# EDGAR Filing Document

**Accession Number:** 0000773757
**File Stem:** 0001410368-26-040915
**Filing Date:** 2026-4
**Character Count:** 667972
**Document Hash:** 0343f53d5d576bf82d190ea567e7697c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-040915.hdr.sgml**: 20260427

**ACCESSION NUMBER**: 0001410368-26-040915

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 3

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260427

**DATE AS OF CHANGE**: 20260427

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** COLUMBIA FUNDS SERIES TRUST I
- **CENTRAL INDEX KEY:** 0000773757

**ORGANIZATION NAME:**
- **EIN:** 363376651
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04367
- **FILM NUMBER:** 26900095

**BUSINESS ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 800-345-6611

**MAIL ADDRESS:**
- **STREET 1:** 290 CONGRESS STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** COLUMBIA FUNDS TRUST IX
- **DATE OF NAME CHANGE:** 20031107

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LIBERTY STEIN ROE FUNDS MUNICIPAL TRUST
- **DATE OF NAME CHANGE:** 19991025

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** STEINROE MUNICIPAL TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Columbia Multi Strategy Alternatives Fund (Series ID: S000048058)

| Class ID   | Class Name                                                    | Ticker Symbol   |
|:---|:---|:---|
| C000151801 | Columbia Multi Strategy Alternatives Fund Class A             | CLAAX           |
| C000151802 | Columbia Multi Strategy Alternatives Fund Class C             | CLABX           |
| C000151809 | Columbia Multi Strategy Alternatives Fund Institutional Class | CLAZX           |

## Nport-Ex

![](imgd395574c1.jpg)

Columbia Multi Strategy Alternatives Fund

**Third Quarter Report**

February 28, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Not FDIC or NCUA Insured** | **No Financial Institution Guarantee** | **May Lose Value** |

---

------

Consolidated Portfolio of Investments

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

(Percentages represent value of investments compared to net assets)

