
%
|
07/01/2036
|
15,452
|
|||||||
218,408
|
FNMA, Pool# 896838
|
5.45
|
%
|
07/01/2036
|
218,863
|
|||||||
71,969
|
FNMA, Pool# 745818
|
6.50
|
%
|
09/01/2036
|
74,922
|
|||||||
27,043
|
FNMA, Pool# 995521 (12 Month LIBOR USD + 1.82%)
|
3.32
|
%
|
05/01/2037
|
26,428
|
|||||||
26,519
|
FNMA, Pool# 941050 (12 Month LIBOR USD + 1.70%)
|
3.95
|
%
|
08/01/2037
|
26,064
|
|||||||
38,605
|
FNMA, Pool# 950382 (6 Month LIBOR USD + 1.10%)
|
5.40
|
%
|
08/01/2037
|
38,176
|
|||||||
30,739
|
FNMA, Pool# 952835 (1 Year CMT Rate + 2.32%)
|
4.35
|
%
|
09/01/2037
|
31,112
|
|||||||
1,448,674
|
FNMA, Pool# MA3208
|
4.50
|
%
|
10/01/2037
|
1,443,947
|
|||||||
68,452
|
FNMA, Pool# 955233
|
6.50
|
%
|
12/01/2037
|
71,818
|
|||||||
3,526
|
FNMA, Pool# 982237 (12 Month LIBOR USD + 1.84%)
|
3.59
|
%
|
05/01/2038
|
3,423
|
|||||||
213,362
|
FNMA, Pool# AD0100
|
7.00
|
%
|
12/01/2038
|
232,269
|
|||||||
84,534
|
FNMA, Pool# 930507
|
6.50
|
%
|
02/01/2039
|
88,056
|
|||||||
1,445,011
|
FNMA, Pool# AS2249
|
4.00
|
%
|
04/01/2039
|
1,415,577
|
|||||||
211,090
|
FNMA, Pool# AL0407
|
6.50
|
%
|
04/01/2039
|
219,054
|
|||||||
159,645
|
FNMA, Pool# AD0427
|
5.50
|
%
|
10/01/2039
|
165,896
|
|||||||
230,332
|
FNMA, Pool# AD0941
|
5.50
|
%
|
04/01/2040
|
240,272
|
|||||||
579,299
|
FNMA, Pool# 467095
|
5.90
|
%
|
01/01/2041
|
620,958
|
|||||||
278,899
|
FNMA, Pool# AH8447
|
5.50
|
%
|
04/01/2041
|
283,086
|
|||||||
899,547
|
FNMA, Pool# 469130
|
4.87
|
%
|
10/01/2041
|
880,131
|
|||||||
229,523
|
FNMA, Pool# BC1738
|
4.50
|
%
|
09/01/2043
|
229,107
|
|||||||
214,113
|
FNMA, Pool# AS1429
|
4.00
|
%
|
12/01/2043
|
210,467
|
|||||||
236,901
|
FNMA, Pool# AV7739
|
4.00
|
%
|
01/01/2044
|
235,053
|
|||||||
137,928
|
FNMA, Pool# AW6485
|
4.00
|
%
|
06/01/2044
|
136,041
|
|||||||
190,531
|
FNMA, Pool# AY0382
|
4.00
|
%
|
11/01/2044
|
185,331
|
|||||||
340,826
|
FNMA, Pool# AW9534
|
4.00
|
%
|
03/01/2045
|
338,167
|
|||||||
118,680
|
FNMA, Pool# AZ4154
|
4.00
|
%
|
06/01/2045
|
118,457
|
|||||||
948,469
|
FNMA, Pool# AZ7828
|
4.00
|
%
|
08/01/2045
|
925,602
|
|||||||
513,978
|
FNMA, Pool# BA3674
|
4.50
|
%
|
10/01/2045
|
514,683
|
|||||||
318,814
|
FNMA, Pool# BC6366
|
4.50
|
%
|
02/01/2046
|
317,823
|
|||||||
193,153
|
FNMA, Pool# BD1241
|
4.50
|
%
|
05/01/2046
|
192,164
|
|||||||
698,385
|
FNMA, Pool# BD5189
|
4.50
|
%
|
07/01/2046
|
698,372
|
|||||||
168,786
|
FNMA, Pool# BD8599
|
4.50
|
%
|
11/01/2046
