# EDGAR Filing Document

**Accession Number:** 0001480207
**File Stem:** 0001145549-23-011696
**Filing Date:** 2023-2
**Character Count:** 138069
**Document Hash:** ad6ca3f5541164364d8c1487ecd18b6a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-011696.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001145549-23-011696

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DoubleLine Funds Trust
- **CENTRAL INDEX KEY:** 0001480207
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22378
- **FILM NUMBER:** 23675448

**BUSINESS ADDRESS:**
- **STREET 1:** 2002 N. TAMPA ST.,
- **STREET 2:** SUITE 200
- **CITY:** TAMPA
- **STATE:** FL
- **ZIP:** 33602
- **BUSINESS PHONE:** (813) 791-7333

**MAIL ADDRESS:**
- **STREET 1:** 2002 N. TAMPA ST.,
- **STREET 2:** SUITE 200
- **CITY:** TAMPA
- **STATE:** FL
- **ZIP:** 33602

## Series and Classes Contracts Data

### Doubleline Selective Credit Fund (Series ID: S000046335)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000144794 | Class I      | DBSCX           |

## Nport-Ex

------

**DoubleLine Selective Credit Fund** 

Schedule of Investments

December 31, 2022 (Unaudited)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| **Asset Backed Obligations - 0.1%** | **Asset Backed Obligations - 0.1%** |  |  |  |
| 541331 | Waterfall Commercial Mortgage Trust, Series 2015-SBC5-A | 4.10 % (a)(b) | 01/14/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;531048 |
| **Total Asset Backed Obligations** (Cost $541,330) | **Total Asset Backed Obligations** (Cost $541,330) | **Total Asset Backed Obligations** (Cost $541,330) |  | 531048 |
| **Collateralized Loan Obligations - 0.3%** | **Collateralized Loan Obligations - 0.3%** | **Collateralized Loan Obligations - 0.3%** |  |  |
| 1000000 | Barings Ltd., Series 2015-2A-ER (3 Month LIBOR USD + 6.45%, 0.00% Floor) | 10.69 % (b) | 10/20/2030 | 843450 |
| 1000000 | Octagon Investment Partners Ltd., Series 2012-1A-DR (3 Month LIBOR USD + 7.15%, 0.00% Floor) | 11.23 % (b) | 07/15/2029 | 838778 |
| **Total Collateralized Loan Obligations** (Cost $1,980,000) | **Total Collateralized Loan Obligations** (Cost $1,980,000) |  |  | 1682228 |
| **Non-Agency Commercial Mortgage Backed Obligations - 0.5%** | **Non-Agency Commercial Mortgage Backed Obligations - 0.5%** | **Non-Agency Commercial Mortgage Backed Obligations - 0.5%** |  |  |
| 381000 | 20 Times Square Trust, Series 2018-20TS-G | 3.10 % (a)(b) | 05/15/2035 | 307173 |
| 195450 | BB-UBS Trust, Series 2012-TFT-TE | 3.56 % (a)(b)(c) | 06/05/2030 | 147812 |
| 224000 | Citigroup Commercial Mortgage Trust, Series 2015-GC27-D | 4.42 % (a)(b) | 02/10/2048 | 196397 |
| 155000 | Citigroup Commercial Mortgage Trust, Series 2016-GC36-D | 2.85 % (b) | 02/10/2049 | 84607 |
| 194000 | Commercial Mortgage Pass-Through Trust, Series 2014-CR19-C | 4.70 % (a) | 08/10/2047 | 182221 |
| 350000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFL (1 Month LIBOR USD + 2.85%, 2.60% Floor) | 7.02 % (b) | 07/05/2033 | 311835 |
| 350000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFX | 5.36 % (a)(b) | 07/05/2033 | 302501 |
| 350000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-FFX | 5.36 % (a)(b) | 07/05/2033 | 299080 |
| 250000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C | 4.47 % (a) | 10/15/2047 | 231369 |
| 350000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C | 4.00% | 12/15/2047 | 315916 |
| 409901 | Tharaldson Hotel Portfolio Trust, Series 2018-THL-E (1 Month LIBOR USD + 3.48%, 3.18% Floor) | 7.70 % (b) | 11/11/2034 | 384189 |
| **Total Non-Agency Commercial Mortgage Backed Obligations** (Cost $3,124,659) | **Total Non-Agency Commercial Mortgage Backed Obligations** (Cost $3,124,659) | **Total Non-Agency Commercial Mortgage Backed Obligations** (Cost $3,124,659) |  | 2763100 |
| **Non-Agency Residential Collateralized Mortgage Obligations - 91.7%** | **Non-Agency Residential Collateralized Mortgage Obligations - 91.7%** | **Non-Agency Residential Collateralized Mortgage Obligations - 91.7%** |  |  |
| 3827019 | Adjustable Rate Mortgage Trust, Series 2005-10-5A1 (1 Month LIBOR USD + 0.52%, 0.52% Floor, 11.00% Cap) | 4.54% | 01/25/2036 | 3368847 |
| 1750000 | AMSR Trust, Series 2020-SFR2-C | 2.53 % (b) | 07/17/2037 | 1584438 |
| 6000000 | AMSR Trust, Series 2020-SFR4-E2 | 2.46 % (b) | 11/17/2037 | 5238268 |
| 7750000 | AMSR Trust, Series 2020-SFR4-F | 2.86 % (b) | 11/17/2037 | 6730413 |
| 291457 | Angel Oak Mortgage Trust LLC, Series 2019-4-A3 | 3.30 % (a)(b) | 07/26/2049 | 289635 |
| 4500000 | Angel Oak Mortgage Trust LLC, Series 2021-5-M1 | 2.39 % (a)(b) | 07/25/2066 | 2629282 |
| 7539000 | Arroyo Mortgage Trust, Series 2019-3-M1 | 4.20 % (a)(b) | 10/25/2048 | 5946549 |
| 4758362 | Asset Backed Securities Corporation Home Equity Loan Trust, Series 2003-HE1-M3 (1 Month LIBOR USD + 5.25%, 5.25% Floor) | 9.57% | 01/15/2033 | 4366130 |
| 9500000 | Asset-Backed Pass-Through Certificates, Series 2005-R4-M6 (1 Month LIBOR USD + 1.01%, 1.01% Floor) | 5.39% | 07/25/2035 | 8067967 |
| 1037625 | Banc of America Funding Trust, Series 2006-2-2A11 | 5.50% | 03/25/2036 | 858713 |
| 945308 | Banc of America Funding Trust, Series 2007-1-TA8 | 6.35% | 01/25/2037 | 821320 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3351746 | Banc of America Funding Trust, Series 2014-R8-A2 (1 Month LIBOR USD + 0.24%, 0.24% Floor) | 4.63 % (b) | 06/26/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2797389 |
| 1276160 | Banc of America Mortgage Trust, Series 2006-3-1A10 | 6.00% | 10/25/2036 | 1034653 |
| 11168058 | BCAP LLC Trust, Series 2012-RR4-6A2 | 3.60 % (a)(b) | 11/26/2035 | 6577136 |
| 4162184 | BCAP LLC Trust, Series 2013-RR2-6A2 | 3.46 % (a)(b) | 06/26/2037 | 3206673 |
| 2516460 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-2-2A1 | 3.29 % (a) | 07/25/2036 | 2148944 |
| 2696713 | Bear Stearns ALT-A Trust, Series 2005-10-23A1 | 3.74 % (a) | 01/25/2036 | 2449793 |
| 1631688 | Bear Stearns ALT-A Trust, Series 2006-4-31A1 | 3.65 % (a) | 07/25/2036 | 1080208 |
| 1074059 | Bear Stearns Asset Backed Securities Trust, Series 2006-AC5-A1 | 6.75% | 12/25/2036 | 1050763 |
| 6327863 | Bear Stearns Asset Backed Securities Trust, Series 2006-AQ1-12A (1 Month LIBOR USD + 0.14%, 0.14% Floor) | 4.53% | 10/25/2036 | 9138040 |
| 450821 | Bear Stearns Asset Backed Securities Trust, Series 2006-IM1-A1 (1 Month LIBOR USD + 0.46%, 0.46% Floor) | 4.85% | 04/25/2036 | 453783 |
| 8576550 | BRAVO Residential Funding Trust, Series 2021-B-A1 | 2.12 % (b)(i) | 04/01/2069 | 8114042 |
| 5173783 | Carrington Mortgage Loan Trust, Series 2007-RFC1-A3 (1 Month LIBOR USD + 0.14%, 0.14% Floor, 14.50% Cap) | 4.53% | 12/25/2036 | 4921745 |
| 1666676 | Chase Mortgage Finance Trust, Series 2006-S2-1A9 | 6.25% | 10/25/2036 | 736180 |
| 3697976 | Chase Mortgage Finance Trust, Series 2006-S3-1A2 | 6.00% | 11/25/2036 | 1682102 |
| 325697 | Chase Mortgage Finance Trust, Series 2007-S3-1A12 | 6.00% | 05/25/2037 | 170140 |
| 87281 | CHL Mortgage Pass-Through Trust, Series 2006-10-1A11 | 5.85% | 05/25/2036 | 41713 |
| 1966964 | CHL Mortgage Pass-Through Trust, Series 2006-13-1A17 (-1 x 1 Month LIBOR USD + 5.65%, 0.00% Floor, 5.65% Cap) | 1.26 % (d)(f) | 09/25/2036 | 170672 |
| 1966964 | CHL Mortgage Pass-Through Trust, Series 2006-13-1A3 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.25% Cap) | 4.99% | 09/25/2036 | 578634 |