**Investments in securities**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
| **Asset-Backed Securities - Non-Agency 1.9%** | **Asset-Backed Securities - Non-Agency 1.9%** | **Asset-Backed Securities - Non-Agency 1.9%** | **Asset-Backed Securities - Non-Agency 1.9%** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Affirm Asset Securitization Trust<sup>(a),(b),(c)</sup>  | Affirm Asset Securitization Trust<sup>(a),(b),(c)</sup>  | Affirm Asset Securitization Trust<sup>(a),(b),(c)</sup>  | Affirm Asset Securitization Trust<sup>(a),(b),(c)</sup>  |
| Series 2024-X2 Class CERT | Series 2024-X2 Class CERT | Series 2024-X2 Class CERT | Series 2024-X2 Class CERT |
| 12/17/2029 | &nbsp;&nbsp; 0.000% | 4624 | &nbsp;&nbsp; 65552 |
| ASP WHCO Participation LP<sup>(a),(d),(e)</sup>  | ASP WHCO Participation LP<sup>(a),(d),(e)</sup>  | ASP WHCO Participation LP<sup>(a),(d),(e)</sup>  | ASP WHCO Participation LP<sup>(a),(d),(e)</sup>  |
| &nbsp;&nbsp; 30-day Average SOFR + 2.400% <br>Floor 3.000% <br>03/29/2029<br>| &nbsp;&nbsp; 6.713% | 1000000 | &nbsp;&nbsp; 1000000 |
| Cayuga Park CLO Ltd.<sup>(a),(e)</sup>  | Cayuga Park CLO Ltd.<sup>(a),(e)</sup>  | Cayuga Park CLO Ltd.<sup>(a),(e)</sup>  | Cayuga Park CLO Ltd.<sup>(a),(e)</sup>  |
| Series 2020-1A Class AR2 | Series 2020-1A Class AR2 | Series 2020-1A Class AR2 | Series 2020-1A Class AR2 |
| &nbsp;&nbsp; 3-month Term SOFR + 1.200% <br>Floor 1.200% <br>10/17/2038<br>| &nbsp;&nbsp; 4.868% | 1000000 | &nbsp;&nbsp; 998817 |
| EDGEX Issuer Trust<sup>(a)</sup>  | EDGEX Issuer Trust<sup>(a)</sup>  | EDGEX Issuer Trust<sup>(a)</sup>  | EDGEX Issuer Trust<sup>(a)</sup>  |
| Series 2025-1NN Class B | Series 2025-1NN Class B | Series 2025-1NN Class B | Series 2025-1NN Class B |
| 01/15/2031 | &nbsp;&nbsp; 6.850% | 399988 | &nbsp;&nbsp; 404344 |
| Series 2025-2NN Class A | Series 2025-2NN Class A | Series 2025-2NN Class A | Series 2025-2NN Class A |
| 01/15/2032 | &nbsp;&nbsp; 5.498% | 325200 | &nbsp;&nbsp; 326108 |
| Series 2025-2NN Class B | Series 2025-2NN Class B | Series 2025-2NN Class B | Series 2025-2NN Class B |
| 01/15/2032 | &nbsp;&nbsp; 6.475% | 594733 | &nbsp;&nbsp; 601396 |
| EDGEX Issuer Trust<sup>(a),(c)</sup>  | EDGEX Issuer Trust<sup>(a),(c)</sup>  | EDGEX Issuer Trust<sup>(a),(c)</sup>  | EDGEX Issuer Trust<sup>(a),(c)</sup>  |
| Series 2025-1NN Class CERT | Series 2025-1NN Class CERT | Series 2025-1NN Class CERT | Series 2025-1NN Class CERT |
| 01/15/2031 | &nbsp;&nbsp; 0.000% | 450000 | &nbsp;&nbsp; 347470 |
| Elmwood CLO VIII Ltd.<sup>(a),(e)</sup>  | Elmwood CLO VIII Ltd.<sup>(a),(e)</sup>  | Elmwood CLO VIII Ltd.<sup>(a),(e)</sup>  | Elmwood CLO VIII Ltd.<sup>(a),(e)</sup>  |
| Series 2024-1A Class ER | Series 2024-1A Class ER | Series 2024-1A Class ER | Series 2024-1A Class ER |
| &nbsp;&nbsp; 3-month Term SOFR + 6.250% <br>Floor 6.250% <br>04/20/2037<br>| &nbsp;&nbsp; 9.918% | 250000 | &nbsp;&nbsp; 241673 |
| Exeter Automobile Receivables Trust<sup>(a)</sup>  | Exeter Automobile Receivables Trust<sup>(a)</sup>  | Exeter Automobile Receivables Trust<sup>(a)</sup>  | Exeter Automobile Receivables Trust<sup>(a)</sup>  |
| Series 2026-1 Class E | Series 2026-1 Class E | Series 2026-1 Class E | Series 2026-1 Class E |
| 08/15/2033 | &nbsp;&nbsp; 6.690% | 250000 | &nbsp;&nbsp; 252852 |
| Lendbuzz Securitization Trust<sup>(a)</sup>  | Lendbuzz Securitization Trust<sup>(a)</sup>  | Lendbuzz Securitization Trust<sup>(a)</sup>  | Lendbuzz Securitization Trust<sup>(a)</sup>  |
| Series 202026-1A Class C | Series 202026-1A Class C | Series 202026-1A Class C | Series 202026-1A Class C |
| 09/15/2031 | &nbsp;&nbsp; 7.450% | 100000 | &nbsp;&nbsp; 100711 |
| Series 2026-1A Class B | Series 2026-1A Class B | Series 2026-1A Class B | Series 2026-1A Class B |
| 12/16/2030 | &nbsp;&nbsp; 6.400% | 100000 | &nbsp;&nbsp; 100605 |
| MPOWER Education Trust<sup>(a)</sup>  | MPOWER Education Trust<sup>(a)</sup>  | MPOWER Education Trust<sup>(a)</sup>  | MPOWER Education Trust<sup>(a)</sup>  |
| Series 2025-1 Class B | Series 2025-1 Class B | Series 2025-1 Class B | Series 2025-1 Class B |
| 12/22/2042 | &nbsp;&nbsp; 8.180% | 100000 | &nbsp;&nbsp; 102932 |
| MRQI<sup>(a)</sup>  | MRQI<sup>(a)</sup>  | MRQI<sup>(a)</sup>  | MRQI<sup>(a)</sup>  |
| Series 2026-HI1 Class D | Series 2026-HI1 Class D | Series 2026-HI1 Class D | Series 2026-HI1 Class D |
| 01/25/2046 | &nbsp;&nbsp; 6.000% | 194000 | &nbsp;&nbsp; 192923 |
| Series 2026-HI1A Class E | Series 2026-HI1A Class E | Series 2026-HI1A Class E | Series 2026-HI1A Class E |
| 01/25/2046 | &nbsp;&nbsp; 6.000% | 143000 | &nbsp;&nbsp; 141748 |
| Pagaya AI Debt Grantor Trust<sup>(a)</sup>  | Pagaya AI Debt Grantor Trust<sup>(a)</sup>  | Pagaya AI Debt Grantor Trust<sup>(a)</sup>  | Pagaya AI Debt Grantor Trust<sup>(a)</sup>  |
| Series 2025-R3 Class A | Series 2025-R3 Class A | Series 2025-R3 Class A | Series 2025-R3 Class A |
| 01/18/2033 | &nbsp;&nbsp; 4.841% | 464529 | &nbsp;&nbsp; 465007 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Asset-Backed Securities - Non-Agency (continued)** | **Asset-Backed Securities - Non-Agency (continued)** | **Asset-Backed Securities - Non-Agency (continued)** | **Asset-Backed Securities - Non-Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Series 2026-1 Class B | Series 2026-1 Class B | Series 2026-1 Class B | Series 2026-1 Class B |
| 09/15/2033 | &nbsp;&nbsp; 5.370% | 780000 | &nbsp;&nbsp; 785581 |
| Subordinated Series 2024-10 Class D | Subordinated Series 2024-10 Class D | Subordinated Series 2024-10 Class D | Subordinated Series 2024-10 Class D |
| 06/15/2032 | &nbsp;&nbsp; 6.429% | 299096 | &nbsp;&nbsp; 301891 |
| Pagaya AI Debt Grantor Trust<sup>(a),(f)</sup>  | Pagaya AI Debt Grantor Trust<sup>(a),(f)</sup>  | Pagaya AI Debt Grantor Trust<sup>(a),(f)</sup>  | Pagaya AI Debt Grantor Trust<sup>(a),(f)</sup>  |
| Series 2026-1 Class A2 | Series 2026-1 Class A2 | Series 2026-1 Class A2 | Series 2026-1 Class A2 |
| 09/15/2033 | &nbsp;&nbsp; 0.000% | 290000 | &nbsp;&nbsp; 290237 |
| Pagaya AI Debt Selection Trust<sup>(a),(c)</sup>  | Pagaya AI Debt Selection Trust<sup>(a),(c)</sup>  | Pagaya AI Debt Selection Trust<sup>(a),(c)</sup>  | Pagaya AI Debt Selection Trust<sup>(a),(c)</sup>  |
| Series 2020-3 Class CERT | Series 2020-3 Class CERT | Series 2020-3 Class CERT | Series 2020-3 Class CERT |
| 05/17/2027 | &nbsp;&nbsp; 0.000% | 3200000 | &nbsp;&nbsp; 5087 |
| Series 2021-1 Class CERT | Series 2021-1 Class CERT | Series 2021-1 Class CERT | Series 2021-1 Class CERT |
| 11/15/2027 | &nbsp;&nbsp; 0.000% | 696200 | &nbsp;&nbsp; 0 |
| Subordinated Series 2021-5 Class | Subordinated Series 2021-5 Class | Subordinated Series 2021-5 Class | Subordinated Series 2021-5 Class |
| 08/15/2029 | &nbsp;&nbsp; 0.000% | 865000 | &nbsp;&nbsp; 27443 |
| Pagaya AI Debt Trust<sup>(a)</sup>  | Pagaya AI Debt Trust<sup>(a)</sup>  | Pagaya AI Debt Trust<sup>(a)</sup>  | Pagaya AI Debt Trust<sup>(a)</sup>  |
| Subordinated Series 2022-5 Class B | Subordinated Series 2022-5 Class B | Subordinated Series 2022-5 Class B | Subordinated Series 2022-5 Class B |
| 06/17/2030 | &nbsp;&nbsp; 10.310% | 304656 | &nbsp;&nbsp; 316387 |
| Subordinated Series 2024-2 Class C | Subordinated Series 2024-2 Class C | Subordinated Series 2024-2 Class C | Subordinated Series 2024-2 Class C |
| 08/15/2031 | &nbsp;&nbsp; 7.573% | 131820 | &nbsp;&nbsp; 133621 |
| Reach Abs Trust<sup>(a)</sup>  | Reach Abs Trust<sup>(a)</sup>  | Reach Abs Trust<sup>(a)</sup>  | Reach Abs Trust<sup>(a)</sup>  |
| Series 2026-1 Class A | Series 2026-1 Class A | Series 2026-1 Class A | Series 2026-1 Class A |
| 02/15/2033 | &nbsp;&nbsp; 4.320% | 275016 | &nbsp;&nbsp; 274993 |
| Research-Driven Pagaya Motor Asset Trust IV<sup>(a)</sup>  | Research-Driven Pagaya Motor Asset Trust IV<sup>(a)</sup>  | Research-Driven Pagaya Motor Asset Trust IV<sup>(a)</sup>  | Research-Driven Pagaya Motor Asset Trust IV<sup>(a)</sup>  |
| Series 2021-2A Class A | Series 2021-2A Class A | Series 2021-2A Class A | Series 2021-2A Class A |
| 03/25/2030 | &nbsp;&nbsp; 2.650% | 142936 | &nbsp;&nbsp; 141637 |
| Research-Driven Pagaya Motor Trust<sup>(a)</sup>  | Research-Driven Pagaya Motor Trust<sup>(a)</sup>  | Research-Driven Pagaya Motor Trust<sup>(a)</sup>  | Research-Driven Pagaya Motor Trust<sup>(a)</sup>  |
| Series 2025-6A Class A3 | Series 2025-6A Class A3 | Series 2025-6A Class A3 | Series 2025-6A Class A3 |
| 08/25/2034 | &nbsp;&nbsp; 5.013% | 420000 | &nbsp;&nbsp; 421512 |
| RR 16 Ltd.<sup>(a),(e)</sup>  | RR 16 Ltd.<sup>(a),(e)</sup>  | RR 16 Ltd.<sup>(a),(e)</sup>  | RR 16 Ltd.<sup>(a),(e)</sup>  |
| Series 2021-16A Class D | Series 2021-16A Class D | Series 2021-16A Class D | Series 2021-16A Class D |
| &nbsp;&nbsp; 3-month Term SOFR + 6.512% <br>Floor 6.250% <br>07/15/2036<br>| &nbsp;&nbsp; 10.184% | 266667 | &nbsp;&nbsp; 256895 |
| Upstart Securitization Trust<sup>(a)</sup>  | Upstart Securitization Trust<sup>(a)</sup>  | Upstart Securitization Trust<sup>(a)</sup>  | Upstart Securitization Trust<sup>(a)</sup>  |
| Series 2025-1 Class C | Series 2025-1 Class C | Series 2025-1 Class C | Series 2025-1 Class C |
| 04/20/2035 | &nbsp;&nbsp; 9.270% | 1000000 | &nbsp;&nbsp; 1075881 |
| Subordinated Series 2024-1 Class C | Subordinated Series 2024-1 Class C | Subordinated Series 2024-1 Class C | Subordinated Series 2024-1 Class C |
| 11/20/2034 | &nbsp;&nbsp; 8.680% | 800000 | &nbsp;&nbsp; 848073 |
| US Auto Funding<sup>(a)</sup>  | US Auto Funding<sup>(a)</sup>  | US Auto Funding<sup>(a)</sup>  | US Auto Funding<sup>(a)</sup>  |
| Subordinated Series 2021-1A Class D | Subordinated Series 2021-1A Class D | Subordinated Series 2021-1A Class D | Subordinated Series 2021-1A Class D |
| 03/15/2027 | &nbsp;&nbsp; 4.360% | 1125000 | &nbsp;&nbsp; 262 |