|
168,481
|
|||||||
293,239
|
FNMA, Pool# BH7686
|
4.50
|
%
|
12/01/2047
|
291,256
|
|||||||
511,863
|
FNMA, Pool# BJ8287
|
4.50
|
%
|
01/01/2048
|
508,529
|
|||||||
351,763
|
FNMA, Pool# BK5105
|
5.50
|
%
|
05/01/2048
|
359,108
|
|||||||
379,707
|
FNMA, Pool# BK8032
|
5.50
|
%
|
06/01/2048
|
389,149
|
|||||||
1,000,000
|
FNMA, Pool# AN9931
|
4.24
|
%
|
08/01/2048
|
900,118
|
|||||||
183,113
|
FNMA, Pool# BN4936
|
5.50
|
%
|
12/01/2048
|
185,511
|
|||||||
105,579
|
FNMA, Pool# BN4921
|
5.50
|
%
|
01/01/2049
|
106,912
|
|||||||
2,670,629
|
FNMA, Pool# BP5419
|
3.00
|
%
|
05/01/2050
|
2,440,420
|
|||||||
2,908,555
|
FNMA, Pool# BQ3248
|
2.00
|
%
|
11/01/2050
|
2,415,120
|
|||||||
1,440,658
|
FNMA, Pool# BQ6307
|
2.00
|
%
|
11/01/2050
|
1,196,359
|
|||||||
1,012,699
|
FNMA, Pool# MA4208
|
2.00
|
%
|
12/01/2050
|
841,267
|
|||||||
850,049
|
FNMA, Pool# BR5634
|
2.00
|
%
|
03/01/2051
|
706,571
|
|||||||
3,826,269
|
FNMA, Pool# FM8754
|
3.00
|
%
|
09/01/2051
|
3,465,602
|
|||||||
469,801
|
FNMA, Pool# FS1480
|
2.50
|
%
|
11/01/2051
|
407,671
|
|||||||
5,268,149
|
FNMA, Pool# FM9760
|
3.50
|
%
|
11/01/2051
|
4,908,159
|
|||||||
1,190,066
|
FNMA, Pool# MA4492
|
2.00
|
%
|
12/01/2051
|
986,908
|
|||||||
3,399,299
|
FNMA, Pool# FS0348
|
2.00
|
%
|
01/01/2052
|
2,826,619
|
|||||||
3,149,881
|
FNMA, Pool# CB2548
|
2.50
|
%
|
01/01/2052
|
2,727,806
|
|||||||
3,175,028
|
FNMA, Pool# CB2539
|
2.50
|
%
|
01/01/2052
|
2,758,446
|
|||||||
1,111,838
|
FNMA, Pool# FS0731
|
2.00
|
%
|
02/01/2052
|
928,181
|
|||||||
2,759,561
|
FNMA, Pool# CB2909
|
3.50
|
%
|
02/01/2052
|
2,568,438
|
|||||||
4,091,046
|
FNMA, Pool# CB3103
|
2.50
|
%
|
03/01/2052
|
3,569,665
|
|||||||
2,907,902
|
FNMA, Pool# FS0832
|
3.50
|
%
|
03/01/2052
|
2,707,182
|
|||||||
1,461,433
|
FNMA, Pool# FS0922
|
3.50
|
%
|
03/01/2052
|
1,360,874
|
|||||||
2,003,789
|
FNMA, Pool# MA4565
|
3.50
|
%
|
03/01/2052
|
1,863,925
|
|||||||
2,700,504
|
FNMA, Pool# BV4532
|
3.50
|
%
|
03/01/2052
|
2,513,402
|
|||||||
4,324,745
|
FNMA, Pool# FS0945
|
4.00
|
%
|
03/01/2052
|
4,143,369
|
|||||||
3,819,537
|
FNMA, Pool# FS1521
|
3.00
|
%
|
04/01/2052
|
3,460,466
|
|||||||
755,135
|
FNMA, Pool# BW0025
|
4.00
|
%
|
07/01/2052
|
725,604
|
|||||||
14,894
|
FNMA REMIC Trust, Series 1996-23 G
|
6.50
|
%
|
07/25/2026
|
14,900
|
|||||||
1,993,561
|
FNMA REMIC Trust, Series 2017-T1 A
|
2.90
|
%
|
06/25/2027
|
1,879,927
|
|||||||
643,196
|
