# EDGAR Filing Document

**Accession Number:** 0001480207
**File Stem:** 0001193125-26-245115
**Filing Date:** 2026-5
**Character Count:** 118976
**Document Hash:** 249ed25dcb7f6a3004f393ce11143fac
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-245115.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0001193125-26-245115

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DoubleLine Funds Trust
- **CENTRAL INDEX KEY:** 0001480207

**ORGANIZATION NAME:**
- **EIN:** 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:** 261035055

**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           |

## 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:** 2026-03-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $729381562.83

**Total Liabilities:** $10328308.37

**Net Assets:** $719053254.46

**Delayed Delivery Securities:** $5879404.57

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 370.000000000000 | **1-Year:** 33642.000000000000 | **5-Year:** 58471.000000000000 | **10-Year:** 18723.000000000000 | **30-Year:** 1915.000000000000

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

- **3-Month:** 285.000000000000 | **1-Year:** 19190.000000000000 | **5-Year:** 74545.000000000000 | **10-Year:** 43692.000000000000 | **30-Year:** 1125.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000144794 | 0.48%                | 1.29%                | -0.88%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-97526.88               | $222226.61                                 |
| Month 2  | $97526.88                | $4693806.73                                |
| Month 3  | $0.00                    | $-9516296.57                               |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-12                                                | CUSIP: 03466KAF3<br>LEI: 254900ZULW8CAJ29C630 | Long             | ABS-MBS          | CORP              | US        |   1150000 | PA      | $1142103.53   | 0.16%             | 2070-12-25      | Variable      | 5.77%                 | 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        |    747855 | PA      | $644253.16    | 0.09%             | 2036-10-25      | Fixed         | 6.00%                 | 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        |   1152908 | PA      | $658939.90    | 0.09%             | 2036-07-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2024-NQM7                                       | CUSIP: 105698AF1<br>LEI: 254900T3YTF92WA96N66 | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $907280.19    | 0.13%             | 2064-10-27      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2026-NQM3                                       | CUSIP: 10571LAG6<br>LEI: 254900E9MG7I39Q47K50 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2003000.00   | 0.28%             | 2065-11-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2026-NQM3                                       | CUSIP: 10571LAH4<br>LEI: 254900E9MG7I39Q47K50 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2002000.00   | 0.28%             | 2065-11-25      | Variable      | 5.63%                 | 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      | $3319634.40   | 0.46%             | 2050-02-25      | Variable      | 2.84%                 | 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        |   4766028 | PA      | $2032467.12   | 0.28%             | 2038-02-25      | Fixed         | 6.25%                 | 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        |    432561 | PA      | $382067.93    | 0.05%             | 2047-08-25      | Variable      | 3.62%                 | 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        |   6237749 | PA      | $5575631.50   | 0.78%             | 2064-08-25      | Variable      | 1.50%                 | 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        |    804603 | PA      | $209402.20    | 0.03%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2008-2R                                                             | CUSIP: 225492AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252382 | PA      | $217257.90    | 0.03%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Mortgage-Backed Trust 2006-6                                               | CUSIP: 22942JAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    698509 | PA      | $298434.18    | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2026-INV1                                  | CUSIP: 24381GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490318 | PA      | $485882.71    | 0.07%             | 2070-12-25      | Variable      | 5.20%                 | 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        |    738810 | PA      | $631264.38    | 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        |    155723 | PA      | $135871.30    | 0.02%             | 2036-10-25      | Variable      | 6.00%                 | 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      | $9607360.00   | 1.34%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| First American Government Obli | First American Government Obligations Fund                                      | CUSIP: 31846V211<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |  12979970 | NS      | $12979970.24  | 1.81%             |  |  |  | No            |                  1 | 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        |   1672193 | PA      | $493159.94    | 0.07%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR            | Freddie Mac Stacr Remic Trust 2025-Hqa1                                         | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   6250000 | PA      | $6263710.00   | 0.87%             | 2045-02-25      | Floating      | 5.31%                 | 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        |    271384 | PA      | $108396.66    | 0.02%             | 2036-02-25      | 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        |   3054647 | PA      | $2411156.81   | 0.34%             | 2045-10-25      | Floating      | 5.26%                 | 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        |   3379866 | PA      | $3165206.75   | 0.44%             | 2037-06-25      | Variable      | 5.04%                 | 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        |   1863783 | PA      | $640467.08    | 0.09%             | 2037-03-25      | Fixed         | 5.75%                 | 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        |   9440877 | PA      | $8383918.16   | 1.17%             | 2058-06-25      | Fixed         | 0.00%                 | 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        |   1190629 | PA      | $790333.87    | 0.11%             | 2037-06-25      | Floating      | 3.99%                 | 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        |   4514415 | PA      | $1469167.29   | 0.20%             | 2035-07-25      | Variable      | 3.70%                 | 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        |    745920 | PA      | $740136.50    | 0.10%             | 2034-09-25      | Fixed         | 5.75%                 | 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        |   1318074 | PA      | $396896.17    | 0.06%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust        | NYMT Loan Trust 2026-INV1                                                       | CUSIP: 62957GAL1<br>LEI: 254900Y31NJCJWYHMA05 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1975846.00   | 0.27%             | 2061-02-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2026-NQM1                                   | CUSIP: 64832LAG8<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |    970200 | PA      | $960757.04    | 0.13%             | 2065-11-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2025-NQM8 Trust                                                             | CUSIP: 67449AAA3<br>LEI: 2549006UJL1L84XG2C80 | Long             | ABS-MBS          | CORP              | US        |   8245307 | PA      | $8279868.52   | 1.15%             | 2065-03-25      | Variable      | 5.47%                 | 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        |    255984 | PA      | $238902.13    | 0.03%             | 2049-10-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM5 Trust                                                            | CUSIP: 69383FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1262075 | PA      | $1259153.74   | 0.18%             | 2070-10-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-6 LLC                                                                 | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9875226 | PA      | $9861410.23   | 1.37%             | 2028-08-25      | Variable      | 5.77%                 | 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        |    317421 | PA      | $122356.25    | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2006-2                                       | CUSIP: 759676AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15336140 | PA      | $5067689.60   | 0.70%             | 2036-08-25      | Variable      | 5.76%                 | 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        |    631496 | PA      | $501249.20    | 0.07%             | 2035-09-25      | Fixed         | 5.50%                 | 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        |   1896202 | PA      | $934593.12    | 0.13%             | 2035-08-25      | Variable      | 4.62%                 | 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        |    570153 | PA      | $493520.48    | 0.07%             | 2049-03-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-R1                                              | CUSIP: 924932AC0<br>LEI: 213800IRNLDELLG4XV07 | Long             | ABS-MBS          | CORP              | US        |    489953 | PA      | $486011.33    | 0.07%             | 2067-10-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-10                                              | CUSIP: 92541FAE9<br>LEI: 213800OGLOX4BB4D6N90 | Long             | ABS-MBS          | CORP              | US        |    860455 | PA      | $859444.11    | 0.12%             | 2070-06-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-R2                                              | CUSIP: 92541GAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1246000 | PA      | $1227337.41   | 0.17%             | 2067-10-25      | Variable      | 5.53%                 | 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        |    745069 | PA      | $714987.22    | 0.10%             | 2035-11-25      | Fixed         | 6.00%                 | 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        |    240729 | PA      | $239992.69    | 0.03%             | 2036-04-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                    | GSAMP Trust 2007-NC1                                                            | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6998247 | PA      | $3702614.07   | 0.51%             | 2046-12-25      | Floating      | 4.05%                 | 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        |   3010015 | PA      | $2798532.45   | 0.39%             | 2046-02-19      | Floating      | 4.21%                 | 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        |   3892366 | PA      | $3780290.35   | 0.53%             | 2039-10-19      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM4                                       | CUSIP: 46660HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1487234.55   | 0.21%             | 2066-03-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-7                                                 | CUSIP: 03466TAC1<br>LEI: 254900QTRHHMG5RQ9X60 | Long             | ABS-MBS          | CORP              | US        |    812156 | PA      | $815867.56    | 0.11%             | 2070-06-25      | Variable      | 5.92%                 | 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        |   3494921 | PA      | $3253434.04   | 0.45%             | 2033-01-15      | Floating      | 9.04%                 | 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        |    703240 | PA      | $611410.56    | 0.09%             | 2036-03-25      | Fixed         | 5.50%                 | 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        |   3665479 | PA      | $279323.04    | 0.04%             | 2037-01-25      | Floating      | 1.66%                 | 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        |   1270012 | PA      | $917521.06    | 0.13%             | 2036-09-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T | Renaissance Home Equity Loan Trust 2006-3                                       | CUSIP: 75971EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9024934 | PA      | $2841274.70   | 0.40%             | 2036-11-25      | Variable      | 5.81%                 | 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        |   7289947 | PA      | $6846956.33   | 0.95%             | 2036-03-25      | Floating      | 4.33%                 | 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        |    607144 | PA      | $491628.87    | 0.07%             | 2037-10-25      | Variable      | 4.38%                 | 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        |   3473452 | PA      | $2930591.46   | 0.41%             | 2036-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Tricon Residential             | Tricon Residential 2025-SFR2 Trust                                              | CUSIP: 89617FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15536674 | PA      | $15506391.30  | 2.16%             | 2044-08-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2025-SFR2 Trust                                                            | CUSIP: 00180BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9568568.00   | 1.33%             | 2042-11-17      | Fixed         | 4.28%                 | 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        |   1056831 | PA      | $547429.60    | 0.08%             | 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        |   2927682 | PA      | $1372798.36   | 0.19%             | 2047-02-25      | Fixed         | 6.00%                 | 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        |   2337286 | PA      | $1135080.29   | 0.16%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |    892219 | PA      | $416379.65    | 0.06%             | 2037-01-25      | Fixed         | 5.75%                 | 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      | $8806671.00   | 1.22%             | 2035-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-7                                                 | CUSIP: 03466TAD9<br>LEI: 254900QTRHHMG5RQ9X60 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1508516.10   | 0.21%             | 2070-06-25      | Variable      | 6.35%                 | 