| &nbsp;&nbsp; Total Asset-Backed Securities — Non-Agency <br>(Cost $11,881,430) | &nbsp;&nbsp; Total Asset-Backed Securities — Non-Agency <br>(Cost $11,881,430) | &nbsp;&nbsp; Total Asset-Backed Securities — Non-Agency <br>(Cost $11,881,430) | &nbsp;&nbsp; **10221638** |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Commercial Mortgage-Backed Securities - Agency 0.1%** | **Commercial Mortgage-Backed Securities - Agency 0.1%** | **Commercial Mortgage-Backed Securities - Agency 0.1%** | **Commercial Mortgage-Backed Securities - Agency 0.1%** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Government National Mortgage Association<sup>(g),(h)</sup>  | Government National Mortgage Association<sup>(g),(h)</sup>  | Government National Mortgage Association<sup>(g),(h)</sup>  | Government National Mortgage Association<sup>(g),(h)</sup>  |
| Series 2019-102 Class IB | Series 2019-102 Class IB | Series 2019-102 Class IB | Series 2019-102 Class IB |
| 03/16/2060 | &nbsp;&nbsp; 0.835% | 1229411 | &nbsp;&nbsp; 57040 |
| Series 2019-131 Class IO | Series 2019-131 Class IO | Series 2019-131 Class IO | Series 2019-131 Class IO |
| 07/16/2061 | &nbsp;&nbsp; 0.803% | 2545996 | &nbsp;&nbsp; 145293 |
| Series 2020-19 Class IO | Series 2020-19 Class IO | Series 2020-19 Class IO | Series 2020-19 Class IO |
| 12/16/2061 | &nbsp;&nbsp; 0.720% | 1551408 | &nbsp;&nbsp; 69949 |
| Series 2020-3 Class IO | Series 2020-3 Class IO | Series 2020-3 Class IO | Series 2020-3 Class IO |
| 02/16/2062 | &nbsp;&nbsp; 0.616% | 1864262 | &nbsp;&nbsp; 67720 |
| &nbsp;&nbsp; Total Commercial Mortgage-Backed Securities - Agency <br>(Cost $967,946) | &nbsp;&nbsp; Total Commercial Mortgage-Backed Securities - Agency <br>(Cost $967,946) | &nbsp;&nbsp; Total Commercial Mortgage-Backed Securities - Agency <br>(Cost $967,946) | &nbsp;&nbsp; **340002** |
| **Commercial Mortgage-Backed Securities - Non-Agency 0.4%** | **Commercial Mortgage-Backed Securities - Non-Agency 0.4%** | **Commercial Mortgage-Backed Securities - Non-Agency 0.4%** | **Commercial Mortgage-Backed Securities - Non-Agency 0.4%** |
| BHMS Commercial Mortgage Trust<sup>(a),(e)</sup>  | BHMS Commercial Mortgage Trust<sup>(a),(e)</sup>  | BHMS Commercial Mortgage Trust<sup>(a),(e)</sup>  | BHMS Commercial Mortgage Trust<sup>(a),(e)</sup>  |
| Series 2025-ATLS Class B | Series 2025-ATLS Class B | Series 2025-ATLS Class B | Series 2025-ATLS Class B |
| &nbsp;&nbsp; 1-month Term SOFR + 2.650% <br>Floor 2.650% <br>08/15/2042<br>| &nbsp;&nbsp; 6.230% | 200000 | &nbsp;&nbsp; 200627 |
| BXP Trust<sup>(a),(g)</sup>  | BXP Trust<sup>(a),(g)</sup>  | BXP Trust<sup>(a),(g)</sup>  | BXP Trust<sup>(a),(g)</sup>  |
| Subordinated Series 2021-601L Class E | Subordinated Series 2021-601L Class E | Subordinated Series 2021-601L Class E | Subordinated Series 2021-601L Class E |
| 01/15/2044 | &nbsp;&nbsp; 2.776% | 350000 | &nbsp;&nbsp; 281524 |
| Credit Suisse Mortgage Capital Certificates OA LLC<sup>(a)</sup>  | Credit Suisse Mortgage Capital Certificates OA LLC<sup>(a)</sup>  | Credit Suisse Mortgage Capital Certificates OA LLC<sup>(a)</sup>  | Credit Suisse Mortgage Capital Certificates OA LLC<sup>(a)</sup>  |
| Subordinated Series 2014-USA Class E | Subordinated Series 2014-USA Class E | Subordinated Series 2014-USA Class E | Subordinated Series 2014-USA Class E |
| 09/15/2037 | &nbsp;&nbsp; 4.373% | 150000 | &nbsp;&nbsp; 120692 |
| Hilton USA Trust<sup>(a),(i)</sup>  | Hilton USA Trust<sup>(a),(i)</sup>  | Hilton USA Trust<sup>(a),(i)</sup>  | Hilton USA Trust<sup>(a),(i)</sup>  |
| Subordinated Series 2016-SFP Class F | Subordinated Series 2016-SFP Class F | Subordinated Series 2016-SFP Class F | Subordinated Series 2016-SFP Class F |
| 11/05/2035 | &nbsp;&nbsp; 0.000% | 1700000 | &nbsp;&nbsp; 34146 |
| Home Partners of America Trust<sup>(a)</sup>  | Home Partners of America Trust<sup>(a)</sup>  | Home Partners of America Trust<sup>(a)</sup>  | Home Partners of America Trust<sup>(a)</sup>  |
| Series 2019-2 Class F | Series 2019-2 Class F | Series 2019-2 Class F | Series 2019-2 Class F |
| 10/19/2039 | &nbsp;&nbsp; 3.866% | 327875 | &nbsp;&nbsp; 319676 |
| Wells Fargo Commercial Mortgage Trust<sup>(a),(e)</sup>  | Wells Fargo Commercial Mortgage Trust<sup>(a),(e)</sup>  | Wells Fargo Commercial Mortgage Trust<sup>(a),(e)</sup>  | Wells Fargo Commercial Mortgage Trust<sup>(a),(e)</sup>  |
| Series 2017-SMP Class A | Series 2017-SMP Class A | Series 2017-SMP Class A | Series 2017-SMP Class A |
| &nbsp;&nbsp; 1-month Term SOFR + 0.922% <br>Floor 0.750% <br>12/15/2034<br>| &nbsp;&nbsp; 4.582% | 1000000 | &nbsp;&nbsp; 930050 |
| &nbsp;&nbsp; Total Commercial Mortgage-Backed Securities - Non-Agency <br>(Cost $3,553,761) | &nbsp;&nbsp; Total Commercial Mortgage-Backed Securities - Non-Agency <br>(Cost $3,553,761) | &nbsp;&nbsp; Total Commercial Mortgage-Backed Securities - Non-Agency <br>(Cost $3,553,761) | &nbsp;&nbsp; **1886715** |
| **Residential Mortgage-Backed Securities - Agency 22.9%** | **Residential Mortgage-Backed Securities - Agency 22.9%** | **Residential Mortgage-Backed Securities - Agency 22.9%** | **Residential Mortgage-Backed Securities - Agency 22.9%** |
| Fannie Mae REMICS<sup>(e),(h)</sup>  | Fannie Mae REMICS<sup>(e),(h)</sup>  | Fannie Mae REMICS<sup>(e),(h)</sup>  | Fannie Mae REMICS<sup>(e),(h)</sup>  |
| CMO Series 2017-81 Class SM | CMO Series 2017-81 Class SM | CMO Series 2017-81 Class SM | CMO Series 2017-81 Class SM |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.086% <br>Cap 6.200% <br>10/25/2047<br>| &nbsp;&nbsp; 2.418% | 1499990 | &nbsp;&nbsp; 207235 |
| CMO Series 2018-64 Class SE | CMO Series 2018-64 Class SE | CMO Series 2018-64 Class SE | CMO Series 2018-64 Class SE |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.086% <br>Cap 6.200% <br>09/25/2048<br>| &nbsp;&nbsp; 2.418% | 1443563 | &nbsp;&nbsp; 195983 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2020-22 Class SA | CMO Series 2020-22 Class SA | CMO Series 2020-22 Class SA | CMO Series 2020-22 Class SA |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.214% <br>Cap 6.100% <br>04/25/2050<br>| &nbsp;&nbsp; 2.318% | 2359871 | &nbsp;&nbsp; 369021 |
| Fannie Mae REMICS<sup>(g),(h)</sup>  | Fannie Mae REMICS<sup>(g),(h)</sup>  | Fannie Mae REMICS<sup>(g),(h)</sup>  | Fannie Mae REMICS<sup>(g),(h)</sup>  |
| CMO Series 2022-90 Class GS | CMO Series 2022-90 Class GS | CMO Series 2022-90 Class GS | CMO Series 2022-90 Class GS |
| 07/25/2050 | &nbsp;&nbsp; 2.286% | 2655827 | &nbsp;&nbsp; 336598 |
| Fannie Mae REMICS<sup>(e)</sup>  | Fannie Mae REMICS<sup>(e)</sup>  | Fannie Mae REMICS<sup>(e)</sup>  | Fannie Mae REMICS<sup>(e)</sup>  |
| CMO Series 2025-12 Class LF | CMO Series 2025-12 Class LF | CMO Series 2025-12 Class LF | CMO Series 2025-12 Class LF |
| &nbsp;&nbsp; 30-day Average SOFR + 3.950% <br>Cap 8.250% <br>03/25/2055<br>| &nbsp;&nbsp; 7.617% | 978845 | &nbsp;&nbsp; 996956 |
| CMO Series 2025-16 Class MA | CMO Series 2025-16 Class MA | CMO Series 2025-16 Class MA | CMO Series 2025-16 Class MA |
| &nbsp;&nbsp; 30-day Average SOFR + 3.950% <br>Cap 8.250% <br>01/25/2055<br>| &nbsp;&nbsp; 7.617% | 562695 | &nbsp;&nbsp; 575915 |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |
| 11/01/2052 | &nbsp;&nbsp; 4.000% | 1574489 | &nbsp;&nbsp; 1532466 |
| 09/01/2053 | &nbsp;&nbsp; 5.500% | 1593148 | &nbsp;&nbsp; 1644188 |
| Federal Home Loan Mortgage Corp.<sup>(e),(h)</sup>  | Federal Home Loan Mortgage Corp.<sup>(e),(h)</sup>  | Federal Home Loan Mortgage Corp.<sup>(e),(h)</sup>  | Federal Home Loan Mortgage Corp.<sup>(e),(h)</sup>  |
| CMO Series 2013-101 Class HS | CMO Series 2013-101 Class HS | CMO Series 2013-101 Class HS | CMO Series 2013-101 Class HS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.386% <br>Cap 6.500% <br>10/25/2043<br>| &nbsp;&nbsp; 2.718% | 534321 | &nbsp;&nbsp; 74073 |
| CMO Series 4987 Class KS | CMO Series 4987 Class KS | CMO Series 4987 Class KS | CMO Series 4987 Class KS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.194% <br>Cap 6.080% <br>06/25/2050<br>| &nbsp;&nbsp; 2.298% | 1067310 | &nbsp;&nbsp; 169352 |
| CMO Series 4993 Class MS | CMO Series 4993 Class MS | CMO Series 4993 Class MS | CMO Series 4993 Class MS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.936% <br>Cap 6.050% <br>07/25/2050<br>| &nbsp;&nbsp; 2.268% | 1608917 | &nbsp;&nbsp; 258805 |
| Federal Home Loan Mortgage Corp. REMICS<sup>(e),(h)</sup>  | Federal Home Loan Mortgage Corp. REMICS<sup>(e),(h)</sup>  | Federal Home Loan Mortgage Corp. REMICS<sup>(e),(h)</sup>  | Federal Home Loan Mortgage Corp. REMICS<sup>(e),(h)</sup>  |
| CMO Series 4606 Class SL | CMO Series 4606 Class SL | CMO Series 4606 Class SL | CMO Series 4606 Class SL |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.886% <br>Cap 6.000% <br>12/15/2044<br>| &nbsp;&nbsp; 2.227% | 2600958 | &nbsp;&nbsp; 291925 |
| CMO Series 5138 Class SA | CMO Series 5138 Class SA | CMO Series 5138 Class SA | CMO Series 5138 Class SA |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.986% <br>Cap 6.100% <br>09/25/2047<br>| &nbsp;&nbsp; 2.318% | 1797308 | &nbsp;&nbsp; 244962 |
| Federal Home Loan Mortgage Corp. REMICS<sup>(h)</sup>  | Federal Home Loan Mortgage Corp. REMICS<sup>(h)</sup>  | Federal Home Loan Mortgage Corp. REMICS<sup>(h)</sup>  | Federal Home Loan Mortgage Corp. REMICS<sup>(h)</sup>  |
| CMO Series 5105 Class ID | CMO Series 5105 Class ID | CMO Series 5105 Class ID | CMO Series 5105 Class ID |
| 05/25/2051 | &nbsp;&nbsp; 3.000% | 2344835 | &nbsp;&nbsp; 456992 |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| 09/01/2052 | &nbsp;&nbsp; 5.000% | 1646520 | &nbsp;&nbsp; 1677754 |
| 02/01/2053 | &nbsp;&nbsp; 4.500% | 960671 | &nbsp;&nbsp; 954232 |
| 07/01/2055 | &nbsp;&nbsp; 5.500% | 1976056 | &nbsp;&nbsp; 2009161 |
| Federal National Mortgage Association<sup>(e),(h)</sup>  | Federal National Mortgage Association<sup>(e),(h)</sup>  | Federal National Mortgage Association<sup>(e),(h)</sup>  | Federal National Mortgage Association<sup>(e),(h)</sup>  |
| CMO Series 2020-38 Class WS | CMO Series 2020-38 Class WS | CMO Series 2020-38 Class WS | CMO Series 2020-38 Class WS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 4.886% <br>Cap 5.000% <br>06/25/2050<br>| &nbsp;&nbsp; 1.218% | 2532801 | &nbsp;&nbsp; 227309 |
