# EDGAR Filing Document

**Accession Number:** 0001318342
**File Stem:** 0001193125-26-065732
**Filing Date:** 2026-2
**Character Count:** 89643
**Document Hash:** 237d6c5e576bbd868b32830597c392bc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-065732.hdr.sgml**: 20260224

**ACCESSION NUMBER**: 0001193125-26-065732

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260224

**DATE AS OF CHANGE**: 20260224

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Investment Managers Series Trust
- **CENTRAL INDEX KEY:** 0001318342

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21719
- **FILM NUMBER:** 26667999

**BUSINESS ADDRESS:**
- **STREET 1:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53212
- **BUSINESS PHONE:** 626-914-4141

**MAIL ADDRESS:**
- **STREET 1:** 235 WEST GALENA STREET
- **CITY:** MILWAUKEE
- **STATE:** WI
- **ZIP:** 53212

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Claymore Trust
- **DATE OF NAME CHANGE:** 20050603

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Claymore Equity Trust
- **DATE OF NAME CHANGE:** 20050218

## Series and Classes Contracts Data

### Bramshill Multi-Strategy Income Fund (Series ID: S000052270)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000164379 | Class A Shares             | BDKAX           |
| C000164380 | Class C Shares             | BDKCX           |
| C000164381 | Institutional Class Shares | BDKNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** INVESTMENT MANAGERS SERIES TRUST

- **b. Investment Company Act file number:** 811-21719

- **c. CIK number of Registrant:** 0001318342

- **d. LEI of Registrant:** 549300ESWU4ZNAH5Y054

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

  - **Street Address 1:** 235 WEST GALENA STREET

  - **City:** MILWAUKEE

  - **State:** WI

  - **Foreign country:** US

  - **Zip / Postal Code:** 532123948

  - **Telephone number:** 4142992000

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

- **a. Name of Series:** Bramshill Multi-Strategy Income Fund

- **b. EDGAR series identifier (if any):** S000052270

- **c. LEI of Series:** 549300MDF74LNKLKB529

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

- **a. Date of fiscal year-end:** 2025-12-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $277200024.93

**Total Liabilities:** $439799.17

**Net Assets:** $276760225.76

**Cash Not Reported:** $1494440.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** 0.000000000000 | **10-Year:** 25138.114934764566 | **30-Year:** 61111.478179761434

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

- **3-Month:** 0.000000000000 | **1-Year:** 0.000000000000 | **5-Year:** 2372.722654767072 | **10-Year:** 12415.552759183400 | **30-Year:** 48110.563242674529