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      | $7045641.05   | 0.98%             | 2048-10-25      | Variable      | 4.20%                 | 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        |    702304 | PA      | $654038.62    | 0.09%             | 2037-01-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust   | Barclays Mortgage Loan Trust 2026-NQM1                                          | CUSIP: 06745EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    982982 | PA      | $973160.80    | 0.14%             | 2065-12-25      | Variable      | 4.84%                 | 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        |   1178732 | PA      | $523561.37    | 0.07%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2023-R4                                                               | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8146588 | PA      | $8100975.75   | 1.13%             | 2062-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC Series 2009-9R                                                             | CUSIP: 12642HEL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1973759 | PA      | $1074898.45   | 0.15%             | 2035-12-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi | CWABS Asset-Backed Certificates Trust 2005-17                                   | CUSIP: 126670QU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8277789 | PA      | $6858350.86   | 0.95%             | 2036-05-25      | Variable      | 6.55%                 | 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        |   1682169 | PA      | $1128596.47   | 0.16%             | 2035-04-25      | 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        |   9329757 | PA      | $8440299.34   | 1.17%             | 2047-06-25      | Floating      | 4.17%                 | 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        |   2970286 | PA      | $1565925.31   | 0.22%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |   2413729 | PA      | $1110788.07   | 0.15%             | 2036-01-25      | Floating      | 4.34%                 | 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        |   2679691 | PA      | $2220608.95   | 0.31%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2012-RR4 Trust                                                         | CUSIP: 05540XBR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7447438 | PA      | $3270115.13   | 0.45%             | 2035-11-26      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                 | BCAP LLC 2013-RR2 Trust                                                         | CUSIP: 05542GBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2926903 | PA      | $2266198.57   | 0.32%             | 2037-06-26      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo | Banc of America Alternative Loan Trust 2007-1                                   | CUSIP: 059496BD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3251049 | PA      | $2810190.48   | 0.39%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |   2508451 | PA      | $2058529.07   | 0.29%             | 2036-06-26      | Floating      | 4.03%                 | 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        |    289509 | PA      | $331989.97    | 0.05%             | 2036-12-25      | Variable      | 6.75%                 | 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        |   1311265 | PA      | $1228534.42   | 0.17%             | 2036-01-25      | Variable      | 4.67%                 | 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        |    509023 | PA      | $557406.43    | 0.08%             | 2036-04-25      | Floating      | 4.25%                 | 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        |   2882810 | PA      | $2846342.38   | 0.40%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | BRAVO Residential Funding Trust 2024-NQM1                                       | CUSIP: 10570FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2630972 | PA      | $2641722.38   | 0.37%             | 2063-12-01      | Variable      | 5.94%                 | 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        |   1239387 | PA      | $1094187.48   | 0.15%             | 2034-12-25      | Fixed         | 5.50%                 | 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        |    869431 | PA      | $592784.31    | 0.08%             | 2035-10-25      | 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        |    125059 | PA      | $123252.11    | 0.02%             | 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        |   1786814 | PA      | $1183331.80   | 0.16%             | 2036-01-25      | Fixed         | 6.00%                 | 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        |   6258765 | PA      | $2639653.65   | 0.37%             | 2036-02-25      | Fixed         | 6.00%                 | 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        |     79686 | PA      | $29523.69     | 0.00%             | 2036-05-25      | Fixed         | 5.85%                 | 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        |   2413729 | PA      | $158002.44    | 0.02%             | 2036-01-25      | Floating      | 1.16%                 | 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        |   1497205 | PA      | $593351.42    | 0.08%             | 2036-05-25      | Fixed         | 6.50%                 | 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        |   3689677 | PA      | $1493409.87   | 0.21%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                      | CIM Trust 2023-R2                                                               | CUSIP: 17181KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7317931 | PA      | $7339234.52   | 1.02%             | 2064-08-25      | Variable      | 5.50%                 | 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        |   2392497 | PA      | $2359941.68   | 0.33%             | 2036-12-25      | Floating      | 4.07%                 | 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        |   1557678 | PA      | $556906.28    | 0.08%             | 2036-10-25      | Fixed         | 6.25%                 | 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        |    500777 | PA      | $217400.63    | 0.03%             | 2036-12-25      | 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        |   3442852 | PA      | $2399198.58   | 0.33%             | 2035-12-25      | Variable      | 7.00%                 | 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        |   6974692 | PA      | $5803620.62   | 0.81%             | 2058-10-25      | Fixed         | 3.92%                 | 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      | $800787.21    | 0.11%             | 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      | $666523.94    | 0.09%             | 2064-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2026-NQM1                                   | CUSIP: 36276EAG5<br>LEI: 254900WEVNJASLS4UV47 | Long             | ABS-MBS          | CORP              | US        |    969908 | PA      | $965273.99    | 0.13%             | 2066-03-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust          | Lehman Mortgage Trust 2007-1                                                    | CUSIP: 52521FAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    603214 | PA      | $609545.02    | 