| Federal National Mortgage Association REMICS<sup>(e),(h)</sup>  | Federal National Mortgage Association REMICS<sup>(e),(h)</sup>  | Federal National Mortgage Association REMICS<sup>(e),(h)</sup>  | Federal National Mortgage Association REMICS<sup>(e),(h)</sup>  |
| CMO Series 2019-5 Class SA | CMO Series 2019-5 Class SA | CMO Series 2019-5 Class SA | CMO Series 2019-5 Class SA |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.986% <br>Cap 6.100% <br>03/25/2049<br>| &nbsp;&nbsp; 2.318% | 1059379 | &nbsp;&nbsp; 121951 |
| CMO Series 2020-34 Class S | CMO Series 2020-34 Class S | CMO Series 2020-34 Class S | CMO Series 2020-34 Class S |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.936% <br>Cap 6.050% <br>06/25/2050<br>| &nbsp;&nbsp; 2.268% | 2407594 | &nbsp;&nbsp; 348890 |
| CMO Series 2020-54 Class AS | CMO Series 2020-54 Class AS | CMO Series 2020-54 Class AS | CMO Series 2020-54 Class AS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.036% <br>Cap 6.150% <br>08/25/2050<br>| &nbsp;&nbsp; 2.368% | 1573247 | &nbsp;&nbsp; 207434 |
| Freddie Mac REMICS<sup>(e),(h)</sup>  | Freddie Mac REMICS<sup>(e),(h)</sup>  | Freddie Mac REMICS<sup>(e),(h)</sup>  | Freddie Mac REMICS<sup>(e),(h)</sup>  |
| CMO Series 4979 Class YS | CMO Series 4979 Class YS | CMO Series 4979 Class YS | CMO Series 4979 Class YS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.936% <br>Cap 6.050% <br>06/25/2050<br>| &nbsp;&nbsp; 2.268% | 1366947 | &nbsp;&nbsp; 167226 |
| CMO Series 5544 Class SC | CMO Series 5544 Class SC | CMO Series 5544 Class SC | CMO Series 5544 Class SC |
| &nbsp;&nbsp; 30-day Average SOFR + 7.000% <br>Cap 7.000% <br>06/25/2055<br>| &nbsp;&nbsp; 3.333% | 1160005 | &nbsp;&nbsp; 134560 |
| CMO Series 5547 Class SE | CMO Series 5547 Class SE | CMO Series 5547 Class SE | CMO Series 5547 Class SE |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.100% <br>Cap 5.100% <br>06/25/2055<br>| &nbsp;&nbsp; 1.433% | 1897407 | &nbsp;&nbsp; 99804 |
| Freddie Mac REMICS<sup>(e)</sup>  | Freddie Mac REMICS<sup>(e)</sup>  | Freddie Mac REMICS<sup>(e)</sup>  | Freddie Mac REMICS<sup>(e)</sup>  |
| CMO Series 5513 Class MQ | CMO Series 5513 Class MQ | CMO Series 5513 Class MQ | CMO Series 5513 Class MQ |
| &nbsp;&nbsp; 30-day Average SOFR + 3.950% <br>Cap 8.250% <br>06/25/2054<br>| &nbsp;&nbsp; 7.617% | 603489 | &nbsp;&nbsp; 614624 |
| CMO Series 5542 Class F | CMO Series 5542 Class F | CMO Series 5542 Class F | CMO Series 5542 Class F |
| &nbsp;&nbsp; 30-day Average SOFR + 4.300% <br>05/25/2055<br>| &nbsp;&nbsp; 7.967% | 605130 | &nbsp;&nbsp; 614610 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 5548 Class F | CMO Series 5548 Class F | CMO Series 5548 Class F | CMO Series 5548 Class F |
| &nbsp;&nbsp; 30-day Average SOFR + 4.600% <br>Cap 8.700% <br>06/25/2055<br>| &nbsp;&nbsp; 8.267% | 991462 | &nbsp;&nbsp; 989224 |
| Government National Mortgage Association<sup>(e),(h)</sup>  | Government National Mortgage Association<sup>(e),(h)</sup>  | Government National Mortgage Association<sup>(e),(h)</sup>  | Government National Mortgage Association<sup>(e),(h)</sup>  |
| CMO Series 2010-9 Class XD | CMO Series 2010-9 Class XD | CMO Series 2010-9 Class XD | CMO Series 2010-9 Class XD |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.486% <br>Cap 6.600% <br>01/16/2040<br>| &nbsp;&nbsp; 2.826% | 1202987 | &nbsp;&nbsp; 146917 |
| CMO Series 2019-103 Class SA | CMO Series 2019-103 Class SA | CMO Series 2019-103 Class SA | CMO Series 2019-103 Class SA |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.936% <br>Cap 6.050% <br>08/20/2049<br>| &nbsp;&nbsp; 2.268% | 1584484 | &nbsp;&nbsp; 238793 |
| CMO Series 2019-120 Class CS | CMO Series 2019-120 Class CS | CMO Series 2019-120 Class CS | CMO Series 2019-120 Class CS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 3.286% <br>Cap 3.400% <br>09/20/2049<br>| &nbsp;&nbsp; 0.000% | 15419210 | &nbsp;&nbsp; 233453 |
| CMO Series 2019-21 Class QS | CMO Series 2019-21 Class QS | CMO Series 2019-21 Class QS | CMO Series 2019-21 Class QS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.986% <br>Cap 6.100% <br>10/20/2046<br>| &nbsp;&nbsp; 2.318% | 1840323 | &nbsp;&nbsp; 241817 |
| CMO Series 2019-92 Class SD | CMO Series 2019-92 Class SD | CMO Series 2019-92 Class SD | CMO Series 2019-92 Class SD |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.986% <br>Cap 6.100% <br>07/20/2049<br>| &nbsp;&nbsp; 2.318% | 1951333 | &nbsp;&nbsp; 257333 |
| CMO Series 2020-104 Class SA | CMO Series 2020-104 Class SA | CMO Series 2020-104 Class SA | CMO Series 2020-104 Class SA |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.086% <br>Cap 6.200% <br>07/20/2050<br>| &nbsp;&nbsp; 2.418% | 1018859 | &nbsp;&nbsp; 136123 |
| CMO Series 2020-34 Class SA | CMO Series 2020-34 Class SA | CMO Series 2020-34 Class SA | CMO Series 2020-34 Class SA |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.936% <br>Cap 6.050% <br>03/20/2050<br>| &nbsp;&nbsp; 2.268% | 1586042 | &nbsp;&nbsp; 233446 |
| CMO Series 2020-78 Class SD | CMO Series 2020-78 Class SD | CMO Series 2020-78 Class SD | CMO Series 2020-78 Class SD |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.036% <br>Cap 6.150% <br>06/20/2050<br>| &nbsp;&nbsp; 2.368% | 1761873 | &nbsp;&nbsp; 242084 |
| CMO Series 2021-117 Class HS | CMO Series 2021-117 Class HS | CMO Series 2021-117 Class HS | CMO Series 2021-117 Class HS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>07/20/2051<br>| &nbsp;&nbsp; 2.518% | 1779464 | &nbsp;&nbsp; 253346 |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2021-119 Class SC | CMO Series 2021-119 Class SC | CMO Series 2021-119 Class SC | CMO Series 2021-119 Class SC |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>07/20/2051<br>| &nbsp;&nbsp; 2.518% | 2571446 | &nbsp;&nbsp; 393288 |
| CMO Series 2021-122 Class SB | CMO Series 2021-122 Class SB | CMO Series 2021-122 Class SB | CMO Series 2021-122 Class SB |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 2.486% <br>Cap 2.600% <br>07/20/2051<br>| &nbsp;&nbsp; 0.000% | 5785463 | &nbsp;&nbsp; 33664 |
| CMO Series 2021-122 Class SG | CMO Series 2021-122 Class SG | CMO Series 2021-122 Class SG | CMO Series 2021-122 Class SG |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>07/20/2051<br>| &nbsp;&nbsp; 2.518% | 2886317 | &nbsp;&nbsp; 428333 |
| CMO Series 2021-156 Class SA | CMO Series 2021-156 Class SA | CMO Series 2021-156 Class SA | CMO Series 2021-156 Class SA |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>09/20/2051<br>| &nbsp;&nbsp; 2.518% | 2843041 | &nbsp;&nbsp; 417773 |
| CMO Series 2021-160 Class S | CMO Series 2021-160 Class S | CMO Series 2021-160 Class S | CMO Series 2021-160 Class S |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 2.650% <br>Cap 2.650% <br>09/20/2051<br>| &nbsp;&nbsp; 0.000% | 4780947 | &nbsp;&nbsp; 30817 |
| CMO Series 2021-161 Class SL | CMO Series 2021-161 Class SL | CMO Series 2021-161 Class SL | CMO Series 2021-161 Class SL |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>09/20/2051<br>| &nbsp;&nbsp; 2.518% | 2718272 | &nbsp;&nbsp; 406261 |
| CMO Series 2021-193 Class ES | CMO Series 2021-193 Class ES | CMO Series 2021-193 Class ES | CMO Series 2021-193 Class ES |
| &nbsp;&nbsp; 30-day Average SOFR + 1.700% <br>11/20/2051<br>| &nbsp;&nbsp; 0.000% | 16431511 | &nbsp;&nbsp; 42931 |
| CMO Series 2021-42 Class SD | CMO Series 2021-42 Class SD | CMO Series 2021-42 Class SD | CMO Series 2021-42 Class SD |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>11/20/2050<br>| &nbsp;&nbsp; 2.518% | 2824903 | &nbsp;&nbsp; 439563 |
| CMO Series 2021-42 Class SG | CMO Series 2021-42 Class SG | CMO Series 2021-42 Class SG | CMO Series 2021-42 Class SG |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>03/20/2051<br>| &nbsp;&nbsp; 2.518% | 2099502 | &nbsp;&nbsp; 293291 |
| CMO Series 2021-96 Class US | CMO Series 2021-96 Class US | CMO Series 2021-96 Class US | CMO Series 2021-96 Class US |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 3.250% <br>Cap 3.250% <br>06/20/2051<br>| &nbsp;&nbsp; 0.000% | 2751263 | &nbsp;&nbsp; 53025 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2021-97 Class CS | CMO Series 2021-97 Class CS | CMO Series 2021-97 Class CS | CMO Series 2021-97 Class CS |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 6.186% <br>Cap 6.300% <br>06/20/2051<br>| &nbsp;&nbsp; 2.518% | 2652890 | &nbsp;&nbsp; 383991 |
| CMO Series 2022-168 Class ST | CMO Series 2022-168 Class ST | CMO Series 2022-168 Class ST | CMO Series 2022-168 Class ST |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.000% <br>Cap 6.000% <br>09/20/2052<br>| &nbsp;&nbsp; 2.339% | 3778958 | &nbsp;&nbsp; 381485 |
| CMO Series 2022-46 Class SE | CMO Series 2022-46 Class SE | CMO Series 2022-46 Class SE | CMO Series 2022-46 Class SE |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 3.450% <br>Cap 3.450% <br>03/20/2052<br>| &nbsp;&nbsp; 0.000% | 2352804 | &nbsp;&nbsp; 44974 |
| CMO Series 2022-90 Class SJ | CMO Series 2022-90 Class SJ | CMO Series 2022-90 Class SJ | CMO Series 2022-90 Class SJ |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.936% <br>Cap 6.050% <br>01/20/2050<br>| &nbsp;&nbsp; 2.268% | 2457600 | &nbsp;&nbsp; 287472 |
| CMO Series 2023-113 Class CS | CMO Series 2023-113 Class CS | CMO Series 2023-113 Class CS | CMO Series 2023-113 Class CS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.730% <br>Cap 5.730% <br>08/20/2053<br>| &nbsp;&nbsp; 2.069% | 1230882 | &nbsp;&nbsp; 82325 |
| CMO Series 2023-115 Class SM | CMO Series 2023-115 Class SM | CMO Series 2023-115 Class SM | CMO Series 2023-115 Class SM |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.900% <br>Cap 5.900% <br>08/20/2053<br>| &nbsp;&nbsp; 2.239% | 2782368 | &nbsp;&nbsp; 188543 |
| CMO Series 2023-141 Class SQ | CMO Series 2023-141 Class SQ | CMO Series 2023-141 Class SQ | CMO Series 2023-141 Class SQ |
| &nbsp;&nbsp; -1.0 x 1-month Term SOFR + <br> 5.936% <br>Cap 6.050% <br>12/20/2049<br>| &nbsp;&nbsp; 2.268% | 2328761 | &nbsp;&nbsp; 294868 |