| 513226 | CHL Mortgage Pass-Through Trust, Series 2006-17-A6 | 6.00% | 12/25/2036 | 235224 |
| 1215971 | CHL Mortgage Pass-Through Trust, Series 2006-19-1A7 | 6.00% | 01/25/2037 | 634995 |
| 1599917 | CHL Mortgage Pass-Through Trust, Series 2006-9-A2 | 6.00% | 05/25/2036 | 807576 |
| 5881917 | CHL Mortgage Pass-Through Trust, Series 2007-15-1A29 | 6.25% | 09/25/2037 | 3722075 |
| 5308094 | CHL Mortgage Pass-Through Trust, Series 2007-21-1A1 | 6.25% | 02/25/2038 | 2808603 |
| 448511 | CHL Mortgage Pass-Through Trust, Series 2007-4-1A10 | 6.00% | 05/25/2037 | 215482 |
| 314552 | CHL Mortgage Pass-Through Trust, Series 2007-8-1A5 | 5.44% | 01/25/2038 | 141795 |
| 3474357 | CHL Mortgage Pass-Through Trust, Series 2007-HYB1-2A1 | 3.42 % (a) | 03/25/2037 | 2958106 |
| 603161 | Citigroup Mortgage Loan Trust, Inc., Series 2005-9-21A2 | 5.50% | 11/25/2035 | 573401 |
| 365661 | Citigroup Mortgage Loan Trust, Inc., Series 2007-AR8-1A1A | 3.31 % (a) | 08/25/2047 | 320504 |
| 1102248 | Citigroup Mortgage Loan Trust, Inc., Series 2011-12-1A2 | 3.33 % (a)(b) | 04/25/2036 | 679608 |
| 2439881 | Citigroup Mortgage Loan Trust, Inc., Series 2021-JL1-A | 2.75 % (a)(b) | 02/27/2062 | 2210003 |
| 3888322 | Citigroup Mortgage Loan Trust, Series 2009-10-2A2 | 7.00 % (a)(b) | 12/25/2035 | 2831817 |
| 9125309 | Citigroup Mortgage Loan Trust, Series 2019-A-PT1 | 3.92 % (b) | 10/25/2058 | 7572035 |
| 8948574 | Citigroup Mortgage Loan Trust, Series 2020-RP1-A1 | 1.50 % (a)(b) | 08/25/2064 | 7868473 |
| 1040000 | Citigroup Mortgage Loan Trust, Series 2020-RP1-M1 | 2.00 % (a)(b) | 08/25/2064 | 801216 |
| 874000 | Citigroup Mortgage Loan Trust, Series 2020-RP1-M2 | 2.50 % (a)(b) | 08/25/2064 | 671043 |
| 738000 | Citigroup Mortgage Loan Trust, Series 2020-RP1-M3 | 2.75 % (a)(b) | 08/25/2064 | 546273 |
| 1940103 | Citigroup Mortgage Loan Trust, Series 2020-RP1-PT5 | 7.30 % (a)(b) | 08/25/2064 | 1416342 |
| 975380 | CitiMortgage Alternative Loan Trust, Series 2006-A1-1A6 | 6.00% | 04/25/2036 | 879557 |
| 3836670 | CitiMortgage Alternative Loan Trust, Series 2006-A2-A5 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) | 4.99% | 05/25/2036 | 3399482 |
| 4225095 | CitiMortgage Alternative Loan Trust, Series 2006-A2-A6 (-1 x 1 Month LIBOR USD + 5.40%, 0.00% Floor, 5.40% Cap) | 1.01 % (d)(f) | 05/25/2036 | 175300 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 6709297 | CitiMortgage Alternative Loan Trust, Series 2007-A5-1A3 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.10% Cap) | 4.89% | 05/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5705485 |
| 6709297 | CitiMortgage Alternative Loan Trust, Series 2007-A5-1A4 (-1 x 1 Month LIBOR USD + 5.60%, 0.00% Floor, 5.60% Cap) | 1.21 % (d)(f) | 05/25/2037 | 243073 |
| 1970976 | CitiMortgage Alternative Loan Trust, Series 2007-A6-1A4 | 6.00% | 06/25/2037 | 1684601 |
| 1343191 | CitiMortgage Alternative Loan Trust, Series 2007-A6-1A5 | 6.00% | 06/25/2037 | 1148079 |
| 1841292 | CitiMortgage Alternative Loan Trust, Series 2007-A8-A1 | 6.00% | 10/25/2037 | 1604873 |
| 1781486 | Countrywide Alternative Loan Trust, Series 2004-27CB-A6 | 5.50% | 12/25/2034 | 1554207 |
| 859543 | Countrywide Alternative Loan Trust, Series 2005-28CB-2A7 | 5.75% | 08/25/2035 | 601511 |
| 2111632 | Countrywide Alternative Loan Trust, Series 2005-4-1A3 | 5.75% | 04/25/2035 | 1523108 |
| 1126977 | Countrywide Alternative Loan Trust, Series 2005-46CB-A20 | 5.50% | 10/25/2035 | 811861 |
| 3413626 | Countrywide Alternative Loan Trust, Series 2005-55CB-2A1 | 5.50% | 11/25/2035 | 2141018 |
| 2246647 | Countrywide Alternative Loan Trust, Series 2005-65CB-1A11 | 6.00% | 01/25/2036 | 1608382 |
| 168052 | Countrywide Alternative Loan Trust, Series 2005-73CB-1A3 | 6.25% | 01/25/2036 | 159035 |
| 2811561 | Countrywide Alternative Loan Trust, Series 2005-79CB-A1 (1 Month LIBOR USD + 0.55%, 0.55% Floor, 5.50% Cap) | 4.94% | 01/25/2036 | 1466514 |
| 2811561 | Countrywide Alternative Loan Trust, Series 2005-79CB-A2 (-1 x 1 Month LIBOR USD + 4.95%, 0.00% Floor, 4.95% Cap) | 0.56 % (d)(f) | 01/25/2036 | 146482 |
| 6540748 | Countrywide Alternative Loan Trust, Series 2005-80CB-4A1 | 6.00% | 02/25/2036 | 3414933 |
| 1168059 | Countrywide Alternative Loan Trust, Series 2006-14CB-A8 | 6.00% | 06/25/2036 | 661069 |
| 11070220 | Countrywide Alternative Loan Trust, Series 2006-31CB-A4 | 6.00% | 11/25/2036 | 6809831 |
| 2487015 | Countrywide Alternative Loan Trust, Series 2006-41CB-2A12 | 6.00% | 01/25/2037 | 1411558 |
| 949376 | Countrywide Alternative Loan Trust, Series 2006-41CB-2A15 | 5.75% | 01/25/2037 | 523971 |
| 2958559 | Countrywide Alternative Loan Trust, Series 2006-46-A6 | 6.00% | 02/25/2047 | 1527108 |
| 1638984 | Countrywide Alternative Loan Trust, Series 2006-7CB-2A1 | 6.50% | 05/25/2036 | 832781 |
| 950788 | Countrywide Alternative Loan Trust, Series 2006-8T1-1A4 | 6.00% | 04/25/2036 | 459781 |
| 1029688 | Countrywide Alternative Loan Trust, Series 2006-J4-2A13 | 6.00% | 07/25/2036 | 654537 |
| 2835553 | Countrywide Alternative Loan Trust, Series 2006-J4-2A8 | 6.00% | 07/25/2036 | 1802462 |
| 951687 | Countrywide Alternative Loan Trust, Series 2006-J6-A5 | 6.00% | 09/25/2036 | 530133 |
| 775098 | Countrywide Alternative Loan Trust, Series 2007-13-A4 | 6.00% | 06/25/2047 | 414105 |
| 12004478 | Countrywide Alternative Loan Trust, Series 2007-16CB-3A1 | 6.75% | 08/25/2037 | 3208354 |
| 4341782 | Countrywide Alternative Loan Trust, Series 2007-2CB-2A9 | 5.75% | 03/25/2037 | 2377313 |
| 3644733 | Countrywide Alternative Loan Trust, Series 2007-4CB-1A9 | 5.75% | 04/25/2037 | 3058139 |
| 4206519 | Countrywide Alternative Loan Trust, Series 2007-OA8-1A1 (1 Month LIBOR USD + 0.36%, 0.36% Floor) | 4.75% | 06/25/2047 | 3374996 |
| 8911843 | Countrywide Asset Backed Certificates, Series 2006-25-M1 (1 Month LIBOR USD + 0.25%, 0.25% Floor) | 4.64% | 06/25/2047 | 6892904 |
| 1054981 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-5A1 | 5.25% | 01/25/2036 | 902416 |
| 800298 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-9-3A2 | 6.00% | 10/25/2035 | 259504 |
| 3800000 | Credit Suisse Mortgage-Backed Trust, Series 2020-AFC1-M1 | 2.84 % (a)(b) | 02/25/2050 | 2907176 |
| 4202014 | Credit Suisse Mortgage-Backed Trust, Series 2022-JR1-A1 | 4.27 % (b)(i) | 10/25/2066 | 4016437 |
| 742612 | CSMC Mortgage-Backed Trust, Series 2006-6-1A10 | 6.00% | 07/25/2036 | 397708 |
| 3701566 | CSMC Mortgage-Backed Trust, Series 2006-7-10A1 | 6.75% | 08/25/2036 | 2169127 |
| 393926 | CSMC Mortgage-Backed Trust, Series 2008-2R-1A1 | 6.00 % (b)(c) | 07/25/2037 | 304620 |
| 2335056 | CSMC Trust, Series 2009-9R-10A2 | 5.50 % (b) | 12/26/2035 | 1401040 |
| 12559357 | CSMC Trust, Series 2020-RPL1-PT1 | 3.35 % (a)(b) | 10/25/2069 | 9986856 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 1791512 | CSMC Trust, Series 2021-JR1-A1 | 2.47 % (a)(b) | 09/27/2066 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1711632 |
| 2590134 | CSMC Trust, Series 2021-JR2-A1 | 2.22 % (a)(b) | 11/25/2061 | 2458256 |
| 619202 | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6-2A1 | 5.50% | 12/25/2035 | 526060 |
| 215115 | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A1A | 6.01 % (a) | 10/25/2036 | 188092 |
| 593627 | Deutsche Mortgage Securities, Inc., Series 2009-RS2-1A2 | 4.44 % (a)(b) | 09/26/2036 | 533501 |