FNMA REMIC Trust, Series 2012-139 HI~
|
2.50
|
%
|
12/25/2027
|
24,693
|
|||||||
48,674
|
FNMA REMIC Trust, Series 2013-15 QI~
|
3.00
|
%
|
03/25/2028
|
2,303
|
|||||||
70,265
|
FNMA REMIC Trust, Series 2013-115 AI~
|
3.00
|
%
|
04/25/2031
|
282
|
|||||||
5,554,021
|
FNMA REMIC Trust, Series 2020-M15 X1#~
|
1.47
|
%
|
09/25/2031
|
318,265
|
|||||||
23,844,450
|
FNMA REMIC Trust, Series 2019-M23 X3#~
|
0.32
|
%
|
10/27/2031
|
418,706
|
|||||||
102,887
|
FNMA REMIC Trust, Series 2001-80 Z
|
6.00
|
%
|
01/25/2032
|
103,770
|
|||||||
152,060
|
FNMA REMIC Trust, Series 2006-M2 A2A#
|
5.27
|
%
|
10/25/2032
|
152,145
|
|||||||
276,346
|
FNMA REMIC Trust, Series 2003-71 MB
|
5.50
|
%
|
08/25/2033
|
284,151
|
|||||||
1,215,853
|
FNMA REMIC Trust, Series 2014-8 IQ~
|
4.00
|
%
|
03/25/2034
|
146,183
|
|||||||
6,842,007
|
FNMA REMIC Trust, Series 2021-95 WI#~
|
0.00
|
%
|
05/25/2035
|
185,416
|
|||||||
1,689,096
|
FNMA REMIC Trust, Series 2005-73 EZ
|
5.50
|
%
|
08/25/2035
|
1,721,428
|
|||||||
619,137
|
FNMA REMIC Trust, Series 2005-110 GL
|
5.50
|
%
|
12/25/2035
|
641,040
|
|||||||
280,077
|
FNMA REMIC Trust, Series 2006-21 Z
|
5.50
|
%
|
04/25/2036
|
287,098
|
|||||||
852,372
|
FNMA REMIC Trust, Series 2006-112 QC
|
5.50
|
%
|
11/25/2036
|
880,093
|
|||||||
397,916
|
FNMA REMIC Trust, Series 2007-22 A
|
5.50
|
%
|
03/25/2037
|
411,769
|
|||||||
418,000
|
FNMA REMIC Trust, Series 2008-2 PH
|
5.50
|
%
|
02/25/2038
|
436,177
|
|||||||
593,212
|
FNMA REMIC Trust, Series 2009-20 DA (1 Month LIBOR USD + 7.40%)~
|
2.55
|
%
|
04/25/2039
|
68,346
|
|||||||
1,003,776
|
FNMA REMIC Trust, Series 2012-65 HJ
|
5.00
|
%
|
07/25/2040
|
1,023,184
|
|||||||
784,797
|
FNMA REMIC Trust, Series 2012-27 PI~
|
4.50
|
%
|
02/25/2042
|
71,477
|
|||||||
51,841
|
FNMA REMIC Trust, Series 2012-10 UF (1 Month LIBOR USD + 0.55%)
|
5.40
|
%
|
02/25/2042
|
51,147
|
|||||||
298,124
|
FNMA REMIC Trust, Series 2013-34 IG~
|
3.00
|
%
|
05/25/2042
|
34,882
|
|||||||
6,523
|
FNMA REMIC Trust, Series 2003-W10 3A5
|
4.30
|
%
|
06/25/2043
|
6,258
|
|||||||
1,814
|
FNMA REMIC Trust, Series 2003-W12 1A9
|
4.48
|
%
|
06/25/2043
|
1,782
|
|||||||
10,885
|
FNMA REMIC Trust, Series 2003-W12 1A8
|
4.55
|
%
|
06/25/2043
|
10,647
|
|||||||
6,197
|
FNMA REMIC Trust, Series 2003-W12 2A7
|
4.68
|
%
|
06/25/2043
|
6,039
|
|||||||
7,230
|
FNMA REMIC Trust, Series 2003-W12 2A6
|
5.00
|
%
|
06/25/2043
|
7,153
|
|||||||
346,656
|