| CMO Series 2023-173 Class SB | CMO Series 2023-173 Class SB | CMO Series 2023-173 Class SB | CMO Series 2023-173 Class SB |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.650% <br>Cap 5.650% <br>11/20/2053<br>| &nbsp;&nbsp; 1.989% | 4733779 | &nbsp;&nbsp; 330615 |
| CMO Series 2023-47 Class AS | CMO Series 2023-47 Class AS | CMO Series 2023-47 Class AS | CMO Series 2023-47 Class AS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.350% <br>Cap 6.350% <br>03/20/2053<br>| &nbsp;&nbsp; 2.689% | 1530032 | &nbsp;&nbsp; 119973 |
| CMO Series 2023-66 Class BS | CMO Series 2023-66 Class BS | CMO Series 2023-66 Class BS | CMO Series 2023-66 Class BS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 6.150% <br>Cap 6.150% <br>05/20/2053<br>| &nbsp;&nbsp; 2.489% | 1586926 | &nbsp;&nbsp; 147857 |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2023-66 Class SQ | CMO Series 2023-66 Class SQ | CMO Series 2023-66 Class SQ | CMO Series 2023-66 Class SQ |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.400% <br>Cap 5.400% <br>05/20/2053<br>| &nbsp;&nbsp; 1.739% | 3903078 | &nbsp;&nbsp; 197946 |
| CMO Series 2024-51 Class US | CMO Series 2024-51 Class US | CMO Series 2024-51 Class US | CMO Series 2024-51 Class US |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.400% <br>Cap 5.400% <br>03/20/2054<br>| &nbsp;&nbsp; 1.739% | 2536804 | &nbsp;&nbsp; 131923 |
| CMO Series 2024-64 Class DS | CMO Series 2024-64 Class DS | CMO Series 2024-64 Class DS | CMO Series 2024-64 Class DS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 5.400% <br>Cap 5.400% <br>04/20/2054<br>| &nbsp;&nbsp; 1.739% | 3036744 | &nbsp;&nbsp; 159686 |
| CMO Series 2024-79 Class SH | CMO Series 2024-79 Class SH | CMO Series 2024-79 Class SH | CMO Series 2024-79 Class SH |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 7.250% <br>Cap 7.250% <br>05/20/2054<br>| &nbsp;&nbsp; 3.589% | 1482075 | &nbsp;&nbsp; 218674 |
| CMO Series 2024-97 Class KS | CMO Series 2024-97 Class KS | CMO Series 2024-97 Class KS | CMO Series 2024-97 Class KS |
| &nbsp;&nbsp; -1.0 x 30-day Average SOFR + <br> 7.300% <br>Cap 7.300% <br>06/20/2054<br>| &nbsp;&nbsp; 3.639% | 1850783 | &nbsp;&nbsp; 255029 |
| Government National Mortgage Association<sup>(h)</sup>  | Government National Mortgage Association<sup>(h)</sup>  | Government National Mortgage Association<sup>(h)</sup>  | Government National Mortgage Association<sup>(h)</sup>  |
| CMO Series 2020-138 Class JI | CMO Series 2020-138 Class JI | CMO Series 2020-138 Class JI | CMO Series 2020-138 Class JI |
| 09/20/2050 | &nbsp;&nbsp; 2.500% | 3696877 | &nbsp;&nbsp; 537452 |
| CMO Series 2020-164 Class CI | CMO Series 2020-164 Class CI | CMO Series 2020-164 Class CI | CMO Series 2020-164 Class CI |
| 11/20/2050 | &nbsp;&nbsp; 3.000% | 1621132 | &nbsp;&nbsp; 259134 |
| CMO Series 2020-175 Class KI | CMO Series 2020-175 Class KI | CMO Series 2020-175 Class KI | CMO Series 2020-175 Class KI |
| 11/20/2050 | &nbsp;&nbsp; 2.500% | 2581364 | &nbsp;&nbsp; 373916 |
| CMO Series 2020-191 Class UC | CMO Series 2020-191 Class UC | CMO Series 2020-191 Class UC | CMO Series 2020-191 Class UC |
| 12/20/2050 | &nbsp;&nbsp; 4.000% | 1712416 | &nbsp;&nbsp; 381938 |
| CMO Series 2021-158 Class VI | CMO Series 2021-158 Class VI | CMO Series 2021-158 Class VI | CMO Series 2021-158 Class VI |
| 09/20/2051 | &nbsp;&nbsp; 3.000% | 1994783 | &nbsp;&nbsp; 315287 |
| CMO Series 2021-160 Class CI | CMO Series 2021-160 Class CI | CMO Series 2021-160 Class CI | CMO Series 2021-160 Class CI |
| 09/20/2051 | &nbsp;&nbsp; 2.500% | 4047748 | &nbsp;&nbsp; 551838 |
| CMO Series 2021-24 Class MI | CMO Series 2021-24 Class MI | CMO Series 2021-24 Class MI | CMO Series 2021-24 Class MI |
| 02/20/2051 | &nbsp;&nbsp; 3.000% | 1562751 | &nbsp;&nbsp; 257852 |
| CMO Series 2021-7 Class IT | CMO Series 2021-7 Class IT | CMO Series 2021-7 Class IT | CMO Series 2021-7 Class IT |
| 01/16/2051 | &nbsp;&nbsp; 3.000% | 1560183 | &nbsp;&nbsp; 358192 |
| Government National Mortgage Association<sup>(e)</sup>  | Government National Mortgage Association<sup>(e)</sup>  | Government National Mortgage Association<sup>(e)</sup>  | Government National Mortgage Association<sup>(e)</sup>  |
| CMO Series 2025-39 Class M | CMO Series 2025-39 Class M | CMO Series 2025-39 Class M | CMO Series 2025-39 Class M |
| &nbsp;&nbsp; 30-day Average SOFR + 4.000% <br>Floor 4.000%, Cap 7.700% <br>03/20/2055<br>| &nbsp;&nbsp; 7.662% | 541003 | &nbsp;&nbsp; 562490 |
| Government National Mortgage Association TBA<sup>(j)</sup>  | Government National Mortgage Association TBA<sup>(j)</sup>  | Government National Mortgage Association TBA<sup>(j)</sup>  | Government National Mortgage Association TBA<sup>(j)</sup>  |
| 03/19/2056 | &nbsp;&nbsp; 4.500% | 11000000 | &nbsp;&nbsp; 10870234 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** | **Residential Mortgage-Backed Securities - Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Uniform Mortgage-Backed Security TBA<sup>(j)</sup>  | Uniform Mortgage-Backed Security TBA<sup>(j)</sup>  | Uniform Mortgage-Backed Security TBA<sup>(j)</sup>  | Uniform Mortgage-Backed Security TBA<sup>(j)</sup>  |
| 03/12/2038 | &nbsp;&nbsp; 6.000% | 21000000 | &nbsp;&nbsp; 21539454 |
| 03/13/2055 | &nbsp;&nbsp; 3.500% | 9000000 | &nbsp;&nbsp; 8480524 |
| 03/13/2055 | &nbsp;&nbsp; 4.000% | 23000000 | &nbsp;&nbsp; 22351707 |
| 03/13/2055 | &nbsp;&nbsp; 5.000% | 13000000 | &nbsp;&nbsp; 13058311 |
| 03/12/2056 | &nbsp;&nbsp; 4.500% | 18000000 | &nbsp;&nbsp; 17799303 |
| &nbsp;&nbsp; Total Residential Mortgage-Backed Securities - Agency <br>(Cost $123,431,807) | &nbsp;&nbsp; Total Residential Mortgage-Backed Securities - Agency <br>(Cost $123,431,807) | &nbsp;&nbsp; Total Residential Mortgage-Backed Securities - Agency <br>(Cost $123,431,807) | &nbsp;&nbsp; **120966501** |
| **Residential Mortgage-Backed Securities - Non-Agency 10.7%** | **Residential Mortgage-Backed Securities - Non-Agency 10.7%** | **Residential Mortgage-Backed Securities - Non-Agency 10.7%** | **Residential Mortgage-Backed Securities - Non-Agency 10.7%** |
| A&D Mortgage Trust<sup>(a),(k)</sup>  | A&D Mortgage Trust<sup>(a),(k)</sup>  | A&D Mortgage Trust<sup>(a),(k)</sup>  | A&D Mortgage Trust<sup>(a),(k)</sup>  |
| CMO Series 2025-NQM4 Class A1 | CMO Series 2025-NQM4 Class A1 | CMO Series 2025-NQM4 Class A1 | CMO Series 2025-NQM4 Class A1 |
| 10/25/2070 | &nbsp;&nbsp; 5.225% | 445363 | &nbsp;&nbsp; 449228 |
| A&D Mortgage Trust<sup>(a),(g)</sup>  | A&D Mortgage Trust<sup>(a),(g)</sup>  | A&D Mortgage Trust<sup>(a),(g)</sup>  | A&D Mortgage Trust<sup>(a),(g)</sup>  |
| CMO Series 2026-NQM1 Class A1 | CMO Series 2026-NQM1 Class A1 | CMO Series 2026-NQM1 Class A1 | CMO Series 2026-NQM1 Class A1 |
| 02/25/2071 | &nbsp;&nbsp; 4.912% | 347081 | &nbsp;&nbsp; 347946 |
| Subordinated CMO Series 2024-NQM1 Class B1 | Subordinated CMO Series 2024-NQM1 Class B1 | Subordinated CMO Series 2024-NQM1 Class B1 | Subordinated CMO Series 2024-NQM1 Class B1 |
| 02/25/2069 | &nbsp;&nbsp; 8.438% | 400000 | &nbsp;&nbsp; 407671 |
| Ajax Mortgage Loan Trust<sup>(a),(k)</sup>  | Ajax Mortgage Loan Trust<sup>(a),(k)</sup>  | Ajax Mortgage Loan Trust<sup>(a),(k)</sup>  | Ajax Mortgage Loan Trust<sup>(a),(k)</sup>  |
| CMO Series 2021-C Class A | CMO Series 2021-C Class A | CMO Series 2021-C Class A | CMO Series 2021-C Class A |
| 01/25/2061 | &nbsp;&nbsp; 6.115% | 142889 | &nbsp;&nbsp; 144019 |
| Ajax Mortgage Loan Trust<sup>(a),(g)</sup>  | Ajax Mortgage Loan Trust<sup>(a),(g)</sup>  | Ajax Mortgage Loan Trust<sup>(a),(g)</sup>  | Ajax Mortgage Loan Trust<sup>(a),(g)</sup>  |
| Subordinated CMO Series 2021-E Class B2 | Subordinated CMO Series 2021-E Class B2 | Subordinated CMO Series 2021-E Class B2 | Subordinated CMO Series 2021-E Class B2 |
| 12/25/2060 | &nbsp;&nbsp; 3.875% | 465000 | &nbsp;&nbsp; 300134 |
| Angel Oak Mortgage Trust<sup>(a),(g)</sup>  | Angel Oak Mortgage Trust<sup>(a),(g)</sup>  | Angel Oak Mortgage Trust<sup>(a),(g)</sup>  | Angel Oak Mortgage Trust<sup>(a),(g)</sup>  |
| CMO Series 2021-5 Class A3 | CMO Series 2021-5 Class A3 | CMO Series 2021-5 Class A3 | CMO Series 2021-5 Class A3 |
| 07/25/2066 | &nbsp;&nbsp; 1.311% | 244751 | &nbsp;&nbsp; 217718 |
| Arroyo Mortgage Trust<sup>(a)</sup>  | Arroyo Mortgage Trust<sup>(a)</sup>  | Arroyo Mortgage Trust<sup>(a)</sup>  | Arroyo Mortgage Trust<sup>(a)</sup>  |
| CMO Series 2020-1 Class M1 | CMO Series 2020-1 Class M1 | CMO Series 2020-1 Class M1 | CMO Series 2020-1 Class M1 |
| 03/25/2055 | &nbsp;&nbsp; 4.277% | 1870000 | &nbsp;&nbsp; 1785064 |
| Barclays Mortgage Trust<sup>(a),(k)</sup>  | Barclays Mortgage Trust<sup>(a),(k)</sup>  | Barclays Mortgage Trust<sup>(a),(k)</sup>  | Barclays Mortgage Trust<sup>(a),(k)</sup>  |
| CMO Series 2021-NPL1 Class B | CMO Series 2021-NPL1 Class B | CMO Series 2021-NPL1 Class B | CMO Series 2021-NPL1 Class B |
| 11/25/2051 | &nbsp;&nbsp; 4.625% | 264069 | &nbsp;&nbsp; 264438 |
| BRAVO Residential Funding Trust<sup>(a),(g)</sup>  | BRAVO Residential Funding Trust<sup>(a),(g)</sup>  | BRAVO Residential Funding Trust<sup>(a),(g)</sup>  | BRAVO Residential Funding Trust<sup>(a),(g)</sup>  |
| CMO Series 2020-NQM1 Class B1 | CMO Series 2020-NQM1 Class B1 | CMO Series 2020-NQM1 Class B1 | CMO Series 2020-NQM1 Class B1 |
| 05/25/2060 | &nbsp;&nbsp; 5.086% | 300000 | &nbsp;&nbsp; 300871 |
| CMO Series 2020-NQM1 Class B2 | CMO Series 2020-NQM1 Class B2 | CMO Series 2020-NQM1 Class B2 | CMO Series 2020-NQM1 Class B2 |
| 05/25/2060 | &nbsp;&nbsp; 5.922% | 430000 | &nbsp;&nbsp; 433328 |
| CMO Series 2025-HE1 Class B2 | CMO Series 2025-HE1 Class B2 | CMO Series 2025-HE1 Class B2 | CMO Series 2025-HE1 Class B2 |
| 09/25/2072 | &nbsp;&nbsp; 6.543% | 430000 | &nbsp;&nbsp; 422035 |
| Subordinated CMO Series 2021-NQM2 Class B1 | Subordinated CMO Series 2021-NQM2 Class B1 | Subordinated CMO Series 2021-NQM2 Class B1 | Subordinated CMO Series 2021-NQM2 Class B1 |