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000164379 | 0.46%                | 1.09%                | -0.00%               |
| Class ID C000164380 | 0.24%                | 1.03%                | 0.09%                |
| Class ID C000164381 | 0.48%                | 1.11%                | 0.02%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $9541.38                 | $-545914.46                                |
| Month 2  | $82021.99                | $1216949.00                                |
| Month 3  | $68459.75                | $-998206.45                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Chase Auto Owner Trust         | Chase Auto Owner Trust 2025-2                                         | CUSIP: 16144MAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25000 | PA      | $4070407.50   | 1.47%             | 2033-02-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Auto Owner Trust         | Chase Auto Owner Trust 2025-1                                         | CUSIP: 16145NAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23000 | PA      | $4302900.56   | 1.55%             | 2032-11-26      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| USB Auto Owner Trust           | USB Auto Owner Trust 2025-1                                           | CUSIP: 90367VAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15000 | PA      | $4239681.02   | 1.53%             | 2032-12-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Resi Finance Limited Partnersh | RESI Finance LP 2003-CB1                                              | CUSIP: 74951PBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    530389 | PA      | $516645.28    | 0.19%             | 2035-06-10      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust      | RMF Buyout Issuance Trust 2021-HB1                                    | CUSIP: 74969TAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3345212.50   | 1.21%             | 2031-11-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2019-5                                         | CUSIP: 81743AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400652 | PA      | $1270733.11   | 0.46%             | 2049-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2019-5                                         | CUSIP: 81743ACE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1982724 | PA      | $1398201.15   | 0.51%             | 2049-12-25      | Variable      | 3.71%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2012-6                                         | CUSIP: 81744NAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    498714 | PA      | $440988.88    | 0.16%             | 2042-12-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-5                                         | CUSIP: 81745AAB3<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    878054 | PA      | $804214.51    | 0.29%             | 2043-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-7                                         | CUSIP: 81745CAA1<br>LEI: 549300DFASAA48I36408 | Long             | ABS-MBS          | CORP              | US        |    608365 | PA      | $542063.79    | 0.20%             | 2043-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-7                                         | CUSIP: 81745CAB9<br>LEI: 549300DFASAA48I36408 | Long             | ABS-MBS          | CORP              | US        |    220749 | PA      | $201387.06    | 0.07%             | 2043-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-9                                         | CUSIP: 81745DAE1<br>LEI: 54930005PH54PMVV8351 | Long             | ABS-MBS          | CORP              | US        |    152174 | PA      | $140303.51    | 0.05%             | 2043-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2014-4                                         | CUSIP: 81745LAC7<br>LEI: 549300BU8OEB78D7JI24 | Long             | ABS-MBS          | CORP              | US        |    606865 | PA      | $565195.25    | 0.20%             | 2044-11-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-2                                         | CUSIP: 81745MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1634538 | PA      | $1426273.76   | 0.52%             | 2043-02-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2019-CH3                                       | CUSIP: 81748GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135307 | PA      | $127910.82    | 0.05%             | 2049-09-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2020-RR1 Trust                 | CUSIP: 949796AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2053585 | PA      | $1822780.66   | 0.66%             | 2050-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2020-RR1 Trust                 | CUSIP: 949796AS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848433 | PA      | $748786.78    | 0.27%             | 2050-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes | Chase Auto Credit Linked Notes Series 2025-1                          | CUSIP: 46591HCX6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3751480 | PA      | $3830988.70   | 1.38%             | 2033-02-25      | Fixed         | 10.42%                | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-8                                       | CUSIP: 46591KAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291860 | PA      | $266256.11    | 0.10%             | 2050-03-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV3                                    | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2718316 | PA      | $2470612.21   | 0.89%             | 2050-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV3                                    | CUSIP: 46591LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194279 | PA      | $176575.74    | 0.06%             | 2050-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV3                                    | CUSIP: 46591LBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884708 | PA      | $799472.40    | 0.29%             | 2050-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-LTV1                                    | CUSIP: 46591NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13087 | PA      | $12982.98     | 0.00%             | 2050-06-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-2                                       | CUSIP: 46591TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308300 | PA      | $283157.18    | 0.10%             | 2050-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-2                                       | CUSIP: 46591TAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190457 | PA      | $167037.45    | 0.06%             | 2050-07-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-INV1                                    | CUSIP: 46591VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2049023 | PA      | $1856454.14   | 0.67%             | 2050-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-7                                       | CUSIP: 46591XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1703444 | PA      | $1497143.60   | 0.54%             | 2051-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-7                                       | CUSIP: 46591XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1216751 | PA      | $1069392.58   | 0.39%             | 2051-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-3                                       | CUSIP: 46592AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433591 | PA      | $381416.69    | 0.14%             | 2050-08-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-3                                       | CUSIP: 46592ABH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183921 | PA      | $165728.53    | 0.06%             | 2050-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2021-13                                      | CUSIP: 46592XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82733 | PA      | $69565.18     | 0.03%             | 2052-04-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Trust 2015-3                                                | CUSIP: 46644MBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459146 | PA      | $431586.24    | 0.16%             | 2045-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2016-3                                       | CUSIP: 46647EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68750 | PA      | $63390.75     | 0.02%             | 2046-10-25      | Variable      | 3.37%                 | Yes           |                  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        |   2445400 | PA      | $2220961.21   | 0.80%             | 2047-01-25      | Variable      | 3.45%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2017-2                                       | CUSIP: 46648HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106339 | PA      | $97181.33     | 0.04%             | 2047-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2017-2                                       | CUSIP: 46648HBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1349360 | PA      | $1258293.28   | 0.45%             | 2047-05-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2018-1                                       | CUSIP: 46648RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139754 | PA      | $127953.64    | 0.05%             | 2048-06-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2018-1                                       | CUSIP: 46648RAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434372 | PA      | $397693.76    | 0.14%             | 2048-06-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2018-4                                       | CUSIP: 46649CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1756782 | PA      | $1597532.90   | 0.58%             | 2048-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2017-6                                       | CUSIP: 46649HAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281326 | PA      | $256973.74    | 0.09%             | 2048-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP MORGAN MORTGAGE TRUST 2018-5                                       | CUSIP: 46649KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2348705 | PA      | $2134601.45   | 0.77%             | 2048-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2018-3                                       | CUSIP: 46649TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90881 | PA      | $83183.42     | 0.03%             | 2048-09-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2018-3                                       | CUSIP: 46649TAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    727048 | PA      | $665467.38    | 0.24%             | 2048-09-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2018-9                                       | CUSIP: 46649YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129479 | PA      | $121550.66    | 0.04%             | 2049-02-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2018-9                                       | CUSIP: 46649YAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115265 | PA      | $108207.43    | 0.04%             | 2049-02-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-1                                       | CUSIP: 46650HAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54670 | PA      | $52223.54     | 0.02%             | 2049-05-25      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-1                                       | CUSIP: 46650HAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133388 | PA      | $125352.92    | 0.05%             | 2049-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2018-6                                       | CUSIP: 46650JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2663123 | PA      | $2421990.77   | 0.88%             | 2048-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2018-8                                       | CUSIP: 46650MAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150122 | PA      | $140569.50    | 0.05%             | 2049-01-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-6                                       | CUSIP: 46651BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    324939 | PA      | $298827.48    | 0.11%             | 2049-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV2                                    | CUSIP: 46651DAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1391661 | PA      | $1269829.49   | 0.46%             | 2050-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV2                                    | CUSIP: 46651DAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127523 | PA      | $121766.85    | 0.04%             | 2050-02-25      | Floating      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-1                                       | CUSIP: 46651XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471830 | PA      | $415803.90    | 0.15%             | 2050-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-9                                       | CUSIP: 46651YAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    268612 | PA      | $243984.32    | 0.09%             | 2050-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2021-2                 | CUSIP: 61772LCA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $731135.70    | 0.26%             | 2051-05-25      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2021-2                 | CUSIP: 61772LCC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1251254 | PA      | $531994.16    | 0.19%             | 2051-05-25      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| NRP Mortgage Trust             | NRP Mortgage Trust 2013-1                                             | CUSIP: 62942KAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    961472 | PA      | $942410.44    | 0.34%             | 2043-07-25      | Variable      | 3.28%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2019-INV1 Trust                                                   | CUSIP: 67098AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581182 | PA      | $561794.32    | 0.20%             | 2048-11-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2020-4 Trust                   | CUSIP: 95002VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700978 | PA      | $616649.81    | 0.22%             | 2050-07-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-3                                         | CUSIP: 81745RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81455 | PA      | $70541.86     | 0.03%             | 2043-03-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2017-4                                         | CUSIP: 81745XAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49250 | PA      | $45228.27     | 0.02%             | 2047-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Western Alliance Bank          | Western Alliance Bank                                                 | CUSIP: 95763PNF4<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   4600763 | PA      | $4537410.17   | 1.64%             | 2059-07-25      | Floating      | 9.22%                 | Yes           |                  2 | On Loan: No      |