| 4735000 | Ellington Financial Mortgage Trust, Series 2019-2-B1 | 4.07 % (a)(b) | 11/25/2059 | 3691343 |
| 543426 | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8-1A3 | 5.50% | 11/25/2035 | 288617 |
| 1764255 | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA3-A8 | 6.00% | 06/25/2037 | 734073 |
| 1898423 | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4-1A4 | 6.25% | 08/25/2037 | 818783 |
| 129964 | First Horizon Mortgage Pass-Through Trust, Series 2006-1-1A2 | 6.00% | 05/25/2036 | 64299 |
| 3000000 | FirstKey Homes Trust, Series 2020-SFR1-F1 | 3.64 % (b) | 08/17/2037 | 2708268 |
| 9500000 | FirstKey Homes Trust, Series 2020-SFR2-D | 1.97 % (b) | 10/19/2037 | 8334965 |
| 9500000 | FirstKey Homes Trust, Series 2020-SFR2-E | 2.67 % (b) | 10/19/2037 | 8388873 |
| 10000000 | FMC GMSR Issuer Trust, Series 2021-GT1-A | 3.62 % (a)(b) | 07/25/2026 | 8148765 |
| 10161558 | Fremont Home Loan Trust, Series 2006-D-2A4 (1 Month LIBOR USD + 0.22%, 0.22% Floor) | 4.61% | 11/25/2036 | 3791331 |
| 2150000 | FWD Securitization Trust, Series 2019-INV1-M1 | 3.48 % (a)(b) | 06/25/2049 | 1673834 |
| 4427406 | GreenPoint Mortgage Funding Trust, Series 2005-AR4-3A1 (12 Month US Treasury Average + 1.40%, 1.40% Floor) | 3.45% | 10/25/2045 | 3466615 |
| 8089845 | GSAMP Trust, Series 2007-NC1-A1 (1 Month LIBOR USD + 0.13%, 0.13% Floor) | 4.52% | 12/25/2046 | 4363213 |
| 285925 | GSR Mortgage Loan Trust, Series 2006-2F-3A4 | 6.00% | 02/25/2036 | 150237 |
| 1614262 | GSR Mortgage Loan Trust, Series 2006-9F-5A2 (-1 x 1 Month LIBOR USD + 6.55%, 0.00% Floor, 6.55% Cap) | 2.16 % (d)(f) | 10/25/2036 | 226097 |
| 1614262 | GSR Mortgage Loan Trust, Series 2006-9F-5A3 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) | 4.84% | 10/25/2036 | 632602 |
| 773796 | GSR Mortgage Loan Trust, Series 2007-1F-3A14 | 5.75% | 01/25/2037 | 517744 |
| 1697627 | GSR Mortgage Loan Trust, Series 2007-2F-3A3 | 6.00% | 03/25/2037 | 968149 |
| 4457469 | Harborview Mortgage Loan Trust, Series 2006-BU1-1A1A (1 Month LIBOR USD + 0.42%, 0.42% Floor, 10.50% Cap) | 4.76% | 02/19/2046 | 3714927 |
| 3739343 | Harborview Mortgage Loan Trust, Series 2007-7-1A1 (1 Month LIBOR USD + 2.00%, 0.00% Floor, 10.50% Cap) | 5.39% | 10/25/2037 | 3133623 |
| 3689721 | Home Partners of America Trust, Series 2019-2-C | 3.02 % (b) | 10/19/2039 | 3116951 |
| 3926217 | Home Partners of America Trust, Series 2019-2-D | 3.12 % (b) | 10/19/2039 | 3274632 |
| 7390527 | Home Partners of America Trust, Series 2019-2-E | 3.32 % (b) | 10/19/2039 | 6107854 |
| 2115671 | HSI Asset Loan Obligation Trust, Series 2007-1-3A6 | 6.00% | 06/25/2037 | 1083890 |
| 3505128 | IndyMac IMSC Mortgage Loan Trust, Series 2007-AR1-3A1 | 3.32 % (a) | 06/25/2037 | 2874598 |
| 1839136 | JP Morgan Alternative Loan Trust, Series 2006-S4-A4 | 6.46% | 12/25/2036 | 1745484 |
| 2383332 | JP Morgan Alternative Loan Trust, Series 2008-R2-A1 | 6.00 % (a)(b) | 11/25/2036 | 1389858 |
| 360435 | JP Morgan Mortgage Trust, Series 2005-S3-1A1 | 6.50% | 01/25/2036 | 196118 |
| 1326520 | JP Morgan Mortgage Trust, Series 2006-A5-3A2 | 3.55 % (a) | 08/25/2036 | 1094153 |
| 1899465 | JP Morgan Mortgage Trust, Series 2007-S1-2A8 | 5.75% | 03/25/2037 | 832660 |
| 935091 | Lavender Trust, Series 2010-R11A-A4 | 1.51 % (a)(b) | 10/26/2036 | 426061 |
| 11345133 | Legacy Mortgage Asset Trust, Series 2019-GS7-A2 | 7.50 % (b)(i) | 11/25/2059 | 10668714 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 12078873 | Legacy Mortgage Asset Trust, Series 2019-RPL3-PT1 | 0.00 % (b) | 06/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp;10168232 |
| 5000000 | Legacy Mortgage Asset Trust, Series 2020-SL1-M | 3.25 % (a)(b) | 01/25/2060 | 4602509 |
| 1724171 | Lehman Mortgage Trust, Series 2006-17-1A4A (1 Month LIBOR USD + 0.34%, 0.34% Floor) | 4.73% | 08/25/2046 | 1512050 |
| 852368 | Lehman Mortgage Trust, Series 2007-1-1A2 | 5.75% | 02/25/2037 | 813556 |
| 1395709 | Lehman Mortgage Trust, Series 2007-1-2A2 (1 Month LIBOR USD + 0.20%, 0.20% Floor) | 4.59 % (b) | 06/25/2037 | 991403 |
| 5443590 | Lehman Mortgage Trust, Series 2007-1-2A3 (1 Month LIBOR USD + 0.23%, 0.23% Floor) | 4.62 % (b) | 06/25/2037 | 3869184 |
| 3000000 | LHOME Mortgage Trust, Series 2021-RTL1-A2 | 2.86 % (a)(b) | 02/25/2026 | 2672084 |
| 6849006 | Long Beach Mortgage Loan Trust, Series 2006-2-2A4 (1 Month LIBOR USD + 0.58%, 0.58% Floor) | 4.97% | 03/25/2046 | 2533198 |
| 4660793 | MASTR Adjustable Rate Mortgages Trust, Series 2005-6-3A2 | 3.06 % (a) | 07/25/2035 | 1809343 |
| 1016379 | MASTR Alternative Loans Trust, Series 2004-10-5A5 | 5.75% | 09/25/2034 | 936818 |
| 16005923 | MASTR Asset Backed Securities Trust, Series 2006-WMC3-A1 (1 Month LIBOR USD + 0.27%, 0.27% Floor) | 4.66% | 08/25/2036 | 6221422 |
| 1353947 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A6 | 6.00% | 03/25/2037 | 542073 |
| 1028554 | Merrill Lynch Mortgage Investors Trust, Series 2006-AF1-AF3B | 6.25% | 08/25/2036 | 458382 |
| 4600000 | MFA Trust, Series 2021-NQM2-M1 | 2.37 % (a)(b) | 11/25/2064 | 2581456 |
| 3654285 | Morgan Stanley Mortgage Loan Trust, Series 2005-10-4A1 | 5.50% | 12/25/2035 | 2267025 |
| 690911 | Morgan Stanley Mortgage Loan Trust, Series 2007-12-3A4 | 6.25% | 08/25/2037 | 312668 |
| 2300000 | New Residential Mortgage Loan Trust, Series 2019-NQM4-B1 | 3.74 % (a)(b) | 09/25/2059 | 1787127 |
| 4500000 | NMLT Trust, Series 2021-INV2-B1 | 3.32 % (a)(b) | 08/25/2056 | 2632552 |
| 3191577 | Nomura Asset Acceptance Corporation, Series 2006-AP1-A2 | 5.52 % (a) | 01/25/2036 | 984288 |
| 819960 | Nomura Asset Acceptance Corporation, Series 2007-1-1A1A | 6.00 % (i) | 03/25/2047 | 756888 |
| 6950495 | Opteum Mortgage Acceptance Corporation Trust, Series 2006-2-A1C (1 Month LIBOR USD + 0.54%, 0.54% Floor) | 4.93% | 07/25/2036 | 2824720 |
| 2601705 | PMT Credit Risk Transfer Trust, Series 2019-3R-A (1 Month LIBOR USD + 3.70%, 2.70% Floor) | 8.09 % (b) | 11/27/2031 | 2497954 |
| 1812346 | PMT Credit Risk Transfer Trust, Series 2021-1R-A (1 Month LIBOR USD + 2.90%, 2.90% Floor) | 7.29 % (b) | 02/27/2024 | 1737859 |
| 10000000 | PMT Credit Risk Transfer Trust, Series 2021-FT1-A (1 Month LIBOR USD + 3.00%, 3.00% Floor) | 7.39 % (b) | 03/25/2026 | 9721088 |
| 387644 | PR Mortgage Loan Trust, Series 2014-1-APT | 5.87 % (a)(b) | 10/25/2049 | 350542 |
| 2802164 | Pretium Mortgage Credit Partners LLC, Series 2021-RN2-A1 | 1.74 % (b)(i) | 07/25/2051 | 2543614 |
| 4063157 | Pretium Mortgage Credit Partners LLC, Series 2021-RN3-A1 | 1.84 % (b)(i) | 09/25/2051 | 3641440 |
| 2212547 | PRPM LLC, Series 2020-4-A1 | 2.95 % (b)(i) | 10/25/2025 | 2141695 |
| 4089147 | PRPM LLC, Series 2021-2-A1 | 2.12 % (a)(b) | 03/25/2026 | 3784335 |
| 9800000 | PRPM LLC, Series 2021-2-A2 | 3.77 % (a)(b) | 03/25/2026 | 8436163 |
| 4544641 | PRPM LLC, Series 2021-6-A1 | 1.79 % (b)(i) | 07/25/2026 | 4125571 |
| 5987000 | PRPM LLC, Series 2021-6-A2 | 3.47 % (b)(i) | 07/25/2026 | 4983648 |
| 3186857 | PRPM LLC, Series 2021-7-A1 | 1.87 % (b)(i) | 08/25/2026 | 2904748 |
| 483158 | RBSGC Mortgage Loan Trust, Series 2007-A-2A4 | 6.25% | 01/25/2037 | 433148 |
| 15336140 | Renaissance Home Equity Loan Trust, Series 2006-2-AF2 | 5.76 % (i) | 08/25/2036 | 6174238 |
| 9024934 | Renaissance Home Equity Loan Trust, Series 2006-3-AF4 | 5.81 % (i) | 11/25/2036 | 3508755 |