FNMA REMIC Trust, Series 2015-40 LI~
|
4.50
|
%
|
03/25/2045
|
66,005
|
|||||||
195,741
|
FNMA REMIC Trust, Series 2018-86 JA
|
4.00
|
%
|
05/25/2047
|
190,492
|
|||||||
897,106
|
FNMA REMIC Trust, Series 2019-37 IM~
|
5.00
|
%
|
07/25/2049
|
126,170
|
|||||||
4,729,144
|
FNMA REMIC Trust, Series 2021-47 IO~
|
2.50
|
%
|
07/25/2051
|
648,860
|
|||||||
24,700,000
|
FNMA, 2.00%, Due TBA April
|
2.00
|
%
|
04/15/2053
|
20,422,168
|
|||||||
1,500,000
|
FNMA, 2.50%, Due TBA April
|
2.50
|
%
|
04/15/2053
|
1,292,988
|
|||||||
13,650,000
|
FNMA, 3.50%, Due TBA April
|
3.50
|
%
|
04/15/2053
|
12,684,369
|
|||||||
19,450,000
|
FNMA, 4.00%, Due TBA April
|
4.00
|
%
|
04/15/2053
|
18,603,695
|
|||||||
628,638
|
FREMF Mortgage Trust, Series 2020-KF74 B (1 Month LIBOR USD + 2.15%)^
|
6.82
|
%
|
01/25/2027
|
614,788
|
|||||||
860,113
|
FREMF Mortgage Trust, Series 2019-KF73 B (1 Month LIBOR USD + 2.45%)^
|
7.12
|
%
|
11/25/2029
|
835,287
|
|||||||
700,000
|
FREMF Mortgage Trust, Series 2017-K68 B#^
|
3.84
|
%
|
10/25/2049
|
660,984
|
|||||||
8,389
|
GNMA, Pool# 783374X
|
5.50
|
%
|
04/15/2024
|
8,382
|
|||||||
27,658
|
GNMA, Pool# 728160X
|
5.25
|
%
|
11/15/2024
|
27,617
|
|||||||
158,377
|
GNMA, Pool# 623145X
|
5.50
|
%
|
10/15/2028
|
161,724
|
|||||||
752,771
|
GNMA, Pool# 589694X
|
4.50
|
%
|
08/15/2029
|
750,878
|
|||||||
26,457
|
GNMA, Pool# 728157X
|
3.75
|
%
|
11/15/2029
|
25,960
|
|||||||
227,089
|
GNMA, Pool# 770225C
|
4.25
|
%
|
08/20/2031
|
229,679
|
|||||||
262,893
|
GNMA, Pool# 003160M
|
6.00
|
%
|
11/20/2031
|
276,010
|
|||||||
359,028
|
GNMA, Pool# 003489M
|
6.00
|
%
|
12/20/2033
|
380,267
|
|||||||
190,172
|
GNMA, Pool# 782173M
|
5.50
|
%
|
05/20/2035
|
199,043
|
|||||||
685,954
|
GNMA, Pool# MA7106M
|
2.00
|
%
|
01/20/2036
|
621,020
|
|||||||
675,059
|
GNMA, Pool# MA7164M
|
2.00
|
%
|
02/20/2036
|
611,173
|
|||||||
45,143
|
GNMA, Pool# 784315X
|
6.00
|
%
|
06/15/2036
|
46,776
|
|||||||
223,408
|
GNMA, Pool# 770226C
|
4.75
|
%
|
09/20/2036
|
225,293
|
|||||||
116,100
|
GNMA, Pool# 004194M
|
5.50
|
%
|
07/20/2038
|
121,327
|
|||||||
613,767
|
GNMA, Pool#AC0521C
|
5.50
|
%
|
05/20/2042
|
645,874
|
|||||||
877,334
|
GNMA, Pool# BM9287C
|
4.00
|
%
|
08/20/2049
|
849,704
|
|||||||
390,612
|
GNMA, Pool# MA7834M
|
6.00
|
%
|
01/20/2052
|
411,728
|
|||||||
1,888,097
|
GNMA, Pool# CJ2171C
|
4.00
|
%
|
05/20/2052
|
1,812,983
|
|||||||
3,613,555
|
GNMA, Pool# CM0214H (1 Year CMT Rate + 2.09%)