| Western Alliance Bank          | Western Alliance Bank                                                 | CUSIP: 95763PNG2<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |   1462597 | PA      | $1425164.33   | 0.51%             | 2059-07-25      | Floating      | 10.37%                | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2017-4                                         | CUSIP: 81745XCC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2485657 | PA      | $2403240.49   | 0.87%             | 2047-07-25      | Variable      | 3.89%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2017-6                                         | CUSIP: 81746FCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1328841 | PA      | $1269709.08   | 0.46%             | 2047-09-25      | Variable      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2017-CH1                                       | CUSIP: 81746HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185328 | PA      | $176620.84    | 0.06%             | 2047-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2017-CH1                                       | CUSIP: 81746HAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25912 | PA      | $24122.49     | 0.01%             | 2047-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2017-CH2                                       | CUSIP: 81746JAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153082 | PA      | $144385.58    | 0.05%             | 2047-12-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2016-3                                         | CUSIP: 81746NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1903243 | PA      | $1761205.62   | 0.64%             | 2046-11-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2016-3                                         | CUSIP: 81746NCB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523706 | PA      | $508291.45    | 0.18%             | 2046-11-25      | Variable      | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2018-2                                         | CUSIP: 81746QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130444 | PA      | $118874.09    | 0.04%             | 2048-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2018-CH3                                       | CUSIP: 81746WAB4<br>LEI: 549300FECQ7XLTBL1027 | Long             | ABS-MBS          | CORP              | US        |     35674 | PA      | $35471.09     | 0.01%             | 2048-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2018-CH1                                       | CUSIP: 81747DAA7<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |    135370 | PA      | $127351.92    | 0.05%             | 2048-03-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2018-CH1                                       | CUSIP: 81747DAB5<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |     88145 | PA      | $80708.30     | 0.03%             | 2048-03-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2018-CH1                                       | CUSIP: 81747DAU3<br>LEI: 549300ZUG1L9OO3W6B29 | Long             | ABS-MBS          | CORP              | US        |     88314 | PA      | $82853.38     | 0.03%             | 2048-03-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2018-CH2                                       | CUSIP: 81747EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742402 | PA      | $693885.92    | 0.25%             | 2048-06-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2018-6                                         | CUSIP: 81747JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129962 | PA      | $122343.91    | 0.04%             | 2048-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2020-3                                         | CUSIP: 81748AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223549 | PA      | $196787.61    | 0.07%             | 2050-04-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2019-3                                         | CUSIP: 81748BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153772 | PA      | $141545.56    | 0.05%             | 2049-09-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2019-3                                         | CUSIP: 81748BCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1772118 | PA      | $1521760.39   | 0.55%             | 2049-09-25      | Variable      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2019-3 Trust                   | CUSIP: 949831AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27429 | PA      | $25135.48     | 0.01%             | 2049-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2019-3 Trust                   | CUSIP: 949831AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387180 | PA      | $343220.06    | 0.12%             | 2049-07-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2019-3 Trust                   | CUSIP: 949831AS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72411 | PA      | $65990.04     | 0.02%             | 2049-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2018-1                         | CUSIP: 94989UBL4<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |    310000 | PA      | $210777.68    | 0.08%             | 2047-07-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2018-J1                                                     | CUSIP: 12554CCE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2625120 | PA      | $1870377.18   | 0.68%             | 2048-03-25      | Variable      | 3.64%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2019-INV2                                                   | CUSIP: 12554TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125266 | PA      | $118783.50    | 0.04%             | 2049-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2019-INV1                                                   | CUSIP: 12555DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36426 | PA      | $34974.27     | 0.01%             | 2049-02-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2019-J1                                                     | CUSIP: 12556MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184776 | PA      | $170708.29    | 0.06%             | 2049-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2019-J1                                                     | CUSIP: 12556MCS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1993000 | PA      | $1494114.23   | 0.54%             | 2049-08-25      | Variable      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2021-J3                                                     | CUSIP: 12565VDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2707386 | PA      | $2197947.98   | 0.79%             | 2051-06-25      | Variable      | 2.61%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2015-1                                                     | CUSIP: 12649NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167742 | PA      | $1045262.43   | 0.38%             | 2045-01-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2015-3                                                     | CUSIP: 12649XAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114262 | PA      | $107694.90    | 0.04%             | 2045-03-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2018-J1 Trust                                                    | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100073 | PA      | $90823.91     | 0.03%             | 2048-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-62                                        | CUSIP: 12668ATR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7384835 | PA      | $14009.03     | 0.01%             | 