| 1308801 | Residential Accredit Loans, Inc., Series 2005-QS12-A3 | 5.50% | 08/25/2035 | 1102147 |
| 970820 | Residential Accredit Loans, Inc., Series 2005-QS13-1A6 | 5.50% | 09/25/2035 | 781149 |
| 371227 | Residential Accredit Loans, Inc., Series 2006-QS12-1A1 | 6.50% | 09/25/2036 | 176330 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 1792496 | Residential Accredit Loans, Inc., Series 2006-QS12-2A12 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 7.50% Cap) | 4.59% | 09/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1266875 |
| 1792496 | Residential Accredit Loans, Inc., Series 2006-QS12-2A13 | 3.00 % (d)(e) | 09/25/2036 | 197840 |
| 2062069 | Residential Accredit Loans, Inc., Series 2006-QS18-1A4 | 6.25% | 12/25/2036 | 1764708 |
| 2202264 | Residential Accredit Loans, Inc., Series 2006-QS3-1A14 | 6.00% | 03/25/2036 | 1839389 |
| 704776 | Residential Accredit Loans, Inc., Series 2006-QS7-A2 | 6.00% | 06/25/2036 | 559274 |
| 646575 | Residential Accredit Loans, Inc., Series 2007-QS11-A1 | 7.00% | 10/25/2037 | 496421 |
| 4915243 | Residential Accredit Loans, Inc., Series 2007-QS1-1A2 (-1 x 1 Month LIBOR USD + 5.45%, 0.00% Floor, 5.45% Cap) | 1.06 % (d)(f) | 01/25/2037 | 271968 |
| 4915243 | Residential Accredit Loans, Inc., Series 2007-QS1-1A5 (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.00% Cap) | 4.94% | 01/25/2037 | 3436202 |
| 365970 | Residential Accredit Loans, Inc., Series 2007-QS5-A1 | 5.50% | 03/25/2037 | 283283 |
| 4138011 | Residential Asset Securitization Trust, Series 2006-A12-A1 | 6.25% | 11/25/2036 | 1641806 |
| 941522 | Residential Asset Securitization Trust, Series 2006-A8-1A1 | 6.00% | 08/25/2036 | 619516 |
| 63575 | Residential Funding Mortgage Securities Trust, Series 2006-SA2-3A1 | 4.88 % (a) | 08/25/2036 | 58294 |
| 9683552 | Securitized Asset Backed Receivables LLC Trust, Series 2006-NC1-A3 (1 Month LIBOR USD + 0.54%, 0.54% Floor) | 4.93% | 03/25/2036 | 8625314 |
| 183826 | Sequoia Mortgage Trust, Series 2013-9-AP | 0.00 % (b)(g) | 07/25/2043 | 129830 |
| 1507661 | Starwood Mortgage Residential Trust, Series 2020-3-A1 | 1.49 % (a)(b) | 04/25/2065 | 1386833 |
| 2440053 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17-5A1 | 3.78 % (a) | 08/25/2035 | 1426581 |
| 1290036 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-22-4A1 | 4.26 % (a) | 12/25/2035 | 1142119 |
| 853164 | Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1-A2 | 3.55 % (a) | 10/25/2037 | 681517 |
| 2905318 | Structured Asset Mortgage Investments Trust, Series 2006-AR6-1A1 (1 Month LIBOR USD + 0.36%, 0.36% Floor, 10.50% Cap) | 4.75% | 07/25/2046 | 2381505 |
| 3025509 | Structured Asset Mortgage Investments Trust, Series 2006-AR6-1A3 (1 Month LIBOR USD + 0.38%, 0.38% Floor, 10.50% Cap) | 4.77% | 07/25/2046 | 2261203 |
| 4581512 | Structured Asset Mortgage Investments Trust, Series 2006-AR7-A1A (1 Month LIBOR USD + 0.42%, 0.42% Floor, 10.50% Cap) | 4.81% | 08/25/2036 | 3609912 |
| 3949687 | Structured Asset Mortgage Investments Trust, Series 2007-AR3-2A1 (1 Month LIBOR USD + 0.19%, 0.19% Floor, 10.50% Cap) | 4.58% | 09/25/2047 | 3445970 |
| 4500000 | Structured Asset Securities Corporation, Series 2007-BC4-M1 (1 Month LIBOR USD + 0.50%, 0.50% Floor) | 4.89% | 11/25/2037 | 3282527 |
| 14054415 | Structured Asset Securities Corporation, Series 2007-RF1-1A (1 Month LIBOR USD + 0.19%, 0.19% Floor) | 4.58 % (b) | 03/25/2037 | 11512247 |
| 4300000 | TVC Mortgage Trust, Series 2020-RTL1-A2 | 3.97 % (b)(i) | 09/25/2024 | 4174959 |
| 3827802 | VCAT LLC, Series 2021-NPL5-A1 | 1.87 % (b)(i) | 08/25/2051 | 3373439 |
| 3926739 | VCAT LLC, Series 2021-NPL6-A1 | 1.92 % (b)(i) | 09/25/2051 | 3439103 |
| 1034326 | Velocity Commercial Capital Loan Trust, Series 2019-1-M6 | 6.79 % (a)(b) | 03/25/2049 | 800548 |
| 437648 | Velocity Commercial Capital Loan Trust, Series 2019-2-M5 | 4.93 % (a)(b) | 07/25/2049 | 371688 |
| 1887685 | Velocity Commercial Capital Loan Trust, Series 2019-2-M6 | 6.30 % (a)(b) | 07/25/2049 | 1515345 |
| 1244863 | Velocity Commercial Capital Loan Trust, Series 2020-1-M6 | 5.69 % (a)(b) | 02/25/2050 | 1039867 |
| 1639787 | Velocity Commercial Capital Loan Trust, Series 2021-1-M3 | 2.57 % (a)(b) | 05/25/2051 | 1231284 |
| 4006589 | Velocity Commercial Capital Loan Trust, Series 2021-1-M4 | 2.85 % (a)(b) | 05/25/2051 | 2937202 |
| 3782366 | Velocity Commercial Capital Loan Trust, Series 2021-2-M4 | 3.08 % (a)(b) | 08/25/2051 | 2699130 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 2200000 | Verus Securitization Trust, Series 2020-1-B1 | 3.62 % (a)(b) | 01/25/2060 | 1564057 |
| 4048412 | Verus Securitization Trust, Series 2020-4-A1 | 1.50 % (b)(i) | 05/25/2065 | 3627597 |
| 6685000 | Verus Securitization Trust, Series 2021-6-B1 | 4.05 % (a)(b) | 10/25/2066 | 4096009 |
| 2073000 | Verus Securitization Trust, Series 2021-R2-B1 | 3.25 % (a)(b) | 02/25/2064 | 1510592 |
| 4261532 | VOLT LLC, Series 2021-NPL6-A1 | 2.24 % (b)(i) | 04/25/2051 | 3770529 |
| 967187 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-10-2A8 | 6.00% | 11/25/2035 | 902767 |
| 2651290 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-5-2CB6 | 6.00% | 07/25/2036 | 1817504 |
| 6214410 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR11-1A (12 Month US Treasury Average + 0.96%, 0.96% Floor) | 3.01% | 09/25/2046 | 5041494 |
| 10353064 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR18-1A1 | 2.71 % (a) | 01/25/2037 | 8887757 |
| 1899451 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-2-1A6 | 6.00% | 04/25/2037 | 1522687 |
| 107067 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-4-1A1 | 5.50% | 06/25/2037 | 97624 |
| 7238901 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY7-3A1 | 3.52 % (a) | 07/25/2037 | 6573492 |
| 528549 | Wells Fargo Alternative Loan Trust, Series 2007-PA3-1A4 | 5.75% | 07/25/2037 | 422540 |
| 439936 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR4-2A1 | 2.88 % (a) | 04/25/2036 | 410757 |
| 2446079 | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A1 | 6.00% | 06/25/2037 | 2053303 |
|  **Total Non-Agency Residential Collateralized Mortgage Obligations** (Cost $663,698,657) | **Total Non-Agency Residential Collateralized Mortgage Obligations** (Cost $663,698,657) | **Total Non-Agency Residential Collateralized Mortgage Obligations** (Cost $663,698,657) | **Total Non-Agency Residential Collateralized Mortgage Obligations** (Cost $663,698,657) | 528988852 |
|  **Short Term Investments - 7.7%** | **Short Term Investments - 7.7%** | **Short Term Investments - 7.7%** | **Short Term Investments - 7.7%** | **Short Term Investments - 7.7%** |
| 14746852 | First American Government Obligations Fund - Class U | 4.10 % (h) |  | 14746852 |
| 14746852 | JP Morgan U.S. Government Money Market Fund - Institutional Share Class | 4.11 % (h) |  | 14746852 |
| 14746852 | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | 4.11 % (h) |  | 14746852 |
|  **Total Short Term Investments** (Cost $44,240,556) | **Total Short Term Investments** (Cost $44,240,556) |  |  | 44240556 |
|  **Total Investments - 100.3%** (Cost $713,585,202)  | **Total Investments - 100.3%** (Cost $713,585,202)  |  |  | 578205784 |
| Liabilities in Excess of Other Assets - (0.3)% | Liabilities in Excess of Other Assets - (0.3)% |  |  | (1744175) |
|  **NET ASSETS - 100.0%** | **NET ASSETS - 100.0%** |  |  | $**576461609** |