|
7.11
|
%
|
02/20/2072
|
3,825,534
|
|||||||
3,275,013
|
GNMA, Pool# CM0231H (1 Year CMT Rate + 2.11%)
|
7.12
|
%
|
02/20/2072
|
3,471,604
|
|||||||
241,020
|
GNMA REMIC Trust, Series 2013-168 IA~
|
2.50
|
%
|
11/16/2028
|
9,067
|
|||||||
365,129
|
GNMA REMIC Trust, Series 2004-93 PD
|
5.00
|
%
|
11/16/2034
|
362,494
|
|||||||
65,114
|
GNMA REMIC Trust, Series 2006-40 B
|
6.00
|
%
|
08/20/2036
|
66,472
|
|||||||
395,537
|
GNMA REMIC Trust, Series 2012-52 WA#
|
6.19
|
%
|
04/20/2038
|
412,534
|
|||||||
680,435
|
GNMA REMIC Trust, Series 2016-012 KI~
|
5.00
|
%
|
09/20/2038
|
95,874
|
|||||||
404,799
|
GNMA REMIC Trust, Series 2017-083 ID~
|
7.00
|
%
|
01/20/2039
|
53,529
|
|||||||
472,086
|
GNMA REMIC Trust, Series 2011-2 DP#
|
5.46
|
%
|
03/20/2039
|
480,254
|
|||||||
659,600
|
GNMA REMIC Trust, Series 2010-105 IB~
|
4.50
|
%
|
01/16/2040
|
63,617
|
|||||||
478,317
|
GNMA REMIC Trust, Series 2016-68 IC#~
|
6.00
|
%
|
01/20/2040
|
70,131
|
|||||||
682,000
|
GNMA REMIC Trust, Series 2011-156 PM
|
2.00
|
%
|
04/20/2040
|
559,917
|
|||||||
831,742
|
GNMA REMIC Trust, Series 2017-083 IK~
|
6.00
|
%
|
05/20/2040
|
157,502
|
|||||||
236,512
|
GNMA REMIC Trust, Series 2016-112 AW#
|
7.01
|
%
|
12/20/2040
|
251,831
|
|||||||
1,086,960
|
GNMA REMIC Trust, Series 2012-143 IC~
|
5.00
|
%
|
10/16/2041
|
174,913
|
|||||||
831,612
|
GNMA REMIC Trust, Series 2012-97 GB
|
2.00
|
%
|
08/16/2042
|
692,944
|
|||||||
564,391
|
GNMA REMIC Trust, Series 2013-86 IA~
|
5.00
|
%
|
06/20/2043
|
66,258
|
|||||||
814,972
|
GNMA REMIC Trust, Series 2017-103 IM~
|
5.00
|
%
|
06/20/2043
|
111,389
|
|||||||
361,148
|
GNMA REMIC Trust, Series 2014-06 IG~
|
4.50
|
%
|
01/16/2044
|
44,113
|
|||||||
945,778
|
GNMA REMIC Trust, Series 2011-127 C#
|
3.50
|
%
|
03/16/2047
|
900,893
|
|||||||
303,722
|
GNMA REMIC Trust, Series 2018-127 PB
|
3.00
|
%
|
09/20/2047
|
287,101
|
|||||||
3,533
|
GNMA REMIC Trust, Series 2018-166 AB
|
4.00
|
%
|
10/20/2047
|
3,510
|
|||||||
2,014,508
|
GNMA REMIC Trust, Series 2017-167 SE (1 Month LIBOR USD + 6.20%)~
|
1.44
|
%
|
11/20/2047
|
245,027
|
|||||||
106,430
|
GNMA REMIC Trust, Series 2018-166 BA
|
3.50
|
%
|
11/20/2047
|
104,868
|
|||||||
2,043,042
|
GNMA REMIC Trust, Series 2018-036 LI~
|
5.00
|
%
|
03/20/2048
|
284,302
|
|||||||
517,526
|
GNMA REMIC Trust, Series 2018-153 QA
|
3.50
|
%
|
11/20/2048
|
498,563
|
|||||||
579,422
|
GNMA REMIC Trust, Series 2019-162 KB