2035-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2005-3                                | CUSIP: 12669GTU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5573107 | PA      | $334.39       | 0.00%             | 2035-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust         | Chase Auto Owner Trust 2024-3                                         | CUSIP: 16144LAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8950 | PA      | $2319940.93   | 0.84%             | 2031-09-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2019-ATR1                           | CUSIP: 16158RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735922 | PA      | $704945.92    | 0.25%             | 2049-04-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2019-ATR1                           | CUSIP: 16158RAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42986 | PA      | $41086.83     | 0.01%             | 2049-04-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2019-ATR1                           | CUSIP: 16158RAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301356 | PA      | $288671.48    | 0.10%             | 2049-04-25      | Variable      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2019-ATR1                           | CUSIP: 16158RBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1769068 | PA      | $1665584.21   | 0.60%             | 2049-04-25      | Variable      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2019-ATR2                           | CUSIP: 16159GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1752600 | PA      | $1604199.03   | 0.58%             | 2049-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Home Lending Mortgage Trust 2019-1                              | CUSIP: 16159WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248206 | PA      | $224754.98    | 0.08%             | 2050-03-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust, Inc.                                   | CUSIP: 17328PAQ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     97290 | PA      | $86328.05     | 0.03%             | 2050-08-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2013-TH1                                                   | CUSIP: 22944PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1673228 | PA      | $1486835.37   | 0.54%             | 2043-02-25      | Variable      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Trust 2013-TH1                                                   | CUSIP: 22944PAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263245 | PA      | $257445.82    | 0.09%             | 2043-02-25      | Variable      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| EverBank Mortgage Loan Trust   | EverBank Mortgage Loan Trust 18-1                                     | CUSIP: 29978CAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1664509 | PA      | $1514961.06   | 0.55%             | 2048-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E | FARM 2024-1 Mortgage Trust                                            | CUSIP: 30335JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5027851 | PA      | $4456793.34   | 1.61%             | 2053-10-01      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E | FARM 2023-1 Mortgage Trust                                            | CUSIP: 30767YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7144511 | PA      | $5372101.87   | 1.94%             | 2052-03-25      | Variable      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E | FARM 2025-2 Mortgage Trust                                            | CUSIP: 30768BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5800000 | PA      | $5113871.60   | 1.85%             | 2055-09-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E | FARM 2025-1 Mortgage Trust                                            | CUSIP: 30768CAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6858116 | PA      | $6161420.90   | 2.23%             | 2055-08-01      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E | FARM 21-1 Mortgage Trust                                              | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3777271 | PA      | $2961099.15   | 1.07%             | 2051-07-25      | Variable      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass-Through Certificates          | CUSIP: 3137FL6H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12736000 | PA      | $844778.88    | 0.31%             | 2047-02-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR Debt Notes 2017-HRP1                                | CUSIP: 3137G0SM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   2493077 | PA      | $2448970.82   | 0.88%             | 2042-12-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI1 | CUSIP: 3137G1CM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   5538127 | PA      | $4158762.54   | 1.50%             | 2048-02-25      | Variable      | 3.78%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI2 | CUSIP: 3137G1CW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   9635992 | PA      | $7065555.24   | 2.55%             | 2048-05-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-9                                       | CUSIP: 46651YAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147386 | PA      | $130106.67    | 0.05%             | 2050-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-9                                       | CUSIP: 46651YBT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256711 | PA      | $228541.46    | 0.08%             | 2050-05-25      | Variable      | 3.39%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-4                                       | CUSIP: 46652FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1414718 | PA      | $1243908.79   | 0.45%             | 2050-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management  | JPMorgan Wealth Management 2020-ATR1                                  | CUSIP: 46652HAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2828952 | PA      | $2514592.83   | 0.91%             | 2050-02-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-INV2                                    | CUSIP: 46652KBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1005106 | PA      | $880748.51    | 0.32%             | 2050-10-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-8                                       | CUSIP: 46652TCN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    727944 | PA      | $589683.32    | 0.21%             | 2051-03-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-8                                       | CUSIP: 46652TCP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    855000 | PA      | $551232.86    | 0.20%             | 2051-03-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-8                                       | CUSIP: 46652TCQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1882756 | PA      | $949417.16    | 0.34%             | 2051-03-25      | Variable      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-5                                       | CUSIP: 46653JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282240 | PA      | $247503.30    | 0.09%             | 2050-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-5                                       | CUSIP: 46653JAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1328724 | PA      | $1165190.96   | 0.42%             | 2050-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-5                                       | CUSIP: 46653JBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357430 | PA      | $313439.74    | 0.11%             | 2050-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-5                                       | CUSIP: 46653JBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433794 | PA      | $386332.53    | 0.14%             | 2050-12-25      | Variable      | 3.57%                 | Yes           |                  2 | On Loan: No      |
