# EDGAR Filing Document

**Accession Number:** 0001886172
**File Stem:** 0002071691-26-012537
**Filing Date:** 2026-5
**Character Count:** 85016
**Document Hash:** cae815a9e038276054b20b5e4a8ca49a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-012537.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0002071691-26-012537

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DoubleLine ETF Trust
- **CENTRAL INDEX KEY:** 0001886172

**ORGANIZATION NAME:**
- **EIN:** 876641637
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23746
- **FILM NUMBER:** 261031148

**BUSINESS ADDRESS:**
- **STREET 1:** 2002 NORTH TAMPA STREET
- **CITY:** TAMPA
- **STATE:** FL
- **ZIP:** 33602
- **BUSINESS PHONE:** (213) 633-8200

**MAIL ADDRESS:**
- **STREET 1:** 2002 NORTH TAMPA STREET
- **CITY:** TAMPA
- **STATE:** FL
- **ZIP:** 33602

## Series and Classes Contracts Data

### DoubleLine Mortgage ETF (Series ID: S000080055)

| Class ID   | Class Name              | Ticker Symbol   |
|:---|:---|:---|
| C000241668 | DoubleLine Mortgage ETF | DMBS            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** DoubleLine ETF Trust

- **b. Investment Company Act file number:** 811-23746

- **c. CIK number of Registrant:** 0001886172

- **d. LEI of Registrant:** 549300TPCA72X7FKG626

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

  - **Street Address 1:** 2002 North Tampa Street Suite 200

  - **City:** Tampa

  - **State:** FL

  - **Foreign country:** US

  - **Zip / Postal Code:** 33602

  - **Telephone number:** 813-791-7333

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

- **a. Name of Series:** DoubleLine Mortgage ETF

- **b. EDGAR series identifier (if any):** S000080055

- **c. LEI of Series:** 549300HCBHESHBLJEF25

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2026-03-31

**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:** $988734414.34

**Total Liabilities:** $294051078.47

**Net Assets:** $694683335.87

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 78.00000000 | **1-Year:** 17109.00000000 | **5-Year:** 169519.00000000 | **10-Year:** 204178.00000000 | **30-Year:** 824.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000241668 | 0.53%                | 1.80%                | -1.86%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $549990.49               | $1065850.80                                |
| Month 2  | $265274.37               | $6229825.09                                |
| Month 3  | $63293.33                | $-14075641.69                              |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** Fund's Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4560834 | PA      | $3887887.13   | 0.56%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 2 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1242 | NC      | $1552288.15   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Deephaven Residential Mortgage Trust           | Deephaven Residential Mortgage Trust, Series 2022-2, Class A1              | CUSIP: 24380XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635874 | PA      | $620619.02    | 0.09%             | 2067-03-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2024-NQM1, Class A1            | CUSIP: 64828DAA5<br>LEI: 213800TFYSB4XLW7QW74 | Long             | ABS-MBS          | CORP              | US        |   3156147 | PA      | $3179222.48   | 0.46%             | 2064-03-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-140, Class IH                                            | CUSIP: 38382XYA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7742117 | PA      | $1070639.53   | 0.15%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-196, Class QF                                            | CUSIP: 38385JFF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5946613 | PA      | $5955870.17   | 0.86%             | 2055-11-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3A25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14164418 | PA      | $14335157.29  | 2.06%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC STACR REMICS Trust, Series 2024-HQA1, Class M2                       | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2021968.40   | 0.29%             | 2044-03-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund     | JPMorgan U.S. Government Money Market Fund - Class IM                      | CUSIP: 4812C2270<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        |  28095317 | NS      | $28095317.19  | 4.04%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-24, Class IH                                             | CUSIP: 38383WBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4376895 | PA      | $825045.56    | 0.12%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2026-R1, Class M1                       | CUSIP: 924932AH9<br>LEI: 213800IRNLDELLG4XV07 | Long             | ABS-MBS          | CORP              | US        |   3591000 | PA      | $3578180.13   | 0.52%             | 2067-10-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-51, Class ID                                             | CUSIP: 38382EKB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5075873 | PA      | $933144.95    | 0.13%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DWHE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3828788 | PA      | $3796189.52   | 0.55%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2026-NQM1, Class M1                     | CUSIP: 46660DAH8<br>LEI: 529900PEVYDPZXGGUW77 | Long             | ABS-MBS          | CORP              | US        |   5108000 | PA      | $5055397.31   | 0.73%             | 2066-06-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC REMICS, Series 5377                                                  | CUSIP: 3137HBDW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8059561 | PA      | $981823.80    | 0.14%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQGV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2019625 | PA      | $2015359.44   | 0.29%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2025-3, Class M1                        | CUSIP: 924928AD6<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1467126.53   | 0.21%             | 2070-05-25      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC STRIPS, Series 399, Class C28                                        | CUSIP: 3142G4VW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11687745 | PA      | $1099538.52   | 0.16%             | 2052-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA REMICS, Series 2023-51, Class BI                                      | CUSIP: 3136BQPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4471408 | PA      | $857289.16    | 0.12%             | 2053-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                           | Cross Mortgage Trust, Series 2025-H4, Class M1                             | CUSIP: 22790AAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1861000 | PA      | $1874796.34   | 0.27%             | 2070-06-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133A1MD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5079823 | PA      | $4518918.08   | 0.65%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-153, Class CI                                            | CUSIP: 38382KSF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3100832 | PA      | $439118.67    | 0.06%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7418087 | PA      | $7613001.97   | 1.10%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA STRIPS, Series 427, Class C16                                         | CUSIP: 31423XMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9572598 | PA      | $985209.35    | 0.14%             | 2040-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133ATDX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5433280 | PA      | $4464260.75   | 0.64%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2023-NQM3, Class A1                                      | CUSIP: 67117PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566507 | PA      | $565058.84    | 0.08%             | 2063-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140M8U31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7847128 | PA      | $6643027.05   | 0.96%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                       | CUSIP: 3622ADTR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9174973 | PA      | $8230422.86   | 1.18%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQJ98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10267406 | PA      | $9427003.92   | 1.36%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2025-NQM3, Class M1            | CUSIP: 36274TAD1<br>LEI: 2549007JKCA9H9HUGZ71 | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $2090273.22   | 0.30%             | 2065-11-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM9, Class M1 | CUSIP: 61779VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4100000 | PA      | $4078180.62   | 0.59%             | 2070-09-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC REMICS, Series 5162, Class CI                                        | CUSIP: 3137H45A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9221324 | PA      | $1481239.72   | 0.21%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                       | CUSIP: 3622ADNN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13719945 | PA      | $12289850.79  | 1.77%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132E0XZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4219157 | PA      | $3464050.34   | 0.50%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XMNK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6138329 | PA      | $5650898.68   | 0.81%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      2200 | NC      | $-2578741.50  | -0.37%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                           | FNMA STRIPS, Series 437, Class C8                                          | CUSIP: 31424UPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6370213 | PA      | $967732.87    | 0.14%             | 2052-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC REMICS, Series 5072, Class MI                                        | CUSIP: 3137F9A27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13363164 | PA      | $2556020.51   | 0.37%             | 2051-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M2            | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1502511.30   | 0.22%             | 2044-02-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DWNH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13736759 | PA      | $13565167.06  | 1.95%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC REMICS, Series 5188, Class IA                                        | CUSIP: 3137H5JL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5096933 | PA      | $819513.91    | 0.12%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2023-8, Class A1                        | CUSIP: 92540DAA3<br>LEI: 213800DTJD5UKJR53O34 | Long             | ABS-MBS          | CORP              | US        |    890458 | PA      | $895451.71    | 0.13%             | 2068-12-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPVM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5362510 | PA      | $4406992.07   | 0.63%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140KXNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20687463 | PA      | $16726605.94  | 2.41%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC STRIPS, Series 389, Class C19                                        | CUSIP: 31325YQ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6281912 | PA      | $1118439.25   | 0.16%             | 2052-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W13P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16071376 | PA      | $13887326.37  | 2.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MJ7D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8617117 | PA      | $7728667.38   | 1.11%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 20 Year                                                              | CUSIP: 31418FDH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7154158 | PA      | $7223744.99   | 1.04%             | 2044-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA REMICS, Series 2021-88, Class KI                                      | CUSIP: 3136BKSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4882804 | PA      | $779821.39    | 0.11%             | 2046-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DTD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6179333 | PA      | $6318364.76   | 0.91%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA REMICS, Series 2026-10, Class FA                                      | CUSIP: 3136BYT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14105590 | PA      | $14008144.78  | 2.02%             | 2054-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2022-207                                                      | CUSIP: 38383HFY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5903892 | PA      | $1033397.70   | 0.15%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2022-83                                                       | CUSIP: 38383RA23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6929279 | PA      | $985802.15    | 0.14%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DVMQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5948911 | PA      | $6087125.99   | 0.88%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-79, Class JI                                             | CUSIP: 38384AZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5327852 | PA      | $729844.33    | 0.11%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA REMICS, Series 2021-3, Class NI                                       | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3180542 | PA      | $481051.21    | 0.07%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DTG20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2280544 | PA      | $2369423.74   | 0.34%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-183, Class