| 03/25/2060 | &nbsp;&nbsp; 3.044% | 200000 | &nbsp;&nbsp; 190171 |
| Subordinated CMO Series 2021-NQM2 Class B2 | Subordinated CMO Series 2021-NQM2 Class B2 | Subordinated CMO Series 2021-NQM2 Class B2 | Subordinated CMO Series 2021-NQM2 Class B2 |
| 03/25/2060 | &nbsp;&nbsp; 4.099% | 300000 | &nbsp;&nbsp; 273251 |
| Center Street Lending Resi-Investor ABS Mortgage Trust<sup>(a),(k)</sup>  | Center Street Lending Resi-Investor ABS Mortgage Trust<sup>(a),(k)</sup>  | Center Street Lending Resi-Investor ABS Mortgage Trust<sup>(a),(k)</sup>  | Center Street Lending Resi-Investor ABS Mortgage Trust<sup>(a),(k)</sup>  |
| CMO Series 2026-RTL1 Class A1 | CMO Series 2026-RTL1 Class A1 | CMO Series 2026-RTL1 Class A1 | CMO Series 2026-RTL1 Class A1 |
| 12/25/2030 | &nbsp;&nbsp; 5.375% | 800000 | &nbsp;&nbsp; 803251 |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CHNGE Mortgage Trust<sup>(a),(g)</sup>  | CHNGE Mortgage Trust<sup>(a),(g)</sup>  | CHNGE Mortgage Trust<sup>(a),(g)</sup>  | CHNGE Mortgage Trust<sup>(a),(g)</sup>  |
| CMO Series 2022-1 Class M1 | CMO Series 2022-1 Class M1 | CMO Series 2022-1 Class M1 | CMO Series 2022-1 Class M1 |
| 01/25/2067 | &nbsp;&nbsp; 3.990% | 350000 | &nbsp;&nbsp; 310387 |
| CMO Series 2023-3 Class M1 | CMO Series 2023-3 Class M1 | CMO Series 2023-3 Class M1 | CMO Series 2023-3 Class M1 |
| 07/25/2058 | &nbsp;&nbsp; 8.220% | 800000 | &nbsp;&nbsp; 803614 |
| Subordinated CMO Series 2022-1 Class B1 | Subordinated CMO Series 2022-1 Class B1 | Subordinated CMO Series 2022-1 Class B1 | Subordinated CMO Series 2022-1 Class B1 |
| 01/25/2067 | &nbsp;&nbsp; 4.554% | 650000 | &nbsp;&nbsp; 584314 |
| Subordinated CMO Series 2022-1 Class B2 | Subordinated CMO Series 2022-1 Class B2 | Subordinated CMO Series 2022-1 Class B2 | Subordinated CMO Series 2022-1 Class B2 |
| 01/25/2067 | &nbsp;&nbsp; 4.554% | 500000 | &nbsp;&nbsp; 431147 |
| Subordinated CMO Series 2023-1 Class B1 | Subordinated CMO Series 2023-1 Class B1 | Subordinated CMO Series 2023-1 Class B1 | Subordinated CMO Series 2023-1 Class B1 |
| 03/25/2058 | &nbsp;&nbsp; 8.062% | 473000 | &nbsp;&nbsp; 474512 |
| Subordinated CMO Series 2023-1 Class B2 | Subordinated CMO Series 2023-1 Class B2 | Subordinated CMO Series 2023-1 Class B2 | Subordinated CMO Series 2023-1 Class B2 |
| 03/25/2058 | &nbsp;&nbsp; 8.062% | 300000 | &nbsp;&nbsp; 300129 |
| Subordinated CMO Series 2023-2 Class B1 | Subordinated CMO Series 2023-2 Class B1 | Subordinated CMO Series 2023-2 Class B1 | Subordinated CMO Series 2023-2 Class B1 |
| 06/25/2058 | &nbsp;&nbsp; 7.937% | 200000 | &nbsp;&nbsp; 200488 |
| Subordinated CMO Series 2023-3 Class B1 | Subordinated CMO Series 2023-3 Class B1 | Subordinated CMO Series 2023-3 Class B1 | Subordinated CMO Series 2023-3 Class B1 |
| 07/25/2058 | &nbsp;&nbsp; 8.220% | 300000 | &nbsp;&nbsp; 301291 |
| CHNGE Mortgage Trust<sup>(a),(k)</sup>  | CHNGE Mortgage Trust<sup>(a),(k)</sup>  | CHNGE Mortgage Trust<sup>(a),(k)</sup>  | CHNGE Mortgage Trust<sup>(a),(k)</sup>  |
| CMO Series 2022-NQM1 Class M1 | CMO Series 2022-NQM1 Class M1 | CMO Series 2022-NQM1 Class M1 | CMO Series 2022-NQM1 Class M1 |
| 06/25/2067 | &nbsp;&nbsp; 5.820% | 250000 | &nbsp;&nbsp; 249242 |
| Citigroup Mortgage Loan Trust<sup>(a)</sup>  | Citigroup Mortgage Loan Trust<sup>(a)</sup>  | Citigroup Mortgage Loan Trust<sup>(a)</sup>  | Citigroup Mortgage Loan Trust<sup>(a)</sup>  |
| Subordinated CMO Series 2015-RP2 Class B5 | Subordinated CMO Series 2015-RP2 Class B5 | Subordinated CMO Series 2015-RP2 Class B5 | Subordinated CMO Series 2015-RP2 Class B5 |
| 01/25/2053 | &nbsp;&nbsp; 4.250% | 998443 | &nbsp;&nbsp; 793391 |
| Citigroup Mortgage Loan Trust<sup>(a),(g)</sup>  | Citigroup Mortgage Loan Trust<sup>(a),(g)</sup>  | Citigroup Mortgage Loan Trust<sup>(a),(g)</sup>  | Citigroup Mortgage Loan Trust<sup>(a),(g)</sup>  |
| Subordinated CMO Series 2018-RP3 Class B3 | Subordinated CMO Series 2018-RP3 Class B3 | Subordinated CMO Series 2018-RP3 Class B3 | Subordinated CMO Series 2018-RP3 Class B3 |
| 03/25/2061 | &nbsp;&nbsp; 3.250% | 700000 | &nbsp;&nbsp; 551790 |
| COLT Mortgage Loan Trust<sup>(a),(g)</sup>  | COLT Mortgage Loan Trust<sup>(a),(g)</sup>  | COLT Mortgage Loan Trust<sup>(a),(g)</sup>  | COLT Mortgage Loan Trust<sup>(a),(g)</sup>  |
| CMO Series 2021-3 Class A3 | CMO Series 2021-3 Class A3 | CMO Series 2021-3 Class A3 | CMO Series 2021-3 Class A3 |
| 09/27/2066 | &nbsp;&nbsp; 1.419% | 390580 | &nbsp;&nbsp; 343286 |
| CMO Series 2023-1 Class B2 | CMO Series 2023-1 Class B2 | CMO Series 2023-1 Class B2 | CMO Series 2023-1 Class B2 |
| 04/25/2068 | &nbsp;&nbsp; 7.917% | 300000 | &nbsp;&nbsp; 299729 |
| Subordinated CMO Series 2021-4 Class B1 | Subordinated CMO Series 2021-4 Class B1 | Subordinated CMO Series 2021-4 Class B1 | Subordinated CMO Series 2021-4 Class B1 |
| 10/25/2066 | &nbsp;&nbsp; 3.764% | 400000 | &nbsp;&nbsp; 333410 |
| Subordinated Series 2021-3 Class B1 | Subordinated Series 2021-3 Class B1 | Subordinated Series 2021-3 Class B1 | Subordinated Series 2021-3 Class B1 |
| 09/27/2066 | &nbsp;&nbsp; 3.059% | 200000 | &nbsp;&nbsp; 148865 |
| Connecticut Avenue Securities Trust<sup>(a),(e)</sup>  | Connecticut Avenue Securities Trust<sup>(a),(e)</sup>  | Connecticut Avenue Securities Trust<sup>(a),(e)</sup>  | Connecticut Avenue Securities Trust<sup>(a),(e)</sup>  |
| Subordinated CMO Series 2021-R03 Class 1B2 | Subordinated CMO Series 2021-R03 Class 1B2 | Subordinated CMO Series 2021-R03 Class 1B2 | Subordinated CMO Series 2021-R03 Class 1B2 |
| &nbsp;&nbsp; 30-day Average SOFR + 5.500% <br>Floor 5.500% <br>12/25/2041<br>| &nbsp;&nbsp; 9.167% | 550000 | &nbsp;&nbsp; 566821 |
| Subordinated CMO Series 2022-R01 Class 1B2 | Subordinated CMO Series 2022-R01 Class 1B2 | Subordinated CMO Series 2022-R01 Class 1B2 | Subordinated CMO Series 2022-R01 Class 1B2 |
| &nbsp;&nbsp; 30-day Average SOFR + 6.000% <br>12/25/2041<br>| &nbsp;&nbsp; 9.667% | 900000 | &nbsp;&nbsp; 930222 |
| Deephaven Residential Mortgage Trust<sup>(a),(g)</sup>  | Deephaven Residential Mortgage Trust<sup>(a),(g)</sup>  | Deephaven Residential Mortgage Trust<sup>(a),(g)</sup>  | Deephaven Residential Mortgage Trust<sup>(a),(g)</sup>  |
| CMO Series 2025-CES1 Class B1 | CMO Series 2025-CES1 Class B1 | CMO Series 2025-CES1 Class B1 | CMO Series 2025-CES1 Class B1 |
| 10/25/2055 | &nbsp;&nbsp; 6.971% | 200000 | &nbsp;&nbsp; 202193 |
| CMO Series 2025-CES1 Class B2 | CMO Series 2025-CES1 Class B2 | CMO Series 2025-CES1 Class B2 | CMO Series 2025-CES1 Class B2 |
| 10/25/2055 | &nbsp;&nbsp; 7.914% | 150000 | &nbsp;&nbsp; 151233 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Fannie Mae Connecticut Avenue Securities<sup>(a),(e)</sup>  | Fannie Mae Connecticut Avenue Securities<sup>(a),(e)</sup>  | Fannie Mae Connecticut Avenue Securities<sup>(a),(e)</sup>  | Fannie Mae Connecticut Avenue Securities<sup>(a),(e)</sup>  |
| Subordinated CMO Series 2021-R02 Class 2B2 | Subordinated CMO Series 2021-R02 Class 2B2 | Subordinated CMO Series 2021-R02 Class 2B2 | Subordinated CMO Series 2021-R02 Class 2B2 |
| &nbsp;&nbsp; 30-day Average SOFR + 6.200% <br>11/25/2041<br>| &nbsp;&nbsp; 9.867% | 800000 | &nbsp;&nbsp; 825796 |
| FIGRE Trust<sup>(a),(g)</sup>  | FIGRE Trust<sup>(a),(g)</sup>  | FIGRE Trust<sup>(a),(g)</sup>  | FIGRE Trust<sup>(a),(g)</sup>  |
| CMO Series 2025-HE1 Class F | CMO Series 2025-HE1 Class F | CMO Series 2025-HE1 Class F | CMO Series 2025-HE1 Class F |
| 01/25/2055 | &nbsp;&nbsp; 8.533% | 150000 | &nbsp;&nbsp; 158569 |
| CMO Series 2025-HE3 Class E | CMO Series 2025-HE3 Class E | CMO Series 2025-HE3 Class E | CMO Series 2025-HE3 Class E |
| 05/25/2055 | &nbsp;&nbsp; 8.103% | 100000 | &nbsp;&nbsp; 109507 |
| CMO Series 2025-HE3 Class F | CMO Series 2025-HE3 Class F | CMO Series 2025-HE3 Class F | CMO Series 2025-HE3 Class F |
| 05/25/2055 | &nbsp;&nbsp; 9.081% | 100000 | &nbsp;&nbsp; 108632 |
| Subordinated CMO Series 2024-HE1 Class E | Subordinated CMO Series 2024-HE1 Class E | Subordinated CMO Series 2024-HE1 Class E | Subordinated CMO Series 2024-HE1 Class E |
| 03/25/2054 | &nbsp;&nbsp; 8.323% | 150000 | &nbsp;&nbsp; 159249 |
| Subordinated CMO Series 2024-HE1 Class F | Subordinated CMO Series 2024-HE1 Class F | Subordinated CMO Series 2024-HE1 Class F | Subordinated CMO Series 2024-HE1 Class F |
| 03/25/2054 | &nbsp;&nbsp; 10.029% | 250000 | &nbsp;&nbsp; 270109 |
| Subordinated CMO Series 2024-HE2 Class F | Subordinated CMO Series 2024-HE2 Class F | Subordinated CMO Series 2024-HE2 Class F | Subordinated CMO Series 2024-HE2 Class F |
| 05/25/2054 | &nbsp;&nbsp; 9.790% | 400000 | &nbsp;&nbsp; 432258 |
| Subordinated CMO Series 2024-HE3 Class E | Subordinated CMO Series 2024-HE3 Class E | Subordinated CMO Series 2024-HE3 Class E | Subordinated CMO Series 2024-HE3 Class E |
| 07/25/2054 | &nbsp;&nbsp; 7.551% | 150000 | &nbsp;&nbsp; 156618 |
| Subordinated CMO Series 2024-HE3 Class F | Subordinated CMO Series 2024-HE3 Class F | Subordinated CMO Series 2024-HE3 Class F | Subordinated CMO Series 2024-HE3 Class F |
| 07/25/2054 | &nbsp;&nbsp; 9.261% | 150000 | &nbsp;&nbsp; 159772 |
| Subordinated CMO Series 2024-HE5 Class E | Subordinated CMO Series 2024-HE5 Class E | Subordinated CMO Series 2024-HE5 Class E | Subordinated CMO Series 2024-HE5 Class E |
| 10/25/2054 | &nbsp;&nbsp; 7.010% | 250000 | &nbsp;&nbsp; 258102 |
| Subordinated CMO Series 2024-HE5 Class F | Subordinated CMO Series 2024-HE5 Class F | Subordinated CMO Series 2024-HE5 Class F | Subordinated CMO Series 2024-HE5 Class F |
| 10/25/2054 | &nbsp;&nbsp; 8.630% | 200000 | &nbsp;&nbsp; 210773 |
| Freddie Mac STACR REMIC Trust<sup>(a),(e)</sup>  | Freddie Mac STACR REMIC Trust<sup>(a),(e)</sup>  | Freddie Mac STACR REMIC Trust<sup>(a),(e)</sup>  | Freddie Mac STACR REMIC Trust<sup>(a),(e)</sup>  |
| Subordinated CMO Series 2021-DNA1 Class B2 | Subordinated CMO Series 2021-DNA1 Class B2 | Subordinated CMO Series 2021-DNA1 Class B2 | Subordinated CMO Series 2021-DNA1 Class B2 |
| &nbsp;&nbsp; 30-day Average SOFR + 4.750% <br>01/25/2051<br>| &nbsp;&nbsp; 8.417% | 1050000 | &nbsp;&nbsp; 1175962 |