| Ally Auto Receivables Trust    | Ally Auto Receivables Trust 2023-1                                    | CUSIP: 02007WAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38065989 | PA      | $2293590.05   | 0.83%             | 2034-04-15      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Ally Auto Receivables Trust    | Ally Auto Receivables Trust 2024-1                                    | CUSIP: 02008F104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  60151543 | PA      | $3887052.83   | 1.40%             | 2032-02-16      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-LTV2                                    | CUSIP: 46653LAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    898980 | PA      | $819344.42    | 0.30%             | 2050-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-LTV2                                    | CUSIP: 46653LAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1629415 | PA      | $1485074.87   | 0.54%             | 2050-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2020-LTV2                                    | CUSIP: 46653LBT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140466 | PA      | $127542.32    | 0.05%             | 2050-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Mellon Residential Funding Cor | Mellon Residential Funding Corp. Mor Pas Thr Cer Ser 01 Tbc1          | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770540 | PA      | $750127.17    | 0.27%             | 2031-11-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust   | METLIFE SECURITIZATION TRUST 2020-1                                   | CUSIP: 59166CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475709 | PA      | $405763.20    | 0.15%             | 2050-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2020-1                 | CUSIP: 61771QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    586680 | PA      | $493929.31    | 0.18%             | 2050-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2021-2                 | CUSIP: 61772LBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1548301 | PA      | $1130751.08   | 0.41%             | 2051-05-25      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2020-INV1 Trust                                                   | CUSIP: 67113CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2040762 | PA      | $1851785.77   | 0.67%             | 2049-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Oaks Mortgage Trust Series     | Oaks Mortgage Trust Series 2015-1                                     | CUSIP: 67389MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77376 | PA      | $72630.18     | 0.03%             | 2046-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Oceanview Mortgage Trust       | Oceanview Mortgage Trust 2021-1                                       | CUSIP: 67647LCG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1543000 | PA      | $781971.42    | 0.28%             | 2051-05-25      | Variable      | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Oceanview Mortgage Trust       | Oceanview Mortgage Trust 2021-1                                       | CUSIP: 67647LCH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    772000 | PA      | $366372.21    | 0.13%             | 2051-05-25      | Variable      | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Oceanview Mortgage Trust       | Oceanview Mortgage Trust 2021-3                                       | CUSIP: 67647VCG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1406000 | PA      | $707132.80    | 0.26%             | 2051-06-25      | Variable      | 2.71%                 | Yes           |                  2 | On Loan: No      |
| Oceanview Mortgage Trust       | Oceanview Mortgage Trust 2021-3                                       | CUSIP: 67647VCH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    527000 | PA      | $248544.32    | 0.09%             | 2051-06-25      | Variable      | 2.71%                 | Yes           |                  2 | On Loan: No      |
| PSMC Trust                     | PSMC 2020-2 Trust                                                     | CUSIP: 693652AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    707107 | PA      | $635165.36    | 0.23%             | 2050-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| PSMC Trust                     | PSMC 2020-3 Trust                                                     | CUSIP: 693675AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $801990.95    | 0.29%             | 2050-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| PSMC 2020-1 Trust              | PSMC 2020-1 Trust                                                     | CUSIP: 693684AM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150744 | PA      | $139881.09    | 0.05%             | 2050-01-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| PSMC Trust                     | PSMC 2019-3 Trust                                                     | CUSIP: 69375BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230949 | PA      | $215815.48    | 0.08%             | 2049-11-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru | Provident Funding Mortgage Trust 2020-1                               | CUSIP: 743874AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255175 | PA      | $223933.52    | 0.08%             | 2050-02-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru | Provident Funding Mortgage Trust 2020-1                               | CUSIP: 743874AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848439 | PA      | $741894.15    | 0.27%             | 2050-02-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru | Provident Funding Mortgage Trust 2019-1                               | CUSIP: 74387LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    494912 | PA      | $433054.58    | 0.16%             | 2049-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2019-4 Trust                   | CUSIP: 95002FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102847 | PA      | $90474.43     | 0.03%             | 2049-09-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2019-4 Trust                   | CUSIP: 95002FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    822778 | PA      | $748310.15    | 0.27%             | 2049-09-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2020-1 Trust                   | CUSIP: 95002KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    246494 | PA      | $216503.64    | 0.08%             | 2049-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2020-1 Trust                   | CUSIP: 95002KAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    697250 | PA      | $610571.00    | 0.22%             | 2049-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Auto Owner Trust         | Chase Auto Owner Trust 2024-5                                         | CUSIP: 16144QAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21000 | PA      | $4379643.81   | 1.58%             | 2032-01-26      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2020-2 Trust                   | CUSIP: 95002QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723972 | PA      | $634340.02    | 0.23%             | 2049-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2020-3 Trust                   | CUSIP: 95002TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1315280 | PA      | $1157916.01   | 0.42%             | 2050-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Auto Owner Trust         | Chase Auto Owner Trust 2024-4                                         | CUSIP: 16144YAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20000 | PA      | $5161361.02   | 1.86%             | 2031-11-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI3 | CUSIP: 3137G1DF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   9389109 | PA      | $7334349.76   | 2.65%             | 2048-08-25      | Variable      | 4.16%                 | Yes           |                  2 | On Loan: No      |