JI                                            | CUSIP: 38382LSK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3536614 | PA      | $497822.58    | 0.07%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-151, Class MI                                            | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14930503 | PA      | $2180502.93   | 0.31%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC REMICS, Series 5057, Class TI                                        | CUSIP: 3137F7LN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5401819 | PA      | $860773.94    | 0.12%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-115, Class MI                                            | CUSIP: 38382T4P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5592063 | PA      | $609438.72    | 0.09%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2025-NQM2, Class M1            | CUSIP: 36272EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8523000 | PA      | $8620458.80   | 1.24%             | 2065-06-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC REMICS, Series 5008, Class DI                                        | CUSIP: 3137FVY30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1091879 | PA      | $152822.05    | 0.02%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DSEX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4107948 | PA      | $4090156.12   | 0.59%             | 2054-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133B9SZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11099888 | PA      | $9904421.34   | 1.43%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11200000 | PA      | $10269038.19  | 1.48%             | 2056-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                       | CUSIP: 3622ADSS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14049445 | PA      | $12112741.75  | 1.74%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2023-R07, Class 2M1            | CUSIP: 20753BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265912 | PA      | $266369.36    | 0.04%             | 2043-09-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2537878 | PA      | $2516791.99   | 0.36%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DVMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3980377 | PA      | $4057675.45   | 0.58%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-17, Class IG                                             | CUSIP: 38382CL33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2409999 | PA      | $404838.83    | 0.06%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2024-NQM4, Class A1                                      | CUSIP: 67118TAA2<br>LEI: 254900LSNFNEGAD7J679 | Long             | ABS-MBS          | CORP              | US        |    524412 | PA      | $527562.84    | 0.08%             | 2064-01-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W5LZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8018346 | PA      | $6607296.80   | 0.95%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust           | Deephaven Residential Mortgage Trust, Series 2026-INV1, Class M1           | CUSIP: 24381GAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $4556039.64   | 0.66%             | 2070-12-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2024-NQM6, Class A1                                      | CUSIP: 67118XAA3<br>LEI: 254900LMIQVUH9BFZJ05 | Long             | ABS-MBS          | CORP              | US        |   1074277 | PA      | $1085075.88   | 0.16%             | 2064-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-77, Class IW                                             | CUSIP: 38382Q4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10335823 | PA      | $1374988.02   | 0.20%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2026-NQM2, Class M1                                      | CUSIP: 67123VAL6<br>LEI: 2549007DTHVTGCMU8X03 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2960664.30   | 0.43%             | 2065-12-01      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427M3U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9048728 | PA      | $9146233.54   | 1.32%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5426110 | PA      | $4865300.46   | 0.70%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust, Series 2025-8, Class M1                          | CUSIP: 03466UAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1003262.20   | 0.14%             | 2070-07-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                      | MFA Trust, Series 2025-NQM5, Class M1                                      | CUSIP: 59319DAH6<br>LEI: 25490048OKUKCESK4V59 | Long             | ABS-MBS          | CORP              | US        |   1635000 | PA      | $1642836.56   | 0.24%             | 2070-11-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| EFMT                                           | EFMT, Series 2026-NQM1, Class M1                                           | CUSIP: 26846GAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2948737.80   | 0.42%             | 2071-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140KVAE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7366556 | PA      | $6259302.95   | 0.90%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQ2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2472960 | PA      | $2021346.66   | 0.29%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-79, Class CI                                             | CUSIP: 38384PKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7384467 | PA      | $1217677.88   | 0.18%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427PJG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6366931 | PA      | $6534235.01   | 0.94%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2167766 | PA      | $2186951.83   | 0.31%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBG46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15574729 | PA      | $13387904.43  | 1.93%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury Long Bonds                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       158 | NC      | $-513420.83   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| EFMT                                           | EFMT, Series 2026-INV2, Class M1                                           | CUSIP: 26846TAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1951079.40   | 0.28%             | 2071-02-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-57, Class JI                                             | CUSIP: 38382QBS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5241796 | PA      | $880741.19    | 0.13%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XMKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2482577 | PA      | $2021952.71   | 0.29%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2025-12, Class M1                       | CUSIP: 92490FAN0<br>LEI: 2138009XAW9T934GL239 | Long             | ABS-MBS          | CORP              | US        |   3272000 | PA      | $3242554.62   | 0.47%             | 2070-12-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                     | PRPM Trust, Series 2025-NQM5, Class M1                                     | CUSIP: 69383FAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3978427.20   | 0.57%             | 2070-10-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust, Series 2025-11, Class M1                         | CUSIP: 03466FAF4<br>LEI: 254900U7QMG1IM2AZ079 | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1288583.92   | 0.19%             | 2070-10-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QEY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4896089 | PA      | $4212456.91   | 0.61%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-173, Class MI                                            | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6762958 | PA      | $993846.48    | 0.14%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-162, Class IP                                            | CUSIP: 38383AP40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13000783 | PA      | $2022188.67   | 0.29%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-61, Class IA                                             | CUSIP: 38384MFV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7816635 | PA      | $1135787.55   | 0.16%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MNPL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9967944 | PA      | $8769067.95   | 1.26%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2026-1, Class M1                        | CUSIP: 92541JAN1<br>LEI: 2138009KJR7Q44BI8668 | Long             | ABS-MBS          | CORP              | US        |    875000 | PA      | $865223.54    | 0.12%             | 2071-01-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XFYP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5553796 | PA      | $4929273.33   | 0.71%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                | BRAVO Residential Funding Trust, Series 2025-NQM6, Class B1A               | CUSIP: 10570MAG5<br>LEI: 254900U9H6FFPW4O4S55 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1001518.70   | 0.14%             | 2065-06-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-188, Class BI                                            | CUSIP: 38382LX97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8832111 | PA      | $1365273.86   | 0.20%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  42578000 | PA      | $34305227.44  | 4.94%             | 2056-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Ultra Bonds                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       170 | NC      | $-66853.06    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                           | FNMA STRIPS, Series 427, Class C84                                         | CUSIP: 31423XQN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7384545 | PA      | $997361.73    | 0.14%             | 2040-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA REMICS, Series 2017-99, Class PY                                      | CUSIP: 3136AY4T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1117222 | PA      | $1048385.00   | 0.15%             | 2047-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                | BRAVO Residential Funding Trust, Series 2026-NQM1, Class M1                | CUSIP: 10570CAH5<br>LEI: 254900XRZJZN8JGL1235 | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $2286620.90   | 0.33%             | 2065-12-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1BU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9085499 | PA      | $9283905.72   | 1.34%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M2            | CUSIP: 20754XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2871114 | PA      | $2877548.41   | 0.41%             | 2044-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| EFMT                                           | EFMT, Series 2025-NQM2, Class M1B                                          | CUSIP: 281917AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3600000 | PA      | $3633747.12   | 0.52%             | 2070-06-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9900907 | PA      | $8508170.91   | 1.22%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2023-NQM10, Class A1                                     | CUSIP: 67449CAA9<br>LEI: 254900O44XNRXAW7W466 | Long             | ABS-MBS          | CORP              | US        |    790935 | PA      | $796605.93    | 0.11%             | 2063-10-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427NZB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13974448 | PA      | $11418433.67  | 1.64%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC REMICS, Series 5092, Class FK                                        | CUSIP: 3137FYC87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3133975 | PA      | $2639871.02   | 0.38%             | 2051-03-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3142GT2Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8792659 | PA      | $9099721.30   | 1.31%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                   | Barclays Mortgage Loan Trust, Series 2025-NQM3, Class M1                   | CUSIP: 06745VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3023703.00   | 0.44%             | 2065-05-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QVWQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2788871 | PA      | $2771133.00   | 0.40%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust                                | NYMT Loan Trust, Series 2026-INV1, Class M1                                | CUSIP: 62957GAL1<br>LEI: 254900Y31NJCJWYHMA05 | Long             | ABS-MBS          | CORP              | US        |   3799000 | PA      | $3753119.48   | 0.54%             | 2061-02-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2026-NQM1, Class M1            | CUSIP: 64832LAH6<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |   3750000 | PA      | $3700217.63   | 0.53%             | 2065-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2025-NQM3, Class M1B                    | CUSIP: 46659QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1303186.69   | 0.19%             | 2065-11-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2025-11, Class M1                       | CUSIP: 924935AK5<br>LEI: 213800H1O4C5SRNN4B66 | Long             | ABS-MBS          | CORP              | US        |   6800000 | PA      | $6725781.40   | 0.97%             | 2070-11-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3YT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20097428 | PA      | $16368490.79  | 2.36%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2022-61, Class HI                                             | CUSIP: 38383PQW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3155888 | PA      | $536423.99    | 0.08%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6875000 | PA      | $6039632.16   | 0.87%             | 