---

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the
weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold
in transactions exempt from registration to qualified institutional buyers.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Value determined using significant unobservable inputs.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Interest only security

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) Coupon rate is variable or floats based on components including but not limited to reference rate and spread.
These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates.
Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) Principal only security

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) Seven-day yield as of period end

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate
in effect as of period end.

------

**<u>SECURITY TYPE BREAKDOWN as a % of Net Assets:</u>**

---

| | |
|:---|:---|
|  Non-Agency Residential Collateralized Mortgage Obligations | 91.7% |
|  Short Term Investments | 7.7% |
|  Non-Agency Commercial Mortgage Backed Obligations | 0.5% |
|  Collateralized Loan Obligations | 0.3% |
|  Asset Backed Obligations | 0.1% |
|  Other Assets and Liabilities | (0.3)% |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100.0% |

---

------

Notes to Schedule of Investments

December 31, 2022 (Unaudited)

------

**1. Organization** 

The Fund is a separate investment series of DoubleLine Funds Trust (the "Trust"). The Fund commenced operations on August 4, 2014 and was originally classified as a non-diversified fund. The Fund is currently operating as a diversified fund. Currently under the Investment Company Act of 1940, as amended (the "1940 Act"), a diversified fund generally may not, with respect to 75% of its total assets, invest more than 5% of its total assets in the securities of any one issuer or own more than 10% of the outstanding voting securities of such issuer (except, in each case, U.S. Government securities, cash, cash items and the securities of other investment companies). The remaining 25% of a fund's total assets is not subject to this limitation. Shares of the Fund may currently be purchased in transactions by the Adviser or its affiliates acting in their capacity as investment adviser (or in a similar capacity) for clients, including separately managed private accounts, investment companies registered under the 1940 Act, and other funds, each of which must be an "accredited investor" as defined in Regulation D under the Securities Act. The Fund also may permit purchases of shares by (i) qualified employees, officers and Trustees of the Fund and their qualified family members; (ii) qualified employees and officers of the Adviser or DoubleLine Group LP and their qualified family members; (iii) qualified affiliates of the Adviser or DoubleLine Group LP; and (iv) other qualified accounts. The Fund's investment objective is to seek long-term total return.

**2. Significant Accounting Policies** 

The Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946, "Financial Services—Investment Companies", by the Financial Accounting Standards Board ("FASB"). The following is a summary of the significant accounting policies of the Fund. These policies are in conformity with accounting principles generally accepted in the United States of America ("US GAAP").

**A. Security Valuation.** The Fund has adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:

• Level 1—Unadjusted quoted market prices in active markets for identical securities

• Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from
observable market data

• Level 3—Significant unobservable inputs (including the reporting entity's estimates and assumptions)

Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3. Assets and liabilities may be transferred between levels.

---

| | |
|:---|:---|
| Fixed-income class | Examples of Inputs |
| All | Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as "standard inputs") |
| Corporate bonds and notes; convertible securities | Standard inputs and underlying equity of the issuer |
| US bonds and notes of government and government agencies | Standard inputs |
| Residential and commercial mortgage-backed obligations; asset-backed obligations (including collateralized loan obligations) | Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports |

---

Investments in registered open-end management investment companies will be valued based upon the net asset value ("NAV") of such investments and are categorized as Level 1 of the fair value hierarchy.

The Board of Trustees (the "Board") has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund's NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated the Adviser as its "Valuation Designee" to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

------

The following is a summary of the fair valuations according to the inputs used to value the Fund's investments as of December 31, 2022:

---

| | |
|:---|:---|
| **Category** |  |
|  **Investments in Securities** |  |
|  Level 1 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | $44240556 |
|  Total Level 1 | 44240556 |
|  Level 2 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | 528684232 |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | 2615288 |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateralized Loan Obligations | 1682228 |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | 531048 |
|  Total Level 2 | 533512796 |
|  Level 3 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | 304620 |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | 147812 |
|  Total Level 3 | 452432 |
|  Total | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;578205784 |

---

*See the Schedule of Investments for further disaggregation of investment categories.*

## 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 Funds Trust

- **b. Investment Company Act file number:** 811-22378

- **c. CIK number of Registrant:** 0001480207

- **d. LEI of Registrant:** 549300MUFFXFRMY0RH66

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

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

  - **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 Selective Credit Fund

- **b. EDGAR series identifier (if any):** S000046335

- **c. LEI of Series:** 549300NSETB01KGP1591

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

- **a. Date of fiscal year-end:** 2023-03-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $580466994.06

**Total Liabilities:** $4012434.14

**Net Assets:** $576454559.92

**Cash Not Reported:** $51115.34

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 54.000000000000 | **1-Year:** 10716.000000000000 | **5-Year:** 19380.000000000000 | **10-Year:** 6760.000000000000 | **30-Year:** 1000.000000000000