0.08%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2006-17                                                         | CUSIP: 52523KBH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1254947 | PA      | $1191727.96   | 0.17%             | 2046-08-25      | Floating      | 4.13%                 | 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        |    981885 | PA      | $340784.32    | 0.05%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | 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        |   3267597 | PA      | $1760015.05   | 0.24%             | 2035-12-25      | Fixed         | 5.50%                 | 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        |   2994787 | PA      | $835232.58    | 0.12%             | 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        |    578042 | PA      | $528230.22    | 0.07%             | 2047-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financing SBC Trust    | Oceanview Mortgage Trust 2026-SBC1                                              | CUSIP: 675967AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3939422 | PA      | $3905330.49   | 0.54%             | 2055-08-25      | Variable      | 5.10%                 | 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        |   5899838 | PA      | $1888028.26   | 0.26%             | 2036-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2024-NQM4 Trust                                                            | CUSIP: 69381UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1010580.90   | 0.14%             | 2069-12-26      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM5 Trust                                                            | CUSIP: 69383FAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    958086 | PA      | $955947.66    | 0.13%             | 2070-10-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-5 LLC                                                                 | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1260757 | PA      | $1259075.29   | 0.18%             | 2030-07-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM2 Trust                                                            | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9997866 | PA      | $10048137.70  | 1.40%             | 2070-04-25      | Variable      | 5.69%                 | 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        |    263820 | PA      | $218351.42    | 0.03%             | 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        |    486551 | PA      | $388062.70    | 0.05%             | 2037-10-25      | Fixed         | 7.00%                 | 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        |   1505262 | PA      | $1364824.77   | 0.19%             | 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        |   4189720 | PA      | $1431591.00   | 0.20%             | 2036-11-25      | Fixed         | 6.25%                 | 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      | $3752703.90   | 0.52%             | 2037-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2025-3                                   | CUSIP: 92262RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8062845 | PA      | $8095953.44   | 1.13%             | 2055-06-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-R1                                              | CUSIP: 924932AF3<br>LEI: 213800IRNLDELLG4XV07 | Long             | ABS-MBS          | CORP              | US        |    244977 | PA      | $243025.34    | 0.03%             | 2067-10-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-4                                               | CUSIP: 92540UAC1<br>LEI: 2138009ZO3B2B5MAHZ49 | Long             | ABS-MBS          | CORP              | US        |   8888649 | PA      | $8927446.17   | 1.24%             | 2070-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra | VOLT CVI LLC                                                                    | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3096865 | PA      | $3100623.64   | 0.43%             | 2051-12-26      | Variable      | 6.73%                 | 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        |   2178643 | PA      | $1553540.73   | 0.22%             | 2036-07-25      | Fixed         | 6.00%                 | 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        |     89043 | PA      | $86526.18     | 0.01%             | 2037-06-25      | 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        |    670068 | PA      | $632007.39    | 0.09%             | 2036-04-25      | Fixed         | 6.00%                 | 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        |    792186 | PA      | $775453.89    | 0.11%             | 2062-02-27      | Variable      | 2.75%                 | 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        |    987556 | PA      | $906266.04    | 0.13%             | 2037-06-25      | 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        |   3244594 | PA      | $1557122.36   | 0.22%             | 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        |   2527127 | PA      | $1384326.64   | 0.19%             | 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        |    882958 | PA      | $391933.41    | 0.05%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2026-NQM3                                                                  | CUSIP: 26846JAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1001194.00   | 0.14%             | 2071-03-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2025-NQM5                                                                  | CUSIP: 28225KAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $994651.90    | 0.14%             | 2070-11-25      | Variable      | 5.77%                 | 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        |    120946 | PA      | $45849.15     | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | 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        |   9146648 | PA      | $3189011.91   | 0.44%             | 2036-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust         | GSAA Trust                                                                      | CUSIP: 3622EAAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3953161 | PA      | $2110239.12   | 0.29%             | 2047-03-25      | Floating      | 3.93%                 | 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        |   1507809 | PA      | $451118.42    | 0.06%             | 2036-10-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2025-NQM5                                   | CUSIP: 36273GAD0<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $990119.00    | 0.14%             | 2065-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2026-NQM1                                   | CUSIP: 36276EAF7<br>LEI: 254900WEVNJASLS4UV47 | Long             | ABS-MBS          | CORP              | US        |    484954 | PA      | $482630.59    | 0.07%             | 2066-03-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM1                                       | CUSIP: 46593QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9107556 | PA      | $9151344.95   | 1.27%             | 2065-06-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition | JP Morgan Mortgage Acquisition Trust 2006-WMC3                                  | CUSIP: 46629KAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15674527 | PA      | $10303595.31  | 1.43%             | 