2056-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QDV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6301113 | PA      | $5410989.95   | 0.78%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2025-NQM13, Class M1                                     | CUSIP: 67121UAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2550000 | PA      | $2561628.26   | 0.37%             | 2065-05-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| EFMT                                           | EFMT, Series 2025-NQM3, Class M1B                                          | CUSIP: 26846YAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148000 | PA      | $1151777.38   | 0.17%             | 2070-08-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-185, Class MI                                            | CUSIP: 38382LV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9330544 | PA      | $1367062.73   | 0.20%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2023-INV3, Class A1                     | CUSIP: 92540CAA5<br>LEI: 9845008F97BFO762AF95 | Long             | ABS-MBS          | CORP              | US        |    612232 | PA      | $617447.96    | 0.09%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DSND0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2201063 | PA      | $2283236.08   | 0.33%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                | BRAVO Residential Funding Trust, Series 2025-NQM7, Class M1                | CUSIP: 10570TAE5<br>LEI: 254900I1LYOO3G3UAT10 | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1455617.88   | 0.21%             | 2065-07-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-116, Class HI                                            | CUSIP: 38382HZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19170792 | PA      | $3236775.44   | 0.47%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133B6DR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8929481 | PA      | $7933575.86   | 1.14%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  61290000 | PA      | $60454066.92  | 8.70%             | 2056-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2023-NQM5, Class A1A                                     | CUSIP: 673919AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990371 | PA      | $991444.27    | 0.14%             | 2063-06-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC STACR REMICS Trust, Series 2023-HQA2, Class M1A                      | CUSIP: 35564K2F5<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | CORP              | US        |    230834 | PA      | $230934.80    | 0.03%             | 2043-06-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA REMICS, Series 2021-42, Class IA                                      | CUSIP: 3136BGAG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3124628 | PA      | $448590.08    | 0.06%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3584009 | PA      | $2913002.33   | 0.42%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-121, Class TI                                            | CUSIP: 38382VMR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27811822 | PA      | $3475868.68   | 0.50%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA REMICS, Series 2021-43                                                | CUSIP: 3136BH7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7080097 | PA      | $1093125.22   | 0.16%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-160, Class VI                                            | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5892380 | PA      | $865268.95    | 0.12%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2025-VIS2, Class M1                     | CUSIP: 46659RAF4<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1004049.80   | 0.14%             | 2055-12-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2023-7, Class A1                        | CUSIP: 92539YAA0<br>LEI: 213800W65K5FH3AI2J91 | Long             | ABS-MBS          | CORP              | US        |    491324 | PA      | $495045.85    | 0.07%             | 2068-10-25      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA REMICS, Series 2021-56, Class WI                                      | CUSIP: 3136BGL82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11597943 | PA      | $1336275.62   | 0.19%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XRA47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8211782 | PA      | $8389368.69   | 1.21%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-46, Class EI                                             | CUSIP: 38382P4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21484282 | PA      | $2640525.68   | 0.38%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1M2            | CUSIP: 20753UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2018033.20   | 0.29%             | 2044-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-146, Class DI                                            | CUSIP: 38382KWB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8783856 | PA      | $1239461.80   | 0.18%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427NTS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3903154 | PA      | $3945977.62   | 0.57%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA REMICS, Series 2024-9, Class BI                                       | CUSIP: 3136BRGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5010154 | PA      | $828834.85    | 0.12%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QTUF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2249808 | PA      | $2268688.15   | 0.33%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC REMICS, Series 5020, Class IH                                        | CUSIP: 3137FWXZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6421060 | PA      | $1103279.95   | 0.16%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-142                                                      | CUSIP: 38382XRU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1836221 | PA      | $321335.20    | 0.05%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2025-NQM8, Class M1                                      | CUSIP: 67449AAD7<br>LEI: 2549006UJL1L84XG2C80 | Long             | ABS-MBS          | CORP              | US        |   5200000 | PA      | $5240510.08   | 0.75%             | 2065-03-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5340954 | PA      | $5287458.45   | 0.76%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA REMICS, Series 2021-94                                                | CUSIP: 3136BKX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5219426 | PA      | $868940.47    | 0.13%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-126, Class KI                                            | CUSIP: 38382HWW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6680317 | PA      | $948639.05    | 0.14%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15509000 | PA      | $13042099.69  | 1.88%             | 2056-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427PR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13744141 | PA      | $11742459.45  | 1.69%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2025-NQM2, Class M1A                    | CUSIP: 46590SAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3533000 | PA      | $3553700.55   | 0.51%             | 2065-09-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQWP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3606828 | PA      | $3576807.91   | 0.51%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X6U41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5986428 | PA      | $5327248.20   | 0.77%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC REMICS, Series 5163, Class GI                                        | CUSIP: 3137H43U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9273353 | PA      | $1619174.69   | 0.23%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM3, Class M1 | CUSIP: 61778LAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3588000 | PA      | $3625704.86   | 0.52%             | 2070-05-25      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                       | Angel Oak Mortgage Trust, Series 2026-1, Class M1                          | CUSIP: 034947AH4<br>LEI: 2549004SH6MLXHN5ZV45 | Long             | ABS-MBS          | CORP              | US        |   2176000 | PA      | $2140702.67   | 0.31%             | 2071-02-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-205, Class FD                                            | CUSIP: 38385K3N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11923516 | PA      | $11933278.97  | 1.72%             | 2055-11-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2023-5, Class A1                        | CUSIP: 924934AA0<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |    810354 | PA      | $810661.88    | 0.12%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KJE24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4692555 | PA      | $3991130.72   | 0.57%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-167, Class WI                                            | CUSIP: 38382LCF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8497519 | PA      | $1188144.36   | 0.17%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC STACR REMICS Trust, Series 2024-DNA1, Class M2                       | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $6057580.20   | 0.87%             | 2044-02-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2026-NQM1, Class M1            | CUSIP: 36276EAH3<br>LEI: 254900WEVNJASLS4UV47 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2963845.50   | 0.43%             | 2066-03-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury Ultra Bonds                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -119 | NC      | $358345.47    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| COLT Mortgage Loan Trust                       | COLT Mortgage Loan Trust, Series 2026-1, Class M1                          | CUSIP: 196926AL3<br>LEI: 2138009O96115X8GVT44 | Long             | ABS-MBS          | CORP              | US        |   2675000 | PA      | $2622770.09   | 0.38%             | 2071-02-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133B1JY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15979429 | PA      | $13537524.62  | 1.95%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2386043 | PA      | $2399748.65   | 0.35%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2025-4, Class M1                        | CUSIP: 92540UAF4<br>LEI: 2138009ZO3B2B5MAHZ49 | Long             | ABS-MBS          | CORP              | US        |   1089000 | PA      | $1096467.49   | 0.16%             | 2070-05-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-136, Class IE                                            | CUSIP: 38382W3Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25475641 | PA      | $2433473.98   | 0.35%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC REMICS, Series 5083, Class IH                                        | CUSIP: 3137FFQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5706106 | PA      | $877704.12    | 0.13%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XN3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3381675 | PA      | $3470520.40   | 0.50%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-206, Class AI                                            | CUSIP: 38383DWN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3364814 | PA      | $630156.60    | 0.09%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC REMICS, Series 5531                                                  | CUSIP: 3137HKS88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10871742 | PA      | $1191193.94   | 0.17%             | 2041-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC REMICS, Series 5392, Class CI                                        | CUSIP: 3137HBWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13540537 | PA      | $2594951.92   | 0.37%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                    | HOMES Trust, Series 2026-NQM1, Class M1                                    | CUSIP: 437922AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $990837.40    | 0.14%             | 2070-09-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM5, Class M1 | CUSIP: 61779BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    682000 | PA      | $683902.92    | 0.10%             | 2070-07-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1NB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9966051 | PA      | $8859372.50   | 1.28%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396316 | PA      | $392941.84    | 0.06%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMICS Trust, Series 2022-DNA3, Class M1B                      | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1018393.40   | 0.15%             | 2042-04-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3241166 | PA      | $3143627.37   | 0.45%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DTLF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2023892 | PA      | $1800043.12   | 0.26%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-24, Class BI                                             | CUSIP: 38384JX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5152002 | PA      | $868130.44    | 0.12%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-78, Class TI                                             | CUSIP: 38382TAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7342207 | PA      | $1141594.22   | 0.16%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                     | PRPM Trust, Series 2025-NQM2, Class M1A                                    | CUSIP: 693983AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4111000 | PA      | $4155823.47   | 0.60%             | 2070-04-25      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-30

**Name of Applicant:** DoubleLine ETF Trust

**Signature:** Henry V. Chase

**Name of Signer:** Henry V. Chase

**Title:** Treasurer and Principal Financial and Accounting Officer