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

- **3-Month:** 2361.000000000000 | **1-Year:** 33419.000000000000 | **5-Year:** 89153.000000000000 | **10-Year:** 33403.000000000000 | **30-Year:** 1539.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000144794 | -1.99%               | 0.02%                | 0.62%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $123.35                  | $-15270665.87                              |
| Month 2  | $69.35                   | $-3171862.46                               |
| Month 3  | $-1218193.02             | $410316.56                                 |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                           | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMSR Trust                     | AMSR 2020-SFR2 Trust                                                            | CUSIP: 00178UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1584437.58   | 0.27%             | 2037-07-17      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust | Adjustable Rate Mortgage Trust 2005-10                                          | CUSIP: 007036TM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3827019 | PA      | $3368846.64   | 0.58%             | 2036-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-14CB                                                | CUSIP: 021468AH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1168059 | PA      | $661069.18    | 0.11%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-46                                                  | CUSIP: 02147JAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2958559 | PA      | $1527108.29   | 0.26%             | 2047-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-4CB                                                 | CUSIP: 02148FAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3644733 | PA      | $3058138.80   | 0.53%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-41CB                                                | CUSIP: 02149CBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    949376 | PA      | $523971.38    | 0.09%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-13                                                  | CUSIP: 02150MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775098 | PA      | $414105.29    | 0.07%             | 2047-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-16CB                                                | CUSIP: 02152AAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12004478 | PA      | $3208354.01   | 0.56%             | 2037-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities | Asset-Backed Pass-Through Certificates Series 2005-R4                           | CUSIP: 03072SC78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9500000 | PA      | $8067967.15   | 1.40%             | 2035-07-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust I LLC 2019-4                                           | CUSIP: 03463UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291457 | PA      | $289635.15    | 0.05%             | 2049-07-26      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2021-5                                                 | CUSIP: 03465HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $2629281.60   | 0.46%             | 2066-07-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust          | Arroyo Mortgage Trust 2019-3                                                    | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7539000 | PA      | $5946549.09   | 1.03%             | 2048-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H | Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1             | CUSIP: 04541GDM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4758362 | PA      | $4366130.30   | 0.76%             | 2033-01-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                   | BB-UBS Trust                                                                    | CUSIP: 05490AAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195450 | PA      | $147812.00    | 0.03%             | 2030-06-05      | Variable      | 3.56%                 | No            |                  3 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2012-RR4 Trust                                                         | CUSIP: 05540XBR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11168058 | PA      | $6577136.16   | 1.14%             | 2035-11-26      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2013-RR2 Trust                                                         | CUSIP: 05542GBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4162184 | PA      | $3206672.47   | 0.56%             | 2037-06-26      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2006-2 Trust                                            | CUSIP: 05949QAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1037625 | PA      | $858712.64    | 0.15%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur | Banc of America Mortgage 2006-3 Trust                                           | CUSIP: 05950LAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1276160 | PA      | $1034653.05   | 0.18%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2007-1 Trust                                            | CUSIP: 05951FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    945308 | PA      | $821319.95    | 0.14%             | 2037-01-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor | Banc of America Funding 2014-R8 Trust                                           | CUSIP: 05969MAB5<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |   3351746 | PA      | $2797388.55   | 0.49%             | 2036-06-26      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                 | Barings Clo Ltd 2015-II                                                         | CUSIP: 06759GAA2<br>LEI: 549300Y5E22C3P2S6J52 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $843450.30    | 0.15%             | 2030-10-20      | Floating      | 10.69%                | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2005-10                                                | CUSIP: 07386HZG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2696713 | PA      | $2449793.35   | 0.42%             | 2036-01-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-4                                                 | CUSIP: 073871BL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1631688 | PA      | $1080208.34   | 0.19%             | 2036-07-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-IM1                           | CUSIP: 07387UFD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450821 | PA      | $453783.01    | 0.08%             | 2036-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M | Bear Stearns ARM Trust 2006-2                                                   | CUSIP: 07388DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2516460 | PA      | $2148944.35   | 0.37%             | 2036-07-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-AQ1                           | CUSIP: 07389PAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6327863 | PA      | $9138039.96   | 1.59%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2021-B                                          | CUSIP: 10568JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8576550 | PA      | $8114041.98   | 1.41%             | 2069-04-01      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-13                                         | CUSIP: 12543TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1966964 | PA      | $578633.46    | 0.10%             | 2036-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-13                                         | CUSIP: 12543TAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1966964 | PA      | $170671.52    | 0.03%             | 2036-09-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-19                                         | CUSIP: 12543XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1215971 | PA      | $634995.38    | 0.11%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-4                                          | CUSIP: 12544RAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    448511 | PA      | $215482.38    | 0.04%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-8                                          | CUSIP: 12545AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314552 | PA      | $141794.46    | 0.02%             | 2038-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2022-JR1                                                                   | CUSIP: 12546WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4202014 | PA      | $4016437.33   | 0.70%             | 2066-10-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A5                              | CUSIP: 12566WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6709297 | PA      | $5705485.17   | 0.99%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A5                              | CUSIP: 12566WAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6709297 | PA      | $243072.48    | 0.04%             | 2037-05-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust            | COMM 2014-CCRE19 Mortgage Trust                                                 | CUSIP: 12592GBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    194000 | PA      | $182220.63    | 0.03%             | 2047-08-10      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2020-AFC1 Trust                                                            | CUSIP: 12597MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3800000 | PA      | $2907176.32   | 0.50%             | 2050-02-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2009-9R                                                             | CUSIP: 12642HEL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2335056 | PA      | $1401040.32   | 0.24%             | 2035-12-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2020-RPL1 Trust                                                            | CUSIP: 12656EBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12559357 | PA      | $9986855.58   | 1.73%             | 2069-10-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-JR1 Trust                                                             | CUSIP: 12657XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1791512 | PA      | $1711631.85   | 0.30%             | 2066-09-27      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2021-JR2 Trust                                                             | CUSIP: 12659NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2590134 | PA      | $2458255.53   | 0.43%             | 2061-11-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-4                                                   | CUSIP: 12667F7A7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2111632 | PA      | $1523107.51   | 0.26%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2004-27CB                                                | CUSIP: 12667FWZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1781486 | PA      | $1554206.57   | 0.27%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-28CB                                                | CUSIP: 12667GYF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    859543 | PA      | $601510.98    | 0.10%             | 2035-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2006-25                                   | CUSIP: 12667TAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8911843 | PA      | $6892903.80   | 1.20%             | 2047-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-46CB                                                | CUSIP: 12668ABD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1126977 | PA      | $811860.69    | 0.14%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-55CW                                                | CUSIP: 12668AMY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3413626 | PA      | $2141018.33   | 0.37%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-73CB                                                | CUSIP: 12668AT88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168052 | PA      | $159035.29    | 0.03%             | 2036-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-65CB                                                | CUSIP: 12668AY58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2246647 | PA      | $1608381.56   | 0.28%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-79CB                                                | CUSIP: 12668BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2811561 | PA      | $1466513.46   | 0.25%             | 2036-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-79CB                                                | CUSIP: 12668BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2811561 | PA      | $146482.06    | 0.03%             | 2036-01-25      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2005-80CB                                                | CUSIP: 12668BGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6540748 | PA      | $3414932.96   | 0.59%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-8T1                                                 | CUSIP: 12668BMH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950788 | PA      | $459781.30    | 0.08%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-7CB                                                 | CUSIP: 12668BYM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1638984 | PA      | $832780.94    | 0.14%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-10                                         | CUSIP: 1266942H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87281 | PA      | $41712.53     | 0.01%             | 2036-05-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust | Carrington Mortgage Loan Trust Series 2007-RFC1                                 | CUSIP: 144526AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5173783 | PA      | $4921745.08   | 0.85%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S3                                     | CUSIP: 16162XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3697976 | PA      | $1682102.15   | 0.29%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2007-S3                                     | CUSIP: 16163HAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325697 | PA      | $170140.37    | 0.03%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-17                                         | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513226 | PA      | $235224.27    | 0.04%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-15                                         | CUSIP: 17025TBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5881917 | PA      | $3722074.85   | 0.65%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-21                                         | CUSIP: 17025WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5308094 | PA      | $2808603.02   | 0.49%             | 2038-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GL22<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    603161 | PA      | $573401.38    | 0.10%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A1                              | CUSIP: 17309AAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975380 | PA      | $879557.16    | 0.15%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2007-AR8                                          | CUSIP: 17313FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365661 | PA      | $320503.62    | 0.06%             | 2047-08-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A8                              | CUSIP: 17313MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1841292 | PA      | $1604872.94   | 0.28%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2009-10                                           | CUSIP: 17316AAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3888322 | PA      | $2831816.58   | 0.49%             | 2035-12-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2011-12                                           | CUSIP: 17318WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1102248 | PA      | $679608.19    | 0.12%             | 2036-04-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2015-GC27                                   | CUSIP: 17323CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224000 | PA      | $196396.61    | 0.03%             | 2048-02-10      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage  | Citigroup Commercial Mortgage Trust 2016-GC36                                   | CUSIP: 17324TAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $84607.35     | 0.01%             | 2049-02-10      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2019-A                                            | CUSIP: 17327JBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9125309 | PA      | $7572035.40   | 1.31%             | 2058-10-25      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2021-JL1                                          | CUSIP: 17329CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2439881 | PA      | $2210002.78   | 0.38%             | 2062-02-27      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A6                              | CUSIP: 18976GAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1970976 | PA      | $1684601.28   | 0.29%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2007-A6                              | CUSIP: 18976GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1343191 | PA      | $1148078.74   | 0.20%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2007-HYB1                                       | CUSIP: 22239EAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3474357 | PA      | $2958106.13   | 0.51%             | 2037-03-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9                    | CUSIP: 225470AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800298 | PA      | $259504.25    | 0.05%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 225470RW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1054981 | PA      | $902415.97    | 0.16%             | 2036-01-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2008-2R                                                             | CUSIP: 225492AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    393926 | PA      | $304620.11    | 0.05%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                               | CUSIP: 22942JAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    742612 | PA      | $397708.22    | 0.07%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-7                                               | CUSIP: 22942KCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3701566 | PA      | $2169126.59   | 0.38%             | 2036-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J4                                                  | CUSIP: 23242WAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2835553 | PA      | $1802461.76   | 0.31%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J4                                                  | CUSIP: 23242WAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1029688 | PA      | $654536.52    | 0.11%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-J6                                                  | CUSIP: 23244EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    951687 | PA      | $530133.41    | 0.09%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6                 | CUSIP: 251510KF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    619202 | PA      | $526059.99    | 0.09%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC  | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                   | CUSIP: 251513AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215115 | PA      | $188091.84    | 0.03%             | 2036-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,  | Deutsche Mortgage Securities Inc Mortgage Loan Resecurit Trust Ser 2009-RS2     | CUSIP: 25158EAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    593627 | PA      | $533501.28    | 0.09%             | 2036-09-26      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust          | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $8148765.00   | 1.41%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FWD Securitization Trust       | FWDSecuritization Trust 2019-INV1                                               | CUSIP: 302980AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $1673833.48   | 0.29%             | 2049-06-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | Ellington Financial Mortgage Trust 2019-2                                       | CUSIP: 31573TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4735000 | PA      | $3691343.02   | 0.64%             | 2059-11-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                                      | CUSIP: 31846V211<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |  14746852 | NS      | $14746851.75  | 2.56%             |  |  |  | No            |                  1 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2005-FA8                    | CUSIP: 32051GYH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543426 | PA      | $288616.84    | 0.05%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th | First Horizon Mortgage Pass-Through Trust 2006-1                                | CUSIP: 32051GZ99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129964 | PA      | $64298.56     | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA4                    | CUSIP: 32052WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1898423 | PA      | $818783.04    | 0.14%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort | First Horizon Alternative Mortgage Securities Trust 2007-FA3                    | CUSIP: 32053GAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1764255 | PA      | $734072.50    | 0.13%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2020-SFR2 Trust                                                  | CUSIP: 33767JAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9500000 | PA      | $8334964.65   | 1.45%             | 2037-10-19      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust           | FirstKey Homes 2020-SFR2 Trust                                                  | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9500000 | PA      | $8388873.35   | 1.46%             | 2037-10-19      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust | FirstKey Homes 2020-SFR1 Trust                                                  | CUSIP: 33767MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2708267.70   | 0.47%             | 2037-08-17      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust        | Fremont Home Loan Trust 2006-D                                                  | CUSIP: 35729VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10161558 | PA      | $3791331.30   | 0.66%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2007-NC1                                                            | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8089845 | PA      | $4363213.23   | 0.76%             | 2046-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-1F                                                 | CUSIP: 3622MPBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    773796 | PA      | $517744.28    | 0.09%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-9F                                                 | CUSIP: 3622X7AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1614262 | PA      | $226097.22    | 0.04%             | 2036-10-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-9F                                                 | CUSIP: 3622X7AM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1614262 | PA      | $632602.25    | 0.11%             | 2036-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2006-2F                                                 | CUSIP: 362334DL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285925 | PA      | $150237.27    | 0.03%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation      | HSI Asset Loan Obligation Trust 2007-1                                          | CUSIP: 40431TAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2115671 | PA      | $1083890.24   | 0.19%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                      | CUSIP: 74922KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4915243 | PA      | $271968.24    | 0.05%             | 2037-01-25      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS18 Trust                                                     | CUSIP: 74922RAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2062069 | PA      | $1764708.13   | 0.31%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS5 Trust                                                      | CUSIP: 74923JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365970 | PA      | $283283.31    | 0.05%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS11 Trust                                                     | CUSIP: 74925GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    646575 | PA      | $496421.32    | 0.09%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Pass Through Ce | RBSGC Mortgage Loan Trust 2007-A                                                | CUSIP: 74927WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483158 | PA      | $433148.41    | 0.08%             | 2037-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I  | RFMSI Series 2006-SA2 Trust                                                     | CUSIP: 749574AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63575 | PA      | $58294.33     | 0.01%             | 2036-08-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS12 Trust                                                     | CUSIP: 751151AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    371227 | PA      | $176329.48    | 0.03%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS12 Trust                                                     | CUSIP: 751151AR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1792496 | PA      | $1266874.63   | 0.22%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS12 Trust                                                     | CUSIP: 751151AS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1792496 | PA      | $197839.92    | 0.03%             | 2036-09-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust                                              | CUSIP: 759676AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15336140 | PA      | $6174238.14   | 1.07%             | 2036-08-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust                                              | CUSIP: 75971EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9024934 | PA      | $3508755.18   | 0.61%             | 2036-11-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS12 Trust                                                     | CUSIP: 761118DQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1308801 | PA      | $1102146.72   | 0.19%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2005-QS13 Trust                                                     | CUSIP: 761118GX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970820 | PA      | $781149.45    | 0.14%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-OA8                                                 | CUSIP: 02148GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4206519 | PA      | $3374996.10   | 0.59%             | 2047-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-31CB                                                | CUSIP: 02148HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11070220 | PA      | $6809831.23   | 1.18%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS3 Trust                                                      | CUSIP: 761118XS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2202264 | PA      | $1839389.15   | 0.32%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A12                                 | CUSIP: 76113XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4138011 | PA      | $1641805.57   | 0.28%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust         | Sequoia Mortgage Trust 2013-9                                                   | CUSIP: 81745DAN1<br>LEI: 54930005PH54PMVV8351 | Long             | ABS-MBS          | CORP              | US        |    183826 | PA      | $129830.21    | 0.02%             | 2043-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential  | Starwood Mortgage Residential Trust 2020-3                                      | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1507661 | PA      | $1386833.26   | 0.24%             | 2065-04-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2006-41CB                                                | CUSIP: 02149CBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487015 | PA      | $1411558.04   | 0.24%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T | Alternative Loan Trust 2007-2CB                                                 | CUSIP: 02149HAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4341782 | PA      | $2377312.57   | 0.41%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu | Bear Stearns Asset Backed Securities I Trust 2006-AC5                           | CUSIP: 073856AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1074059 | PA      | $1050762.81   | 0.18%             | 2036-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans         | CHL Mortgage Pass-Through Trust 2006-9                                          | CUSIP: 126694W38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1599917 | PA      | $807576.29    | 0.14%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579G51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1290036 | PA      | $1142119.01   | 0.20%             | 2035-12-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2005-17                   | CUSIP: 863579VV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2440053 | PA      | $1426580.90   | 0.25%             | 2035-08-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora | Chase Mortgage Finance Trust Series 2006-S2                                     | CUSIP: 16163BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1666676 | PA      | $736179.78    | 0.13%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A2                              | CUSIP: 17309CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3836670 | PA      | $3399482.11   | 0.59%             | 2036-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor | Structured Adjustable Rate Mortgage Loan Trust Series 2008-1                    | CUSIP: 86358DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    853164 | PA      | $681517.22    | 0.12%             | 2037-10-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR6                         | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2905318 | PA      | $2381505.17   | 0.41%             | 2046-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan  | CitiMortgage Alternative Loan Trust Series 2006-A2                              | CUSIP: 17309CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4225095 | PA      | $175300.45    | 0.03%             | 2036-05-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2020-RP1                                          | CUSIP: 17328MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8948574 | PA      | $7868473.27   | 1.36%             | 2064-08-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2020-RP1                                          | CUSIP: 17328MAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040000 | PA      | $801215.48    | 0.14%             | 2064-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2020-RP1                                          | CUSIP: 17328MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    874000 | PA      | $671043.39    | 0.12%             | 2064-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR6                         | CUSIP: 86360UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3025509 | PA      | $2261202.60   | 0.39%             | 2046-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2006-AR7                         | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4581512 | PA      | $3609911.79   | 0.63%             | 2036-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2020-RP1                                          | CUSIP: 17328MAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    738000 | PA      | $546273.28    | 0.09%             | 2064-08-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2020-RP1                                          | CUSIP: 17328MBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1940103 | PA      | $1416341.49   | 0.25%             | 2064-08-25      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust        | GSR Mortgage Loan Trust 2007-2F                                                 | CUSIP: 362636AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1697627 | PA      | $968149.27    | 0.17%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr | GreenPoint Mortgage Funding Trust 2005-AR4                                      | CUSIP: 39538WBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4427406 | PA      | $3466615.34   | 0.60%             | 2045-10-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Loan Trust Series 2007-RF1            | CUSIP: 86362CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14054415 | PA      | $11512246.94  | 2.00%             | 2037-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve | Structured Asset Mortgage Investments II Trust 2007-AR3                         | CUSIP: 86363NAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3949687 | PA      | $3445970.39   | 0.60%             | 2047-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2006-BU1                                         | CUSIP: 41161PG56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4457469 | PA      | $3714926.52   | 0.64%             | 2046-02-19      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust | HarborView Mortgage Loan Trust 2007-7                                           | CUSIP: 411640AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3739343 | PA      | $3133623.28   | 0.54%             | 2037-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co | Structured Asset Securities Corp Mortgage Loan Trust 2007-BC4                   | CUSIP: 86365DAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3282527.25   | 0.57%             | 2037-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust 2020-RTL1   | TVC Mortgage Trust 2020-RTL1                                                    | CUSIP: 90114YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4300000 | PA      | $4174959.44   | 0.72%             | 2024-09-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2019-2 Trust                                           | CUSIP: 43732TAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3689721 | PA      | $3116950.69   | 0.54%             | 2039-10-19      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2019-2 Trust                                           | CUSIP: 43732TAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3926217 | PA      | $3274632.21   | 0.57%             | 2039-10-19      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust | Home Partners of America 2019-2 Trust                                           | CUSIP: 43732TAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7390527 | PA      | $6107853.85   | 1.06%             | 2039-10-19      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru | IndyMac IMSC Mortgage Loan Trust 2007-AR1                                       | CUSIP: 456672AQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3505128 | PA      | $2874598.24   | 0.50%             | 2037-06-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| 20 TSQ GroundCo LLC            | 20 Times Square Trust 2018-20TS                                                 | CUSIP: 90137LAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381000 | PA      | $307172.53    | 0.05%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC | VCAT 2021-NPL5 LLC                                                              | CUSIP: 91824AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3827802 | PA      | $3373439.19   | 0.59%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2005-S3                                                | CUSIP: 466247ZN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360435 | PA      | $196117.83    | 0.03%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2006-A5                                                | CUSIP: 46629CAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1326520 | PA      | $1094152.60   | 0.19%             | 2036-08-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC | VCAT 2021-NPL6 LLC                                                              | CUSIP: 91824WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3926739 | PA      | $3439103.00   | 0.60%             | 2051-09-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra | VOLT XCVII LLC                                                                  | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4261532 | PA      | $3770528.94   | 0.65%             | 2051-04-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2019-1                                   | CUSIP: 92257CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1034326 | PA      | $800547.68    | 0.14%             | 2049-03-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2019-2                                   | CUSIP: 92257NAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437648 | PA      | $371688.42    | 0.06%             | 2049-07-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2019-2                                   | CUSIP: 92257NAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1887685 | PA      | $1515344.89   | 0.26%             | 2049-07-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2020-1                                   | CUSIP: 92259LAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1244863 | PA      | $1039867.03   | 0.18%             | 2050-02-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2020-1                                               | CUSIP: 92536PAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $1564056.56   | 0.27%             | 2060-01-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-R2                                              | CUSIP: 92538DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2073000 | PA      | $1510592.41   | 0.26%             | 2064-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2020-4                                               | CUSIP: 92538LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4048412 | PA      | $3627596.51   | 0.63%             | 2065-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2021-6                                               | CUSIP: 92538MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6685000 | PA      | $4096009.13   | 0.71%             | 2066-10-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust 2006-S4                                        | CUSIP: 466302AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1839136 | PA      | $1745483.76   | 0.30%             | 2036-12-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust                                                | CUSIP: 466306AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2383332 | PA      | $1389858.15   | 0.24%             | 2036-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR18 Trust                  | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10353064 | PA      | $8887757.17   | 1.54%             | 2037-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2006-AR11 Trust                  | CUSIP: 93363TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6250261 | PA      | $5070578.39   | 0.88%             | 2046-09-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust 2007-S1                                                | CUSIP: 46630RAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1899465 | PA      | $832660.32    | 0.14%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | CUSIP: 46645WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $311835.06    | 0.05%             | 2033-07-05      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust                   | CUSIP: 93364FAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7238901 | PA      | $6573492.01   | 1.14%             | 2037-07-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust | CUSIP: 93934FGG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    967187 | PA      | $902767.08    | 0.16%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | CUSIP: 46645WBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $302501.33    | 0.05%             | 2033-07-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | CUSIP: 46645WBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $299080.04    | 0.05%             | 2033-07-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust  | CUSIP: 93934NAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2651290 | PA      | $1817504.12   | 0.32%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust  | CUSIP: 93936HAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1899451 | PA      | $1522687.37   | 0.26%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan US Government Money M | JPMorgan US Government Money Market Fund                                        | CUSIP: 4812C2270<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        |  14746852 | NS      | $14746851.75  | 2.56%             |  |  |  | No            |                  1 | On Loan: No      |
| LHOME Mortgage Trust           | LHOME Mortgage Trust 2021-RTL1                                                  | CUSIP: 501894AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2672083.50   | 0.46%             | 2026-02-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-4 Trust  | CUSIP: 93936NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107067 | PA      | $97624.44     | 0.02%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage  | Waterfall Commercial Mortgage Trust 2015-SBC5                                   | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541331 | PA      | $531048.61    | 0.09%             | 2022-09-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Lavender Trust                 | Lavender Trust Series 2010-RR11                                                 | CUSIP: 519440CA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935091 | PA      | $426061.18    | 0.07%             | 2036-10-26      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust    | Legacy Mortgage Asset Trust 2019-RPL3                                           | CUSIP: 52474FBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12078873 | PA      | $10168231.89  | 1.76%             | 2058-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2006-AR4 Trust                           | CUSIP: 94983PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    439936 | PA      | $410756.49    | 0.07%             | 2036-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T | Wells Fargo Alternative Loan 2007-PA3 Trust                                     | CUSIP: 94985GBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528549 | PA      | $422540.37    | 0.07%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust    | Legacy Mortgage Asset Trust 2019-GS7                                            | CUSIP: 52474MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11270000 | PA      | $10598060.06  | 1.84%             | 2059-11-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust    | Legacy Mortgage Asset Trust 2020-SL1                                            | CUSIP: 52475KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4602508.50   | 0.80%             | 2060-01-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se | Wells Fargo Mortgage Backed Securities 2007-7 Trust                             | CUSIP: 94985JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2446079 | PA      | $2053302.78   | 0.36%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-1                                                    | CUSIP: 52521FAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    852368 | PA      | $813555.77    | 0.14%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust | Lehman ABS Mortgage Loan Trust 2007-1                                           | CUSIP: 52521MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1395709 | PA      | $991403.23    | 0.17%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust | Lehman ABS Mortgage Loan Trust 2007-1                                           | CUSIP: 52521MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5443590 | PA      | $3869183.80   | 0.67%             | 2037-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2006-17                                                         | CUSIP: 52523KBH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1724171 | PA      | $1512049.82   | 0.26%             | 2046-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust | Long Beach Mortgage Loan Trust 2006-2                                           | CUSIP: 542514TU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6849006 | PA      | $2533198.16   | 0.44%             | 2046-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2021-NQM2 Trust                                                             | CUSIP: 55283WAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $2581456.06   | 0.45%             | 2064-11-25      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities  | Mastr Asset Backed Securities Trust 2006-WMC3                                   | CUSIP: 55291KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16005923 | PA      | $6221422.37   | 1.08%             | 2036-08-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage | MASTR Adjustable Rate Mortgages Trust 2005-6                                    | CUSIP: 576433C46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4660793 | PA      | $1809343.12   | 0.31%             | 2035-07-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust  | MASTR Alternative Loan Trust 2004-10                                            | CUSIP: 576434WC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1016379 | PA      | $936817.58    | 0.16%             | 2034-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo | Merrill Lynch Mortgage Investors Trust Series 2006-AF1                          | CUSIP: 59023RAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1028554 | PA      | $458382.12    | 0.08%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note | Merrill Lynch Alternative Note Asset Trust Series 2007-F1                       | CUSIP: 59023YAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1353947 | PA      | $542073.28    | 0.09%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MSILF Government Portfolio     | MSILF Government Portfolio                                                      | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |  14746852 | NS      | $14746851.76  | 2.56%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2005-10                                      | CUSIP: 61748HSH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3654285 | PA      | $2267024.97   | 0.39%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T | Morgan Stanley Mortgage Loan Trust 2007-12                                      | CUSIP: 61755GAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    690911 | PA      | $312667.49    | 0.05%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18                     | CUSIP: 61763XAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $231369.08    | 0.04%             | 2047-10-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust      | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                     | CUSIP: 61764PBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $315916.13    | 0.05%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                     | NLT 2021-INV2 Trust                                                             | CUSIP: 62917JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $2632552.20   | 0.46%             | 2056-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2019-NQM4                                   | CUSIP: 64828EAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2300000 | PA      | $1787127.37   | 0.31%             | 2059-09-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AP1             | CUSIP: 65535VSJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3191577 | PA      | $984287.85    | 0.17%             | 2036-01-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-1               | CUSIP: 65538PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819960 | PA      | $756888.34    | 0.13%             | 2047-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2020-SFR4 Trust                                                            | CUSIP: 66981FAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5238267.60   | 0.91%             | 2037-11-17      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2020-SFR4 Trust                                                            | CUSIP: 66981FAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7750000 | PA      | $6730413.10   | 1.17%             | 2037-11-17      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XI | Octagon Investment Partners XIV Ltd                                             | CUSIP: 67590ABK7<br>LEI: 549300QEN35HTPJ3BX33 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $838777.60    | 0.15%             | 2029-07-15      | Floating      | 11.23%                | No            |                  2 | On Loan: No      |
| Opteum Mortgage Acceptance Cor | Opteum Mortgage Acceptance Corp Trust 2006-2                                    | CUSIP: 68384CAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6950495 | PA      | $2824719.57   | 0.49%             | 2036-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| PMT ISSUER TRUST - FMSR        | PMT Issuer Trust - FMSR                                                         | CUSIP: 69346MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9721088.00   | 1.69%             | 2026-03-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST | PMT Credit Risk Transfer Trust 2019-3R                                          | CUSIP: 69349MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2601705 | PA      | $2497953.97   | 0.43%             | 2031-11-27      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST | PMT Credit Risk Transfer Trust 2021-1R                                          | CUSIP: 69356UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1812346 | PA      | $1737858.51   | 0.30%             | 2024-02-27      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| PR Mortgage Loan Trust         | PR Mortgage Loan Trust 2014-1                                                   | CUSIP: 69358KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387644 | PA      | $350542.19    | 0.06%             | 2049-10-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2021-2 LLC                                                                 | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4089147 | PA      | $3784335.16   | 0.66%             | 2026-03-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2021-2 LLC                                                                 | CUSIP: 69359UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9800000 | PA      | $8436163.40   | 1.46%             | 2026-03-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2020-4 LLC                                                                 | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2212547 | PA      | $2141695.34   | 0.37%             | 2025-10-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2021-6 LLC                                                                 | CUSIP: 69360FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4544641 | PA      | $4125570.66   | 0.72%             | 2026-07-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2021-6 LLC                                                                 | CUSIP: 69360FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5987000 | PA      | $4983647.65   | 0.86%             | 2026-07-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2021-7 LLC                                                                 | CUSIP: 69360LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3186857 | PA      | $2904747.56   | 0.50%             | 2026-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | PRET 2021-RN2 LLC                                                               | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2802164 | PA      | $2543613.93   | 0.44%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | PRET 2021-RN3 LLC                                                               | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4063157 | PA      | $3641440.04   | 0.63%             | 2051-09-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2006-QS7 Trust                                                      | CUSIP: 748940AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    704776 | PA      | $559274.31    | 0.10%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In | RALI Series 2007-QS1 Trust                                                      | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4915243 | PA      | $3436202.36   | 0.60%             | 2037-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati | Residential Asset Securitization Trust 2006-A8                                  | CUSIP: 761119AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    941522 | PA      | $619515.92    | 0.11%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei | Securitized Asset Backed Receivables LLC Trust 2006-NC1                         | CUSIP: 81375HAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9683552 | PA      | $8625314.28   | 1.50%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru | Tharaldson Hotel Portfolio Trust 2018-THPT                                      | CUSIP: 88327HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409901 | PA      | $384188.86    | 0.07%             | 2034-11-11      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2021-2                                   | CUSIP: 92259MAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3782366 | PA      | $2699129.76   | 0.47%             | 2051-08-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2021-1                                   | CUSIP: 92259TAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1639787 | PA      | $1231283.93   | 0.21%             | 2051-05-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2021-1                                   | CUSIP: 92259TAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4006589 | PA      | $2937202.13   | 0.51%             | 2051-05-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** DoubleLine Funds Trust

**Signature:** /s/ Henry Chase

**Name of Signer:** DoubleLine Funds Trust

**Title:** Treasurer