|
2.00
|
%
|
12/20/2049
|
404,208
|
|||||||
552,000
|
GNMA REMIC Trust, Series 2021-050 PL
|
1.25
|
%
|
03/20/2051
|
273,373
|
|||||||
1,840,302
|
GNMA REMIC Trust, Series 2021-125 UL
|
1.50
|
%
|
07/20/2051
|
1,430,954
|
|||||||
1,049,804
|
GNMA REMIC Trust, Series 2021-160 DK
|
2.00
|
%
|
09/20/2051
|
755,716
|
|||||||
1,791,418
|
GNMA REMIC Trust, Series 2021-177 KD
|
2.00
|
%
|
10/20/2051
|
1,449,246
|
|||||||
2,808,508
|
GNMA REMIC Trust, Series 2022-009 CD
|
2.00
|
%
|
01/20/2052
|
2,323,898
|
|||||||
1,105,474
|
GNMA REMIC Trust, Series 2014-135 I0#~
|
0.43
|
%
|
01/16/2056
|
21,311
|
|||||||
1,121,034
|
GNMA REMIC Trust, Series 2015-172 I0#~
|
0.61
|
%
|
03/16/2057
|
24,256
|
|||||||
2,167,443
|
GNMA REMIC Trust, Series 2016-40 I0#~
|
0.62
|
%
|
07/16/2057
|
50,561
|
|||||||
1,459,294
|
GNMA REMIC Trust, Series 2016-56 I0#~
|
1.00
|
%
|
11/16/2057
|
60,526
|
|||||||
2,151,880
|
GNMA REMIC Trust, Series 2016-98 I0#~
|
0.86
|
%
|
05/16/2058
|
86,094
|
|||||||
3,727,503
|
GS Mortgage-Backed Securities Trust, Series 2022-LTV1 A8#^
|
3.00
|
%
|
06/25/2052
|
3,308,662
|
|||||||
4,339,691
|
JP Morgan Mortgage Trust, Series 2021-INV4 A2#^
|
3.00
|
%
|
01/25/2052
|
3,685,058
|
|||||||
3,346,833
|
JP Morgan Mortgage Trust, Series 2022-LTV2 A3#^
|
3.50
|
%
|
09/25/2052
|
2,965,425
|
|||||||
6,001,961
|
Mello Mortgage Capital Acceptance, Series 2021-INV4 A3#^
|
2.50
|
%
|
12/26/2051
|
4,885,929
|
|||||||
3,383,183
|
Mello Mortgage Capital Acceptance, Series 2022-INV2 A2#^
|
3.50
|
%
|
04/25/2052
|
2,980,782
|
|||||||
3,187,160
|
RCKT Mortgage Trust, Series 2021-6 A1#^
|
2.50
|
%
|
12/25/2051
|
2,594,525
|
|||||||
2,999,151
|
RCKT Mortgage Trust, Series 2022-1 A5#^
|
2.50
|
%
|
01/25/2052
|
2,601,470
|
|||||||
3,142,990
|
RCKT Mortgage Trust, Series 2022-4 A1#^
|
4.00
|
%
|
06/25/2052
|
2,875,959
|
|||||||
264,856
|
SBA, Pool# 522053 (PRIME + 0.61%)
|
8.11
|
%
|
05/25/2026
|
265,886
|
|||||||
2,064,911
|
Sequoia Mortgage Trust, Series 2021-1 A1#^
|
2.50
|
%
|
03/25/2051
|
1,691,236
|
|||||||
Total Mortgage Backed Securities (Cost $297,825,531)
|
283,467,792
|
|||||||||||
Asset Backed Securities - 6.2%
|
||||||||||||
3,500,000
|
American Express Credit Account Master Trust, Series 2022-2 A
|
3.39
|
%
|
05/17/2027
|
3,420,397
|
|||||||
1,877,073
|
American Homes 4 Rent Trust, Series 2014-SFR2 A^
|
3.79
|
%
|
10/17/2036
|
1,830,967
|
|||||||
2,130,000
|