| Subordinated CMO Series 2021-DNA6 Class B2 | Subordinated CMO Series 2021-DNA6 Class B2 | Subordinated CMO Series 2021-DNA6 Class B2 | Subordinated CMO Series 2021-DNA6 Class B2 |
| &nbsp;&nbsp; 30-day Average SOFR + 7.500% <br>10/25/2041<br>| &nbsp;&nbsp; 11.167% | 550000 | &nbsp;&nbsp; 570781 |
| Freddie Mac STACR Single Seller Risk Transfer Debt Notes<sup>(a),(e)</sup>  | Freddie Mac STACR Single Seller Risk Transfer Debt Notes<sup>(a),(e)</sup>  | Freddie Mac STACR Single Seller Risk Transfer Debt Notes<sup>(a),(e)</sup>  | Freddie Mac STACR Single Seller Risk Transfer Debt Notes<sup>(a),(e)</sup>  |
| Subordinated CMO Series 2019-CS03 Class B2 | Subordinated CMO Series 2019-CS03 Class B2 | Subordinated CMO Series 2019-CS03 Class B2 | Subordinated CMO Series 2019-CS03 Class B2 |
| &nbsp;&nbsp; 30-day Average SOFR + 0.114% <br>10/25/2032<br>| &nbsp;&nbsp; 4.454% | 413162 | &nbsp;&nbsp; 399948 |
| Freddie Mac STACR Single Seller Risk Transfer Debt Notes<sup>(h)</sup>  | Freddie Mac STACR Single Seller Risk Transfer Debt Notes<sup>(h)</sup>  | Freddie Mac STACR Single Seller Risk Transfer Debt Notes<sup>(h)</sup>  | Freddie Mac STACR Single Seller Risk Transfer Debt Notes<sup>(h)</sup>  |
| Subordinated CMO Series 2019-CS03 Class IO | Subordinated CMO Series 2019-CS03 Class IO | Subordinated CMO Series 2019-CS03 Class IO | Subordinated CMO Series 2019-CS03 Class IO |
| 10/25/2029 | &nbsp;&nbsp; 0.270% | 34515994 | &nbsp;&nbsp; 242016 |
| Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(a),(e)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(a),(e)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(a),(e)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(a),(e)</sup>  |
| CMO Series 2019-CS02 Class B2 | CMO Series 2019-CS02 Class B2 | CMO Series 2019-CS02 Class B2 | CMO Series 2019-CS02 Class B2 |
| &nbsp;&nbsp; 30-day Average SOFR + 0.114% <br>02/25/2032<br>| &nbsp;&nbsp; 4.454% | 84336 | &nbsp;&nbsp; 83345 |
| CMO Series 2019-CS02 Class B3 | CMO Series 2019-CS02 Class B3 | CMO Series 2019-CS02 Class B3 | CMO Series 2019-CS02 Class B3 |
| &nbsp;&nbsp; 30-day Average SOFR + 0.114% <br>02/25/2032<br>| &nbsp;&nbsp; 4.454% | 150000 | &nbsp;&nbsp; 145205 |
| CMO Series 2020-CS01 Class B2 | CMO Series 2020-CS01 Class B2 | CMO Series 2020-CS01 Class B2 | CMO Series 2020-CS01 Class B2 |
| &nbsp;&nbsp; 30-day Average SOFR + 0.114% <br>04/25/2033<br>| &nbsp;&nbsp; 4.454% | 1000000 | &nbsp;&nbsp; 816993 |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(h)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(h)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(h)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(h)</sup>  |
| CMO Series 2019-CS02 Class IO | CMO Series 2019-CS02 Class IO | CMO Series 2019-CS02 Class IO | CMO Series 2019-CS02 Class IO |
| 02/25/2029 | &nbsp;&nbsp; 0.270% | 14240002 | &nbsp;&nbsp; 86454 |
| CMO Series 2020-CS02 Class IO1 | CMO Series 2020-CS02 Class IO1 | CMO Series 2020-CS02 Class IO1 | CMO Series 2020-CS02 Class IO1 |
| 05/25/2030 | &nbsp;&nbsp; 0.090% | 25794471 | &nbsp;&nbsp; 67140 |
| CMO Series 2020-CS02 Class IO2 | CMO Series 2020-CS02 Class IO2 | CMO Series 2020-CS02 Class IO2 | CMO Series 2020-CS02 Class IO2 |
| 06/25/2030 | &nbsp;&nbsp; 0.115% | 25794471 | &nbsp;&nbsp; 85790 |
| Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(a),(h)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(a),(h)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(a),(h)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(a),(h)</sup>  |
| CMO Series 2020-CS01 Class IO1 | CMO Series 2020-CS01 Class IO1 | CMO Series 2020-CS01 Class IO1 | CMO Series 2020-CS01 Class IO1 |
| 04/25/2030 | &nbsp;&nbsp; 0.080% | 111079303 | &nbsp;&nbsp; 250517 |
| CMO Series 2020-CS01 Class IO2 | CMO Series 2020-CS01 Class IO2 | CMO Series 2020-CS01 Class IO2 | CMO Series 2020-CS01 Class IO2 |
| 04/25/2030 | &nbsp;&nbsp; 0.125% | 111079303 | &nbsp;&nbsp; 391421 |
| Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(e)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(e)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(e)</sup>  | Freddie Mac Structured Agency Credit Risk Debt Notes<sup>(e)</sup>  |
| Subordinated CMO Series 2020-CS02 Class B2 | Subordinated CMO Series 2020-CS02 Class B2 | Subordinated CMO Series 2020-CS02 Class B2 | Subordinated CMO Series 2020-CS02 Class B2 |
| &nbsp;&nbsp; 30-day Average SOFR + 0.114% <br>06/25/2033<br>| &nbsp;&nbsp; 4.454% | 350000 | &nbsp;&nbsp; 301906 |
| GCAT Trust<sup>(a),(g)</sup>  | GCAT Trust<sup>(a),(g)</sup>  | GCAT Trust<sup>(a),(g)</sup>  | GCAT Trust<sup>(a),(g)</sup>  |
| CMO Series 2019-NQM3 Class M1 | CMO Series 2019-NQM3 Class M1 | CMO Series 2019-NQM3 Class M1 | CMO Series 2019-NQM3 Class M1 |
| 11/25/2059 | &nbsp;&nbsp; 3.450% | 600000 | &nbsp;&nbsp; 584240 |
| Genworth Mortgage Insurance Corp.<sup>(a),(e)</sup>  | Genworth Mortgage Insurance Corp.<sup>(a),(e)</sup>  | Genworth Mortgage Insurance Corp.<sup>(a),(e)</sup>  | Genworth Mortgage Insurance Corp.<sup>(a),(e)</sup>  |
| CMO Series 2021-3 Class M1B | CMO Series 2021-3 Class M1B | CMO Series 2021-3 Class M1B | CMO Series 2021-3 Class M1B |
| &nbsp;&nbsp; 30-day Average SOFR + 2.900% <br>Floor 2.900% <br>02/25/2034<br>| &nbsp;&nbsp; 6.567% | 1825 | &nbsp;&nbsp; 1825 |
| Subordinated CMO Series 2021-3 Class B1 | Subordinated CMO Series 2021-3 Class B1 | Subordinated CMO Series 2021-3 Class B1 | Subordinated CMO Series 2021-3 Class B1 |
| &nbsp;&nbsp; 30-day Average SOFR + 4.950% <br>Floor 4.950% <br>02/25/2034<br>| &nbsp;&nbsp; 8.617% | 500000 | &nbsp;&nbsp; 510366 |
| GITSIT Mortgage Loan Trust<sup>(a),(k)</sup>  | GITSIT Mortgage Loan Trust<sup>(a),(k)</sup>  | GITSIT Mortgage Loan Trust<sup>(a),(k)</sup>  | GITSIT Mortgage Loan Trust<sup>(a),(k)</sup>  |
| CMO Series 2025-NPL1 Class A1 | CMO Series 2025-NPL1 Class A1 | CMO Series 2025-NPL1 Class A1 | CMO Series 2025-NPL1 Class A1 |
| 02/25/2055 | &nbsp;&nbsp; 6.276% | 125054 | &nbsp;&nbsp; 125188 |
| Homes Trust<sup>(a),(k)</sup>  | Homes Trust<sup>(a),(k)</sup>  | Homes Trust<sup>(a),(k)</sup>  | Homes Trust<sup>(a),(k)</sup>  |
| CMO Series 2026-INV1 Class A1D | CMO Series 2026-INV1 Class A1D | CMO Series 2026-INV1 Class A1D | CMO Series 2026-INV1 Class A1D |
| 08/25/2060 | &nbsp;&nbsp; 5.077% | 584124 | &nbsp;&nbsp; 588141 |
| HTAP Issuer Trust<sup>(a)</sup>  | HTAP Issuer Trust<sup>(a)</sup>  | HTAP Issuer Trust<sup>(a)</sup>  | HTAP Issuer Trust<sup>(a)</sup>  |
| CMO Series 2024-1 Class A | CMO Series 2024-1 Class A | CMO Series 2024-1 Class A | CMO Series 2024-1 Class A |
| 04/25/2037 | &nbsp;&nbsp; 7.000% | 483888 | &nbsp;&nbsp; 487236 |
| CMO Series 2024-2 Class A | CMO Series 2024-2 Class A | CMO Series 2024-2 Class A | CMO Series 2024-2 Class A |
| 04/25/2042 | &nbsp;&nbsp; 6.500% | 610378 | &nbsp;&nbsp; 611485 |
| CMO Series 2025-1 Class A | CMO Series 2025-1 Class A | CMO Series 2025-1 Class A | CMO Series 2025-1 Class A |
| 11/25/2042 | &nbsp;&nbsp; 6.500% | 450615 | &nbsp;&nbsp; 453852 |
| Subordinated CMO Series 2024-2 Class B | Subordinated CMO Series 2024-2 Class B | Subordinated CMO Series 2024-2 Class B | Subordinated CMO Series 2024-2 Class B |
| 04/25/2042 | &nbsp;&nbsp; 7.500% | 300000 | &nbsp;&nbsp; 298386 |
| Imperial Fund Mortgage Trust<sup>(a),(g)</sup>  | Imperial Fund Mortgage Trust<sup>(a),(g)</sup>  | Imperial Fund Mortgage Trust<sup>(a),(g)</sup>  | Imperial Fund Mortgage Trust<sup>(a),(g)</sup>  |
| Subordinated CMO Series 2021-NQM3 Class B1 | Subordinated CMO Series 2021-NQM3 Class B1 | Subordinated CMO Series 2021-NQM3 Class B1 | Subordinated CMO Series 2021-NQM3 Class B1 |
| 11/25/2056 | &nbsp;&nbsp; 4.113% | 500000 | &nbsp;&nbsp; 428145 |
| Subordinated CMO Series 2022-NQM3 Class B1 | Subordinated CMO Series 2022-NQM3 Class B1 | Subordinated CMO Series 2022-NQM3 Class B1 | Subordinated CMO Series 2022-NQM3 Class B1 |
| 05/25/2067 | &nbsp;&nbsp; 4.411% | 350000 | &nbsp;&nbsp; 303400 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Imperial Fund Mortgage Trust<sup>(a),(k)</sup>  | Imperial Fund Mortgage Trust<sup>(a),(k)</sup>  | Imperial Fund Mortgage Trust<sup>(a),(k)</sup>  | Imperial Fund Mortgage Trust<sup>(a),(k)</sup>  |
| Subordinated CMO Series 2022-NQM5 Class B2 | Subordinated CMO Series 2022-NQM5 Class B2 | Subordinated CMO Series 2022-NQM5 Class B2 | Subordinated CMO Series 2022-NQM5 Class B2 |
| 08/25/2067 | &nbsp;&nbsp; 6.250% | 183000 | &nbsp;&nbsp; 182462 |
| JPMorgan Mortgage Trust<sup>(a),(g)</sup>  | JPMorgan Mortgage Trust<sup>(a),(g)</sup>  | JPMorgan Mortgage Trust<sup>(a),(g)</sup>  | JPMorgan Mortgage Trust<sup>(a),(g)</sup>  |
| CMO Series 2025-VIS3 Class A1 | CMO Series 2025-VIS3 Class A1 | CMO Series 2025-VIS3 Class A1 | CMO Series 2025-VIS3 Class A1 |
| 02/25/2066 | &nbsp;&nbsp; 5.062% | 593696 | &nbsp;&nbsp; 597811 |
| Knock Issuer Trust<sup>(a)</sup>  | Knock Issuer Trust<sup>(a)</sup>  | Knock Issuer Trust<sup>(a)</sup>  | Knock Issuer Trust<sup>(a)</sup>  |
| CMO Series 2025-1 Class A1 | CMO Series 2025-1 Class A1 | CMO Series 2025-1 Class A1 | CMO Series 2025-1 Class A1 |
| 02/25/2030 | &nbsp;&nbsp; 7.119% | 960000 | &nbsp;&nbsp; 970930 |
| Legacy Mortgage Asset Trust<sup>(a),(k)</sup>  | Legacy Mortgage Asset Trust<sup>(a),(k)</sup>  | Legacy Mortgage Asset Trust<sup>(a),(k)</sup>  | Legacy Mortgage Asset Trust<sup>(a),(k)</sup>  |
| CMO Series 2021-GS1 Class A1 | CMO Series 2021-GS1 Class A1 | CMO Series 2021-GS1 Class A1 | CMO Series 2021-GS1 Class A1 |
| 10/25/2066 | &nbsp;&nbsp; 5.892% | 295911 | &nbsp;&nbsp; 296825 |
| LHOME Mortgage Trust<sup>(a),(k)</sup>  | LHOME Mortgage Trust<sup>(a),(k)</sup>  | LHOME Mortgage Trust<sup>(a),(k)</sup>  | LHOME Mortgage Trust<sup>(a),(k)</sup>  |
| CMO Series 2024-RTL1 Class A2 | CMO Series 2024-RTL1 Class A2 | CMO Series 2024-RTL1 Class A2 | CMO Series 2024-RTL1 Class A2 |
| 01/25/2029 | &nbsp;&nbsp; 9.165% | 400000 | &nbsp;&nbsp; 401829 |