2036-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T | JP Morgan Alternative Loan Trust Series 2008-R2                                 | CUSIP: 466306AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2144729 | PA      | $1079173.65   | 0.15%             | 2036-11-25      | Variable      | 5.01%                 | 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        |  12979970 | NS      | $12979970.24  | 1.81%             |  |  |  | No            |                  1 | 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        |   6314072 | PA      | $2077298.28   | 0.29%             | 2046-03-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2025-NQM3 Trust                                                             | CUSIP: 58004LAC1<br>LEI: 2549007EHG79GWD49I44 | Long             | ABS-MBS          | CORP              | US        |   3217676 | PA      | $3214014.23   | 0.45%             | 2070-08-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust        | NYMT Loan Trust 2026-INV1                                                       | CUSIP: 62957GAK3<br>LEI: 254900Y31NJCJWYHMA05 | Long             | ABS-MBS          | CORP              | US        |    498274 | PA      | $492957.80    | 0.07%             | 2061-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR4 Trust                                            | CUSIP: 74290JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9861235.00   | 1.37%             | 2042-08-17      | Fixed         | 4.70%                 | 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        |    479935 | PA      | $383164.60    | 0.05%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |   1369128 | PA      | $1302260.65   | 0.18%             | 2036-12-25      | 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        |    152756 | PA      | $109075.33    | 0.02%             | 2043-07-25      | Fixed         | 0.00%                 | 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        |   1856071 | PA      | $1684756.31   | 0.23%             | 2046-07-25      | Floating      | 4.15%                 | 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        |    681433 | PA      | $546603.98    | 0.08%             | 2050-02-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-R1                                              | CUSIP: 924932AG1<br>LEI: 213800IRNLDELLG4XV07 | Long             | ABS-MBS          | CORP              | US        |    244977 | PA      | $243023.32    | 0.03%             | 2067-10-25      | Variable      | 5.18%                 | 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        |   1659175 | PA      | $1433036.48   | 0.20%             | 2036-07-25      | Variable      | 4.26%                 | 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        |    311861 | PA      | $125357.77    | 0.02%             | 2037-05-25      | 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        |    829194 | PA      | $719832.38    | 0.10%             | 2036-01-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust           | Cross 2025-H3 Mortgage Trust                                                    | CUSIP: 22757EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1421917.84   | 0.20%             | 2070-04-25      | Variable      | 6.85%                 | 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        |    389956 | PA      | $384036.48    | 0.05%             | 2036-09-26      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset  | First Franklin Mortgage Loan Trust 2006-FF8                                     | CUSIP: 320278AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6503275 | PA      | $5565234.75   | 0.77%             | 2036-07-25      | Floating      | 4.17%                 | 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        |    697831 | PA      | $393305.61    | 0.05%             | 2037-01-25      | Fixed         | 5.75%                 | 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        |   1586451 | PA      | $642888.86    | 0.09%             | 2037-06-25      | Fixed         | 6.00%                 | 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        |   4060310 | PA      | $3336950.77   | 0.46%             | 2037-10-25      | Floating      | 5.79%                 | 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        |   3657908 | PA      | $3560125.55   | 0.50%             | 2039-10-19      | Fixed         | 3.02%                 | 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        |    902870 | PA      | $695803.87    | 0.10%             | 2036-08-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust       | JP Morgan Mortgage Trust Series 2025-NQM5                                       | CUSIP: 46664DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3169743.04   | 0.44%             | 2066-05-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Lavender Trust                 | Lavender Trust Series 2010-RR11                                                 | CUSIP: 519440CA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    873937 | PA      | $308716.87    | 0.04%             | 2036-10-26      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2025-NQM2 Trust                                                             | CUSIP: 67120VAA3<br>LEI: 2549006BC0G3YEF5SL09 | Long             | ABS-MBS          | CORP              | US        |   4375794 | PA      | $4399411.61   | 0.61%             | 2064-11-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2026-NQM2 Trust                                                             | CUSIP: 67123VAF9<br>LEI: 2549007DTHVTGCMU8X03 | Long             | ABS-MBS          | CORP              | US        |    984330 | PA      | $977455.20    | 0.14%             | 2065-12-01      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-4 LLC                                                                 | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9010701 | PA      | $9001341.83   | 1.25%             | 2030-06-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM5 Trust                                                            | CUSIP: 69383FAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    958086 | PA      | $955951.68    | 0.13%             | 2070-10-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM5 Trust                                                            | CUSIP: 69383FAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $995635.20    | 0.14%             | 2070-10-25      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne | PRET 2025-NPL7 LLC                                                              | CUSIP: 740934AA2<br>LEI: 2549001J36X6SUZ41Q96 | Long             | ABS-MBS          | CORP              | US        |   5405700 | PA      | $5420010.84   | 0.75%             | 2055-07-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2026-NQM1 Trust                                                            | CUSIP: 74391DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1995120.00   | 0.28%             | 2071-02-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2026-NQM1 Trust                                                            | CUSIP: 74391DAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2000708.00   | 0.28%             | 2071-02-25      | Variable      | 5.72%                 | 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        |   3858007 | PA      | $2860924.50   | 0.40%             | 2037-01-25      | Floating      | 4.34%                 | 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        |    880924 | PA      | $775363.95    | 0.11%             | 2035-08-25      | Fixed         | 5.50%                 | 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        |    860206 | PA      | $802939.77    | 0.11%             | 2035-12-25      | Variable      | 5.21%                 | 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        |   2966277 | PA      | $2287221.65   | 0.32%             | 2051-05-25      | Variable      | 2.85%                 | 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        |   1788451 | PA      | $576498.00    | 0.08%             | 2037-08-25      | Fixed         | 6.25%                 | 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        |   7326807 | PA      | $7116332.46   | 0.99%             | 2039-10-19      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2021-NQM2 Trust                                                             | CUSIP: 55283WAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $3613031.36   | 0.50%             | 2064-11-25      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2026-NQM1 Trust                                                             | CUSIP: 55287YAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3003828.00   | 0.42%             | 2071-02-25      | Variable      | 5.41%                 | 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        |  14782819 | PA      | $5398398.73   | 0.75%             | 2036-08-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2026-NQM1                                   | CUSIP: 64832LAE3<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |   4365901 | PA      | $4328808.15   | 0.60%             | 2065-11-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-2 LLC                                                                 | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6017642 | PA      | $6007951.67   | 0.84%             | 2030-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-NQM5 Trust                                                            | CUSIP: 69383FAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $994606.80    | 0.14%             | 2070-10-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                | Lehman XS Trust 2006-9                                                          | CUSIP: 52523DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167924 | PA      | $1098988.40   | 0.15%             | 2046-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2026-NQM1 Trust                                                             | CUSIP: 55287YAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2002262.00   | 0.28%             | 2071-02-25      | Variable      | 5.59%                 | 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      | $2047267.26   | 0.28%             | 2059-09-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | New Residential Mortgage Loan Trust 2026-NQM1                                   | CUSIP: 64832LAF0<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |    970200 | PA      | $960604.81    | 0.13%             | 2065-11-25      | Variable      | 5.08%                 | 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        |   7185506 | PA      | $6307786.16   | 0.88%             | 2037-01-25      | Variable      | 3.53%                 | 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        |   4528537 | PA      | $3848417.23   | 0.54%             | 2046-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | NRZT 2025-NQM6                                                                  | CUSIP: 64832KAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2083000 | PA      | $2066912.16   | 0.29%             | 2065-10-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2025-R1 Trust                                                               | CUSIP: 67123GAE5<br>LEI: 254900UIO03AL696QM79 | Long             | ABS-MBS          | CORP              | US        |    959768 | PA      | $953229.01    | 0.13%             | 2062-09-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2024-7 LLC                                                                 | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1411505 | PA      | $1413077.30   | 0.20%             | 2029-11-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag | PRPM 2025-3                                                                     | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7184558 | PA      | $7169700.56   | 1.00%             | 2030-05-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR4 Trust                                            | CUSIP: 74290JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9769755.00   | 1.36%             | 2042-08-17      | Fixed         | 4.30%                 | 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        |    373963 | PA      | $367761.77    | 0.05%             | 2065-04-25      | Variable      | 1.49%                 | 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        |   2814764 | PA      | $2163774.05   | 0.30%             | 2051-08-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2025-5                                   | CUSIP: 92262KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7888315 | PA      | $7825890.63   | 1.09%             | 2055-12-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2026-3                                               | CUSIP: 92490HAL0<br>LEI: 213800WC8BFD1C25XM36 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1998734.00   | 0.28%             | 2071-03-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-R1                                              | CUSIP: 92541AAC4<br>LEI: 213800UBQ9UM61L7TB84 | Long             | ABS-MBS          | CORP              | US        |    758508 | PA      | $760777.53    | 0.11%             | 2065-05-25      | Variable      | 5.77%                 | 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        |   5780548 | PA      | $5359584.44   | 0.75%             | 2037-07-25      | Variable      | 4.16%                 | 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        |   1527445 | PA      | $1414137.52   | 0.20%             | 2037-06-25      | Fixed         | 6.00%                 | 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        |   3187167 | PA      | $2917693.29   | 0.41%             | 2047-06-25      | Floating      | 4.15%                 | 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        |    751386 | PA      | $375716.50    | 0.05%             | 2047-06-25      | Fixed         | 6.00%                 | 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        |   1964678 | PA      | $220453.40    | 0.03%             | 2036-09-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust   | CSMC 2020-RPL1 Trust                                                            | CUSIP: 12656EBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10250643 | PA      | $8350587.69   | 1.16%             | 2069-10-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage | Deephaven Residential Mortgage Trust 2026-INV1                                  | CUSIP: 24381GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    245159 | PA      | $243194.99    | 0.03%             | 2070-12-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2024-SFR1 Trust                                                            | CUSIP: 00179CAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3222000 | PA      | $3145706.26   | 0.44%             | 2041-07-17      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2025-SFR2 Trust                                                            | CUSIP: 00180BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9492480.00   | 1.32%             | 2042-11-17      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                     | AMSR 2025-SFR1 Trust                                                            | CUSIP: 00182MAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2362896.75   | 0.33%             | 2042-06-17      | Fixed         | 3.65%                 | 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        |   2191729 | PA      | $2127515.05   | 0.30%             | 2036-01-25      | Floating      | 4.31%                 | 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        |   9740657 | PA      | $5178107.77   | 0.72%             | 2036-11-25      | 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        |   3949486 | PA      | $1815648.24   | 0.25%             | 2037-03-25      | Fixed         | 5.75%                 | 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        |  11339798 | PA      | $2398058.75   | 0.33%             | 2037-08-25      | Fixed         | 6.75%                 | 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      | $3444397.65   | 0.48%             | 2066-07-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust       | Angel Oak Mortgage Trust 2025-12                                                | CUSIP: 03466KAE6<br>LEI: 254900ZULW8CAJ29C630 | Long             | ABS-MBS          | CORP              | US        |   2736824 | PA      | $2723799.21   | 0.38%             | 2070-12-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust   | Barclays Mortgage Loan Trust 2026-NQM1                                          | CUSIP: 06745EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    982982 | PA      | $978850.60    | 0.14%             | 2065-12-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust       | Bear Stearns ALT-A Trust 2006-3                                                 | CUSIP: 07386HK83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5368525 | PA      | $3803441.29   | 0.53%             | 2036-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus | Bravo Residential Funding Trust 2025-NQM10                                      | CUSIP: 10570BAF1<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $990178.40    | 0.14%             | 2065-09-25      | Variable      | 5.76%                 | 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        |    312091 | PA      | $117832.29    | 0.02%             | 2038-01-25      | Fixed         | 5.44%                 | 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        |   4655056 | PA      | $3880997.46   | 0.54%             | 2037-05-25      | Floating      | 4.29%                 | 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        |   4655056 | PA      | $360412.59    | 0.05%             | 2037-05-25      | Floating      | 1.81%                 | 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        |    741126 | PA      | $455935.70    | 0.06%             | 2035-08-25      | Fixed         | 5.75%                 | 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        |    953480 | PA      | $427882.82    | 0.06%             | 2036-04-25      | Fixed         | 6.00%                 | 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        |   1529867 | PA      | $677632.88    | 0.09%             | 2036-05-25      | 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        |   4915066 | PA      | $2841911.53   | 0.40%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust  | Citigroup Mortgage Loan Trust 2005-9                                            | CUSIP: 17307GL22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305011 | PA      | $309153.71    | 0.04%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |   2782300 | PA      | $2399460.14   | 0.33%             | 2036-05-25      | Floating      | 4.39%                 | 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        |   3063980 | PA      | $207695.84    | 0.03%             | 2036-05-25      | Floating      | 1.61%                 | 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        |   1403724 | PA      | $1306078.51   | 0.18%             | 2037-10-25      | Fixed         | 6.00%                 | 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      | $544870.86    | 0.08%             | 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        |   1923774 | PA      | $1580947.57   | 0.22%             | 2064-08-25      | Variable      | 6.39%                 | 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        |   1449123 | PA      | $1329809.27   | 0.18%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS               | Connecticut Avenue Securities Trust 2024-R04                                    | CUSIP: 20753GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13946086 | PA      | $13947829.70  | 1.94%             | 2044-05-25      | Floating      | 4.66%                 | 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        |   2724866 | PA      | $2340480.15   | 0.33%             | 2037-03-25      | Variable      | 3.96%                 | 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        |    917688 | PA      | $502697.12    | 0.07%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T | EFMT 2026-NQM3                                                                  | CUSIP: 26846JAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $998586.00    | 0.14%             | 2071-03-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| GCAT                           | GCAT 2026-NQM2 Trust                                                            | CUSIP: 36173JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5850000 | PA      | $5867046.90   | 0.82%             | 2071-02-25      | Variable      | 5.85%                 | 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        |   1507809 | PA      | $207035.25    | 0.03%             | 2036-10-25      | Floating      | 2.76%                 | 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        |   1502662 | PA      | $705806.70    | 0.10%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities  | GS Mortgage-Backed Securities Trust 2026-NQM1                                   | CUSIP: 36276EAA8<br>LEI: 254900WEVNJASLS4UV47 | Long             | ABS-MBS          | CORP              | US        |   2715743 | PA      | $2701579.57   | 0.38%             | 2066-03-25      | Variable      | 4.87%                 | 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        |    349608 | PA      | $180813.94    | 0.03%             | 2036-01-25      | Fixed         | 6.50%                 | 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      | $138239.50    | 0.02%             | 2033-07-05      | Floating      | 6.51%                 | 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        |   4643728 | PA      | $3081575.71   | 0.43%             | 2037-06-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                     | MFA 2023-NQM3 Trust                                                             | CUSIP: 55286MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1003774.10   | 0.14%             | 2068-07-25      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| MSILF Government Portfolio     | MSILF Government Portfolio                                                      | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |  12979970 | NS      | $12979970.25  | 1.