American Homes 4 Rent Trust, Series 2014-SFR2 B^
|
4.29
|
%
|
10/17/2036
|
2,092,114
|
|||||||
2,303,017
|
American Homes 4 Rent Trust, Series 2014-SFR3 A^
|
3.68
|
%
|
12/18/2036
|
2,253,833
|
|||||||
311,032
|
American Homes 4 Rent Trust, Series 2015-SFR1 A^
|
3.47
|
%
|
04/18/2052
|
300,313
|
|||||||
213,730
|
American Homes 4 Rent Trust, Series 2015-SFR2 A^
|
3.73
|
%
|
10/18/2052
|
208,745
|
|||||||
250,000
|
American Homes 4 Rent Trust, Series 2015-SFR2 C^
|
4.69
|
%
|
10/18/2052
|
244,927
|
|||||||
1,404,000
|
AmeriCredit Automobile Receivables Trust, Series 2021-1 D
|
1.21
|
%
|
12/18/2026
|
1,278,941
|
|||||||
1,505,000
|
CarMax Auto Owner Trust, Series 2021-2 C
|
1.34
|
%
|
02/16/2027
|
1,390,291
|
|||||||
665,860
|
Dext ABS LLC, Series 2021-1 A^
|
1.12
|
%
|
02/15/2028
|
640,586
|
|||||||
380,000
|
Dext ABS LLC, Series 2021-1 B^
|
1.76
|
%
|
02/15/2028
|
345,809
|
|||||||
669,838
|
FHF Trust, Series 2021-2A A^
|
0.83
|
%
|
12/15/2026
|
638,107
|
|||||||
375,306
|
FHF Trust, Series 2021-1A A^
|
1.27
|
%
|
03/15/2027
|
360,560
|
|||||||
939,687
|
JPMorgan Chase Bank NA - CACLN, Series 2021-3 B^
|
0.76
|
%
|
02/25/2029
|
891,802
|
|||||||
410,000
|
Oportun Funding XIV LLC, Series 2021-A A^
|
1.21
|
%
|
03/08/2028
|
388,284
|
|||||||
1,505,000
|
PFS Financing Corp., Series 2021-A A^
|
0.71
|
%
|
04/15/2026
|
1,433,539
|
|||||||
1,500,000
|
Verizon Master Trust, Series 2022-4 A+
|
3.40
|
%
|
11/20/2028
|
1,464,849
|
|||||||
Total Asset Backed Securities (Cost $19,969,820)
|
19,184,064
|
|||||||||||
U.S. Treasury Notes - 0.7%
|
||||||||||||
1,040,000
|
United States Treasury Note
|
3.88
|
%
|
12/31/2027
|
1,051,151
|
|||||||
1,000,000
|
United States Treasury Note
|
2.88
|
%
|
05/15/2032
|
951,875
|
|||||||
Total U.S. Treasury Notes (Cost $2,062,053)
|
2,003,026
|
|||||||||||
Municipal Bonds - 0.2%
|
||||||||||||
505,000
|
Colorado Health Facilities Authority
|
2.80
|
%
|
12/01/2026
|
475,749
|
|||||||
Total Municipal Bonds (Cost $505,000)
|
475,749
|
|||||||||||
Shares
|
||||||||||||
Short-Term Investments - 14.9%
|
||||||||||||
Money Market Funds - 14.9%
|
||||||||||||
45,782,037
|
First American Government Obligations Fund - Class Z, 4.61%*
|
45,782,037
|
||||||||||
Total Short-Term Investments (Cost $45,782,037)
|
45,782,037
|
|||||||||||
Total Investments - 114.2% (Cost $366,144,441)
|
350,912,668
|
|||||||||||
Liabilities in Excess of Other Assets - (14.2)%
|
(43,599,430
|
)