| Winwater Mortgage Loan Trust   | WinWater Mortgage Loan Trust 2015-A                                   | CUSIP: 97653BAC5<br>LEI: 549300XEB1FUZ3CHE748 | Long             | ABS-MBS          | CORP              | US        |    187304 | PA      | $177260.05    | 0.06%             | 2045-06-20      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| MSILF Government Portfolio     | MSILF Government Portfolio - Class Institutional                      | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |  26150269 | PA      | $26150268.87  | 9.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Agate Bay Mortgage Loan Trust  | Agate Bay Mortgage Trust 2016-2                                       | CUSIP: 00842EAJ0<br>LEI: 549300TSTBCBQ5EBD390 | Long             | ABS-MBS          | CORP              | US        |    208031 | PA      | $191789.41    | 0.07%             | 2046-03-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked N | Ally Bank Auto Credit-Linked Notes Series 2024-A                      | CUSIP: 02007G2A0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2398137 | PA      | $2493198.26   | 0.90%             | 2032-05-17      | Fixed         | 12.75%                | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked N | Ally Bank Auto Credit-Linked Notes Series 2024-B                      | CUSIP: 02007G4G5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1278219 | PA      | $1299713.49   | 0.47%             | 2032-09-15      | Fixed         | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI4 | CUSIP: 3137G1DQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   7502360 | PA      | $5690697.85   | 2.06%             | 2048-11-25      | Variable      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass-Through Certificates          | CUSIP: 3137HA4E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19553038 | PA      | $3472871.78   | 1.25%             | 2056-03-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P | Freddie Mac Multifamily Structured Pass-Through Certificates          | CUSIP: 3137HAH41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $1327084.50   | 0.48%             | 2055-09-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FIRST MATRIX RMOF TRUST        | First Matrix RMOF Trust                                               | CUSIP: 32082FAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $0.00         | 0.00%             | 2029-10-01      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2018-6RR                                      | CUSIP: 33851FAP2<br>LEI: 549300H3PON1KOB2RF56 | Long             | ABS-MBS          | CORP              | US        |    130261 | PA      | $128453.05    | 0.05%             | 2048-09-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2020-2                                        | CUSIP: 33851KAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    614269 | PA      | $537395.04    | 0.19%             | 2050-08-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2020-1NV                                      | CUSIP: 33851YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462780 | PA      | $405849.52    | 0.15%             | 2050-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2019-1                                        | CUSIP: 33852AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126998 | PA      | $115351.07    | 0.04%             | 2049-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2019-1                                        | CUSIP: 33852AAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77083 | PA      | $70014.08     | 0.03%             | 2049-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust        | Flagstar Mortgage Trust 2019-2                                        | CUSIP: 33852BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1815707 | PA      | $1637185.06   | 0.59%             | 2049-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3                    | CUSIP: 36257QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    311931 | PA      | $293350.74    | 0.11%             | 2050-03-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortage-Backed Securities Trust 2020-PJ1                           | CUSIP: 36258FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146495 | PA      | $132768.43    | 0.05%             | 2050-05-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp. Trust 2020-PJ4                    | CUSIP: 36259VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1413987 | PA      | $1238578.09   | 0.45%             | 2051-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp. Trust 2020-PJ2                    | CUSIP: 36262DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2494770 | PA      | $2295983.82   | 0.83%             | 2050-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2017-1                                  | CUSIP: 36416UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172242 | PA      | $155032.27    | 0.06%             | 2056-07-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2017-1                                  | CUSIP: 36416UBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3140080 | PA      | $2643602.07   | 0.96%             | 2056-07-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2017-1                                  | CUSIP: 36417JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95328 | PA      | $87526.60     | 0.03%             | 2057-11-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2018-1                                  | CUSIP: 36417JCA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3295135 | PA      | $3032409.24   | 1.10%             | 2057-11-25      | Variable      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2018-1                                  | CUSIP: 36417JCB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2535000 | PA      | $2133763.75   | 0.77%             | 2057-11-25      | Variable      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2018-1                                  | CUSIP: 36417JCC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2715569 | PA      | $1901056.14   | 0.69%             | 2057-11-25      | Variable      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2018-2                                  | CUSIP: 36418GAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204233 | PA      | $194332.30    | 0.07%             | 2058-10-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2018-2                                  | CUSIP: 36418GCB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4628754 | PA      | $4085399.17   | 1.48%             | 2058-10-25      | Variable      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2018-2                                  | CUSIP: 36418GCC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3847000 | PA      | $3020582.46   | 1.09%             | 2058-10-25      | Variable      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., | Galton Funding Mortgage Trust 2019-1                                  | CUSIP: 36418WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192009 | PA      | $183145.82    | 0.07%             | 2059-02-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV1                                    | CUSIP: 46591DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    524445 | PA      | $496838.14    | 0.18%             | 2049-09-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | JPMorgan Chase Bank N.A. - CHASE                                      | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    359435 | PA      | $365439.11    | 0.13%             | 2057-10-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management  | JPMorgan Chase Bank N.A. - JPMWM                                      | CUSIP: 46591HBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128530 | PA      | $129239.76    | 0.05%             | 2051-03-25      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management  | JPMorgan Chase Bank N.A. - JPMWM                                      | CUSIP: 46591HBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    827806 | PA      | $830599.19    | 0.30%             | 2051-03-25      | Floating      | 6.62%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management  | JPMorgan Chase Bank N.A. - JPMWM                                      | CUSIP: 46591HBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1428482 | PA      | $1453204.76   | 0.53%             | 2051-03-25      | Floating      | 7.72%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Wealth Management  | JPMorgan Chase Bank N.A. - JPMWM                                      | CUSIP: 46591HBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2301343 | PA      | $2467656.34   | 0.89%             | 2051-03-25      | Floating      | 10.77%                | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Corp.                                          | CUSIP: 46591HCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2158000 | PA      | $2264375.80   | 0.82%             | 2050-02-25      | Floating      | 10.37%                | Yes           |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes | Chase Auto Credit Linked Notes Series 2025-1                          | CUSIP: 46591HCW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2084155 | PA      | $2101466.46   | 0.76%             | 2033-02-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2016-3                                       | CUSIP: 46647EBD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1977000 | PA      | $1525765.57   | 0.55%             | 2046-10-25      | Variable      | 3.31%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2016-4                                       | CUSIP: 46647JBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730262 | PA      | $695494.14    | 0.25%             | 2046-10-25      | Variable      | 3.78%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2017-3                                       | CUSIP: 46647SBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1028470 | PA      | $939489.71    | 0.34%             | 2047-08-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2017-1                                       | CUSIP: 46648CAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245355 | PA      | $223026.09    | 0.08%             | 2047-01-25      | Variable      | 3.45%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-INV2                                    | CUSIP: 46651DAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    777051 | PA      | $691829.91    | 0.25%             | 2050-02-25      | Variable      | 3.21%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-7                                       | CUSIP: 46651GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52689 | PA      | $48095.10     | 0.02%             | 2050-02-25      | Variable      | 3.46%                 | Yes           |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust  | Agate Bay Mortgage Trust 2015-4                                       | CUSIP: 00842AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266177 | PA      | $247289.40    | 0.09%             | 2045-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust  | Agate Bay Mortgage Trust 2015-5                                       | CUSIP: 00842BAG2<br>LEI: 549300RM62GNIVQ1WJ04 | Long             | ABS-MBS          | CORP              | US        |    276178 | PA      | $256865.30    | 0.09%             | 2045-07-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust  | Agate Bay Mortgage Trust 2015-5                                       | CUSIP: 00842BAV9<br>LEI: 549300RM62GNIVQ1WJ04 | Long             | ABS-MBS          | CORP              | US        |    471015 | PA      | $383353.10    | 0.14%             | 2045-07-25      | Variable      | 3.57%                 | Yes           |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust  | Agate Bay Mortgage Trust 2015-7                                       | CUSIP: 00842CAG0<br>LEI: 549300LK2ZDVY7I44B84 | Long             | ABS-MBS          | CORP              | US        |    194446 | PA      | $180065.82    | 0.07%             | 2045-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked N | Ally Bank Auto Credit-Linked Notes Series 2024-B                      | CUSIP: 02007G4H3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1452521 | PA      | $1493084.10   | 0.54%             | 2032-09-15      | Fixed         | 11.39%                | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked N | Ally Bank Auto Credit-Linked Notes Series 2025-A                      | CUSIP: 02007G5J8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1972013 | PA      | $1980094.53   | 0.72%             | 2033-06-15      | Fixed         | 6.94%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked N | Ally Bank Auto Credit-Linked Notes Series 2025-A                      | CUSIP: 02007G5K5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4047817 | PA      | $4081061.32   | 1.47%             | 2033-06-15      | Fixed         | 10.22%                | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked N | Ally Bank Auto Credit-Linked Notes Series 2025-B                      | CUSIP: 02007G6T5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3254669 | PA      | $3266469.96   | 1.18%             | 2033-09-15      | Fixed         | 6.94%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked N | Ally Bank Auto Credit-Linked Notes Series 2025-B                      | CUSIP: 02007G6U2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3022192 | PA      | $3035511.01   | 1.10%             | 2033-09-15      | Fixed         | 9.94%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2019-8                                       | CUSIP: 46591KAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56994 | PA      | $54093.99     | 0.02%             | 2050-03-25      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp. Trust 2020-PJ3                    | CUSIP: 36258WAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105972 | PA      | $90192.15     | 0.03%             | 2050-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp. Trust 2020-PJ3                    | CUSIP: 36258WAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3145664 | PA      | $2679143.57   | 0.97%             | 2050-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Corp. Trust 2020-PJ3                    | CUSIP: 36258WAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207908 | PA      | $182583.13    | 0.07%             | 2050-10-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-22

**Name of Applicant:** INVESTMENT MANAGERS SERIES TRUST

**Signature:** /s/ Maureen Quill

**Name of Signer:** Maureen Quill

**Title:** President