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Residential Mor | Morgan Stanley Residential Mortgage Loan Trust 2026-NQM2                        | CUSIP: 617949AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1969502.00   | 0.27%             | 2071-01-26      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                     | NLT 2021-INV2 Trust                                                             | CUSIP: 62917JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3483070.65   | 0.48%             | 2056-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust        | NYMT Loan Trust 2026-INV1                                                       | CUSIP: 62957GAF4<br>LEI: 254900Y31NJCJWYHMA05 | Long             | ABS-MBS          | CORP              | US        |   1395166 | PA      | $1387842.10   | 0.19%             | 2061-02-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust        | NYMT Loan Trust 2026-INV1                                                       | CUSIP: 62957GAJ6<br>LEI: 254900Y31NJCJWYHMA05 | Long             | ABS-MBS          | CORP              | US        |    498274 | PA      | $493389.60    | 0.07%             | 2061-02-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan  | NRZT 2025-NQM6                                                                  | CUSIP: 64832KAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1794555 | PA      | $1783469.33   | 0.25%             | 2065-10-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2025-NQM7 Trust                                                             | CUSIP: 67121DAA2<br>LEI: 2549008GB179CC65SK60 | Long             | ABS-MBS          | CORP              | US        |   8036414 | PA      | $8078919.76   | 1.12%             | 2055-05-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2025-R1 Trust                                                               | CUSIP: 67123GAF2<br>LEI: 254900UIO03AL696QM79 | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1344023.82   | 0.19%             | 2062-09-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC       | OBX 2025-NQM6 Trust                                                             | CUSIP: 67448UAA0<br>LEI: 254900W46UQEWQMYYZ02 | Long             | ABS-MBS          | CORP              | US        |   3733724 | PA      | $3755070.20   | 0.52%             | 2065-03-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR5 Trust                                            | CUSIP: 74334RAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6992773 | PA      | $6598867.29   | 0.92%             | 2042-10-17      | Fixed         | 4.00%                 | 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        |   1948555 | PA      | $1613881.19   | 0.22%             | 2046-07-25      | Floating      | 4.17%                 | 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        |  10585724 | PA      | $8709849.29   | 1.21%             | 2037-03-25      | Floating      | 3.98%                 | 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        |   3109649 | PA      | $2905004.00   | 0.40%             | 2047-09-25      | Floating      | 4.17%                 | 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        |    259868 | PA      | $226746.86    | 0.03%             | 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        |    941950 | PA      | $816565.78    | 0.11%             | 2049-07-25      | Variable      | 6.30%                 | 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        |   1293808 | PA      | $1018517.86   | 0.14%             | 2051-05-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo | Velocity Commercial Capital Loan Trust 2025-1                                   | CUSIP: 922955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8085670 | PA      | $8150647.58   | 1.13%             | 2055-02-25      | Variable      | 6.03%                 | 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      | $1775081.29   | 0.25%             | 2064-02-25      | Variable      | 3.25%                 | 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      | $5599293.83   | 0.78%             | 2066-10-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2024-9                                               | CUSIP: 92540RAC8<br>LEI: 213800LFRCPWSTP6LX39 | Long             | ABS-MBS          | CORP              | US        |   5323881 | PA      | $5341344.91   | 0.74%             | 2069-11-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust     | Verus Securitization Trust 2025-5                                               | CUSIP: 92540XAD3<br>LEI: 213800Z7TIVJRAYLRV98 | Long             | ABS-MBS          | CORP              | US        |   2036000 | PA      | $2035980.86   | 0.28%             | 2070-06-25      | Variable      | 6.01%                 | 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        |   1511041 | PA      | $1257174.78   | 0.17%             | 2037-04-25      | Fixed         | 6.00%                 | 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        |   1964678 | PA      | $628594.08    | 0.09%             | 2036-09-25      | Floating      | 4.39%                 | 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        |    435451 | PA      | $169303.88    | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust     | Progress Residential 2025-SFR4 Trust                                            | CUSIP: 74290JAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12650000 | PA      | $12491511.95  | 1.74%             | 2042-08-17      | Fixed         | 5.05%                 | 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        |    383261 | PA      | $352062.00    | 0.05%             | 2037-01-25      | Fixed         | 6.25%                 | 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        |   1270012 | PA      | $173147.39    | 0.02%             | 2036-09-25      | Floating      | 3.51%                 | 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        |    933628 | PA      | $634318.15    | 0.09%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Recei | Santander Mortgage Asset Receivable Trust 2025-NQM5                             | CUSIP: 80262CAF5<br>LEI: 254900FHBJ2YHHBOAU80 | Long             | ABS-MBS          | CORP              | US        |   4097650 | PA      | $4092802.07   | 0.57%             | 2065-08-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners            | SG Residential Mortgage Trust 2026-1                                            | CUSIP: 818916AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $987676.30    | 0.14%             | 2066-01-25      | Variable      | 5.54%                 | 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      | $4298674.49   | 0.60%             | 2059-11-25      | Variable      | 4.07%                 | No            |                  2 | 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        |    478428 | PA      | $203450.69    | 0.03%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-28

**Name of Applicant:** DoubleLine Funds Trust

**Signature:** /s/ Ana Alcantara

**Name of Signer:** DoubleLine Funds Trust

**Title:** Vice President