|
||||||||||
NET ASSETS - 100.0%
|
$
|
307,313,238
|
# Variable rate security. Rate disclosed is as of the date of this report.
|
||||||||
^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
|
||||||||
~ Interest only security
|
||||||||
*Annualized seven-day yield as of the date of this report.
|
||||||||
+ Step bond. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity.
Interest rate shown is the rate in effect as of the date of this report.
|
||||||||
Various inputs may be used to determine the value of the Fund's investments. These inputs are summarized in three broad levels. The
inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
|
||||||||
Level 1 - Quoted prices in active markets for identical securities.
|
||||||||
Level 2 - Evaluated price based on other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment spreads, credit
|
||||||||
Level 3 - Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
|
||||||||
As of the date of this report, the Fund's investments in money market funds, with a total market value of $45,782,037 was categorized
as Level 1, while the Fund's investments in mortgage backed securities, asset backed securities, U.S. Treasury Notes, and municipal bonds with a total market value of $305,130,631, were categorized as Level 2.
|
Futures Contracts - Long
|
|||||||||||||||||
The Brown Advisory Mortgage Securities Fund had the following open long futures contracts as of the date of this report:
|
|||||||||||||||||
Issue
|
Contracts
|
Expiration Date
|
Notional Amount
|
Notional Value
|
Unrealized
Appreciation (Depreciation)
|
||||||||||||
U.S. Treasury 5-Year Note Futures
|
95
|
06/30/2023
|
$
|
10,309,380
|
$
|
10,403,243
|
$
|
93,863
|
|||||||||
U.S. Treasury 10-Year Note Futures
|
63
|
06/21/2023
|
7,129,908
|
7,240,078
|
110,170
|
||||||||||||
U.S. 10-Year Ultra Futures
|
87
|
06/21/2023
|
10,340,801
|
10,539,234
|
198,433
|
||||||||||||
$
|
27,780,089
|
$
|
28,182,555
|
$
|
402,466
|
||||||||||||
Futures Contracts - Short
|
|||||||||||||||||
The Brown Advisory Mortgage Securities Fund had the following open short futures contracts as of the date of this report:
|
|||||||||||||||||
Issue
|
Contracts
|
Expiration Date
|
Notional Amount
|
Notional Value
|
Unrealized
Appreciation (Depreciation)
|
||||||||||||
U.S. Treasury 2-Year Note Futures
|
(74)
|
06/30/2023
|
$
|
(15,122,457)
|
$
|
(15,277,531)
|
$
|
(155,074)
|
|||||||||
U.S. Treasury Long Futures
|
(11)
|
06/21/2023
|
(1,385,582)
|
(1,442,719)
|
(57,137)
|
||||||||||||
U.S. Treasury Ultra Bond Futures
|
(6)
|
06/21/2023
|
(844,862)
|
(846,750)
|
(1,888)
|
||||||||||||
$
|
(17,352,901)
|
$
|
(17,567,000)
|
$
|
(214,099)
|
||||||||||||
There is no variation margin due to or from the Fund as of the date of this report. The Fund's investments in futures contracts were
valued using Level 1 inputs as of the date of this report.
|