| CMO Series 2024-RTL1 Class M | CMO Series 2024-RTL1 Class M | CMO Series 2024-RTL1 Class M | CMO Series 2024-RTL1 Class M |
| 01/25/2029 | &nbsp;&nbsp; 11.949% | 300000 | &nbsp;&nbsp; 301240 |
| LHOME Mortgage Trust<sup>(a),(g)</sup>  | LHOME Mortgage Trust<sup>(a),(g)</sup>  | LHOME Mortgage Trust<sup>(a),(g)</sup>  | LHOME Mortgage Trust<sup>(a),(g)</sup>  |
| CMO Series 2024-RTL5 Class M1 | CMO Series 2024-RTL5 Class M1 | CMO Series 2024-RTL5 Class M1 | CMO Series 2024-RTL5 Class M1 |
| 09/25/2039 | &nbsp;&nbsp; 6.823% | 300000 | &nbsp;&nbsp; 301639 |
| CMO Series 2025-RTL3 Class M1 | CMO Series 2025-RTL3 Class M1 | CMO Series 2025-RTL3 Class M1 | CMO Series 2025-RTL3 Class M1 |
| 08/25/2040 | &nbsp;&nbsp; 6.891% | 200000 | &nbsp;&nbsp; 203100 |
| Mello Mortgage Capital Acceptance<sup>(a),(k)</sup>  | Mello Mortgage Capital Acceptance<sup>(a),(k)</sup>  | Mello Mortgage Capital Acceptance<sup>(a),(k)</sup>  | Mello Mortgage Capital Acceptance<sup>(a),(k)</sup>  |
| CMO Series 2024-SD1 Class M2 | CMO Series 2024-SD1 Class M2 | CMO Series 2024-SD1 Class M2 | CMO Series 2024-SD1 Class M2 |
| 04/25/2054 | &nbsp;&nbsp; 4.000% | 500000 | &nbsp;&nbsp; 468595 |
| New Residential Mortgage Loan Trust<sup>(a),(g)</sup>  | New Residential Mortgage Loan Trust<sup>(a),(g)</sup>  | New Residential Mortgage Loan Trust<sup>(a),(g)</sup>  | New Residential Mortgage Loan Trust<sup>(a),(g)</sup>  |
| CMO Series 2022-NQM2 Class A2 | CMO Series 2022-NQM2 Class A2 | CMO Series 2022-NQM2 Class A2 | CMO Series 2022-NQM2 Class A2 |
| 03/27/2062 | &nbsp;&nbsp; 3.699% | 2570000 | &nbsp;&nbsp; 2176903 |
| Subordinated CMO Series 2019-RPL3 Class B4 | Subordinated CMO Series 2019-RPL3 Class B4 | Subordinated CMO Series 2019-RPL3 Class B4 | Subordinated CMO Series 2019-RPL3 Class B4 |
| 07/25/2059 | &nbsp;&nbsp; 3.977% | 750000 | &nbsp;&nbsp; 631358 |
| Subordinated CMO Series 2022-NQM2 Class B1 | Subordinated CMO Series 2022-NQM2 Class B1 | Subordinated CMO Series 2022-NQM2 Class B1 | Subordinated CMO Series 2022-NQM2 Class B1 |
| 03/27/2062 | &nbsp;&nbsp; 3.864% | 200000 | &nbsp;&nbsp; 152499 |
| NYMT Loan Trust<sup>(a),(g)</sup>  | NYMT Loan Trust<sup>(a),(g)</sup>  | NYMT Loan Trust<sup>(a),(g)</sup>  | NYMT Loan Trust<sup>(a),(g)</sup>  |
| CMO Series 2024-CP1 Class A2 | CMO Series 2024-CP1 Class A2 | CMO Series 2024-CP1 Class A2 | CMO Series 2024-CP1 Class A2 |
| 02/25/2068 | &nbsp;&nbsp; 3.837% | 400000 | &nbsp;&nbsp; 335779 |
| CMO Series 2024-CP1 Class M1 | CMO Series 2024-CP1 Class M1 | CMO Series 2024-CP1 Class M1 | CMO Series 2024-CP1 Class M1 |
| 02/25/2068 | &nbsp;&nbsp; 3.837% | 150000 | &nbsp;&nbsp; 120592 |
| CMO Series 2025-INV2 Class A1 | CMO Series 2025-INV2 Class A1 | CMO Series 2025-INV2 Class A1 | CMO Series 2025-INV2 Class A1 |
| 10/25/2060 | &nbsp;&nbsp; 5.000% | 410231 | &nbsp;&nbsp; 412554 |
| NYMT Trust<sup>(a),(k)</sup>  | NYMT Trust<sup>(a),(k)</sup>  | NYMT Trust<sup>(a),(k)</sup>  | NYMT Trust<sup>(a),(k)</sup>  |
| CMO Series 2024-RR1 Class A | CMO Series 2024-RR1 Class A | CMO Series 2024-RR1 Class A | CMO Series 2024-RR1 Class A |
| 05/25/2064 | &nbsp;&nbsp; 7.375% | 876431 | &nbsp;&nbsp; 883695 |
| Oaktown Re VI Ltd.<sup>(a),(e)</sup>  | Oaktown Re VI Ltd.<sup>(a),(e)</sup>  | Oaktown Re VI Ltd.<sup>(a),(e)</sup>  | Oaktown Re VI Ltd.<sup>(a),(e)</sup>  |
| CMO Series 2021-1A Class M2 | CMO Series 2021-1A Class M2 | CMO Series 2021-1A Class M2 | CMO Series 2021-1A Class M2 |
| &nbsp;&nbsp; 30-day Average SOFR + 3.950% <br>Floor 3.950% <br>10/25/2033<br>| &nbsp;&nbsp; 7.617% | 451329 | &nbsp;&nbsp; 453457 |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| OBX Trust<sup>(a),(g)</sup>  | OBX Trust<sup>(a),(g)</sup>  | OBX Trust<sup>(a),(g)</sup>  | OBX Trust<sup>(a),(g)</sup>  |
| CMO Series 2021-NQM2 Class A1 | CMO Series 2021-NQM2 Class A1 | CMO Series 2021-NQM2 Class A1 | CMO Series 2021-NQM2 Class A1 |
| 05/25/2061 | &nbsp;&nbsp; 1.101% | 388234 | &nbsp;&nbsp; 326349 |
| Point Securitization Trust<sup>(a),(d),(k),(l)</sup>  | Point Securitization Trust<sup>(a),(d),(k),(l)</sup>  | Point Securitization Trust<sup>(a),(d),(k),(l)</sup>  | Point Securitization Trust<sup>(a),(d),(k),(l)</sup>  |
| CMO Series 2026-1 Class A1 | CMO Series 2026-1 Class A1 | CMO Series 2026-1 Class A1 | CMO Series 2026-1 Class A1 |
| 02/25/2056 | &nbsp;&nbsp; 5.250% | 850000 | &nbsp;&nbsp; 842637 |
| CMO Series 2026-1 Class B1 | CMO Series 2026-1 Class B1 | CMO Series 2026-1 Class B1 | CMO Series 2026-1 Class B1 |
| 02/25/2056 | &nbsp;&nbsp; 7.000% | 500000 | &nbsp;&nbsp; 439028 |
| Preston Ridge Partners Mortgage Trust<sup>(a),(k)</sup>  | Preston Ridge Partners Mortgage Trust<sup>(a),(k)</sup>  | Preston Ridge Partners Mortgage Trust<sup>(a),(k)</sup>  | Preston Ridge Partners Mortgage Trust<sup>(a),(k)</sup>  |
| CMO Series 2023-RCF1 Class M2 | CMO Series 2023-RCF1 Class M2 | CMO Series 2023-RCF1 Class M2 | CMO Series 2023-RCF1 Class M2 |
| 06/25/2053 | &nbsp;&nbsp; 4.000% | 700000 | &nbsp;&nbsp; 677955 |
| PRKCM Trust<sup>(a),(g)</sup>  | PRKCM Trust<sup>(a),(g)</sup>  | PRKCM Trust<sup>(a),(g)</sup>  | PRKCM Trust<sup>(a),(g)</sup>  |
| CMO Series 2021-AFC1 Class M1 | CMO Series 2021-AFC1 Class M1 | CMO Series 2021-AFC1 Class M1 | CMO Series 2021-AFC1 Class M1 |
| 08/25/2056 | &nbsp;&nbsp; 3.114% | 2000000 | &nbsp;&nbsp; 1537560 |
| CMO Series 2022-AFC1 Class A3 | CMO Series 2022-AFC1 Class A3 | CMO Series 2022-AFC1 Class A3 | CMO Series 2022-AFC1 Class A3 |
| 04/25/2057 | &nbsp;&nbsp; 4.100% | 410046 | &nbsp;&nbsp; 397398 |
| PRPM LLC<sup>(a),(k)</sup>  | PRPM LLC<sup>(a),(k)</sup>  | PRPM LLC<sup>(a),(k)</sup>  | PRPM LLC<sup>(a),(k)</sup>  |
| CMO Series 2025-RPL1 Class M2 | CMO Series 2025-RPL1 Class M2 | CMO Series 2025-RPL1 Class M2 | CMO Series 2025-RPL1 Class M2 |
| 03/25/2055 | &nbsp;&nbsp; 4.000% | 494000 | &nbsp;&nbsp; 450276 |
| PRPM LLC<sup>(a),(k)</sup>  | PRPM LLC<sup>(a),(k)</sup>  | PRPM LLC<sup>(a),(k)</sup>  | PRPM LLC<sup>(a),(k)</sup>  |
| CMO Series 2024-8 Class A1 | CMO Series 2024-8 Class A1 | CMO Series 2024-8 Class A1 | CMO Series 2024-8 Class A1 |
| 12/25/2029 | &nbsp;&nbsp; 5.897% | 237057 | &nbsp;&nbsp; 237169 |
| CMO Series 2024-8 Class A2 | CMO Series 2024-8 Class A2 | CMO Series 2024-8 Class A2 | CMO Series 2024-8 Class A2 |
| 12/25/2029 | &nbsp;&nbsp; 8.836% | 400000 | &nbsp;&nbsp; 400440 |
| CMO Series 2024-RCF1 Class M1 | CMO Series 2024-RCF1 Class M1 | CMO Series 2024-RCF1 Class M1 | CMO Series 2024-RCF1 Class M1 |
| 01/25/2054 | &nbsp;&nbsp; 4.000% | 150000 | &nbsp;&nbsp; 146140 |
| CMO Series 2024-RCF1 Class M2 | CMO Series 2024-RCF1 Class M2 | CMO Series 2024-RCF1 Class M2 | CMO Series 2024-RCF1 Class M2 |
| 01/25/2054 | &nbsp;&nbsp; 4.000% | 750000 | &nbsp;&nbsp; 717208 |
| CMO Series 2024-RCF2 Class M1 | CMO Series 2024-RCF2 Class M1 | CMO Series 2024-RCF2 Class M1 | CMO Series 2024-RCF2 Class M1 |
| 03/25/2054 | &nbsp;&nbsp; 3.750% | 200000 | &nbsp;&nbsp; 193389 |
| CMO Series 2024-RCF2 Class M2 | CMO Series 2024-RCF2 Class M2 | CMO Series 2024-RCF2 Class M2 | CMO Series 2024-RCF2 Class M2 |
| 03/25/2054 | &nbsp;&nbsp; 3.750% | 850000 | &nbsp;&nbsp; 804791 |
| CMO Series 2024-RCF4 Class M1 | CMO Series 2024-RCF4 Class M1 | CMO Series 2024-RCF4 Class M1 | CMO Series 2024-RCF4 Class M1 |
| 07/25/2054 | &nbsp;&nbsp; 4.000% | 165000 | &nbsp;&nbsp; 159917 |
| CMO Series 2024-RCF4 Class M2 | CMO Series 2024-RCF4 Class M2 | CMO Series 2024-RCF4 Class M2 | CMO Series 2024-RCF4 Class M2 |
| 07/25/2054 | &nbsp;&nbsp; 4.000% | 135000 | &nbsp;&nbsp; 127684 |
| CMO Series 2024-RCF6 Class M1 | CMO Series 2024-RCF6 Class M1 | CMO Series 2024-RCF6 Class M1 | CMO Series 2024-RCF6 Class M1 |
| 10/25/2054 | &nbsp;&nbsp; 4.000% | 150000 | &nbsp;&nbsp; 144751 |
| CMO Series 2024-RCF6 Class M2 | CMO Series 2024-RCF6 Class M2 | CMO Series 2024-RCF6 Class M2 | CMO Series 2024-RCF6 Class M2 |
| 10/25/2054 | &nbsp;&nbsp; 4.000% | 250000 | &nbsp;&nbsp; 235152 |
| CMO Series 2024-RPL4 Class M1 | CMO Series 2024-RPL4 Class M1 | CMO Series 2024-RPL4 Class M1 | CMO Series 2024-RPL4 Class M1 |
| 12/25/2054 | &nbsp;&nbsp; 4.000% | 300000 | &nbsp;&nbsp; 292672 |
| CMO Series 2024-RPL4 Class M2 | CMO Series 2024-RPL4 Class M2 | CMO Series 2024-RPL4 Class M2 | CMO Series 2024-RPL4 Class M2 |
| 12/25/2054 | &nbsp;&nbsp; 4.000% | 300000 | &nbsp;&nbsp; 291913 |
| CMO Series 2025-2 Class A2 | CMO Series 2025-2 Class A2 | CMO Series 2025-2 Class A2 | CMO Series 2025-2 Class A2 |
| 05/25/2030 | &nbsp;&nbsp; 9.560% | 350000 | &nbsp;&nbsp; 349683 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| CMO Series 2026-1 Class A2 | CMO Series 2026-1 Class A2 | CMO Series 2026-1 Class A2 | CMO Series 2026-1 Class A2 |
| 02/25/2031 | &nbsp;&nbsp; 6.474% | 400000 | &nbsp;&nbsp; 399996 |
| PRPM Trust<sup>(a),(g)</sup>  | PRPM Trust<sup>(a),(g)</sup>  | PRPM Trust<sup>(a),(g)</sup>  | PRPM Trust<sup>(a),(g)</sup>  |
| CMO Series 2025-NQM6 Class A1 | CMO Series 2025-NQM6 Class A1 | CMO Series 2025-NQM6 Class A1 | CMO Series 2025-NQM6 Class A1 |
| 10/25/2070 | &nbsp;&nbsp; 4.986% | 1075434 | &nbsp;&nbsp; 1080814 |
| Subordinated CMO Series 2022-NQM1 Class B1 | Subordinated CMO Series 2022-NQM1 Class B1 | Subordinated CMO Series 2022-NQM1 Class B1 | Subordinated CMO Series 2022-NQM1 Class B1 |
| 08/25/2067 | &nbsp;&nbsp; 5.372% | 350000 | &nbsp;&nbsp; 346411 |
| Subordinated CMO Series 2023-NQM1 Class B1 | Subordinated CMO Series 2023-NQM1 Class B1 | Subordinated CMO Series 2023-NQM1 Class B1 | Subordinated CMO Series 2023-NQM1 Class B1 |
| 01/25/2068 | &nbsp;&nbsp; 6.185% | 300000 | &nbsp;&nbsp; 299015 |
| Subordinated CMO Series 2023-NQM3 Class B2 | Subordinated CMO Series 2023-NQM3 Class B2 | Subordinated CMO Series 2023-NQM3 Class B2 | Subordinated CMO Series 2023-NQM3 Class B2 |
| 11/25/2068 | &nbsp;&nbsp; 7.362% | 150000 | &nbsp;&nbsp; 150870 |
| PRPM Trust<sup>(a),(k)</sup>  | PRPM Trust<sup>(a),(k)</sup>  | PRPM Trust<sup>(a),(k)</sup>  | PRPM Trust<sup>(a),(k)</sup>  |
| CMO Series 2026-RCF1 Class M2 | CMO Series 2026-RCF1 Class M2 | CMO Series 2026-RCF1 Class M2 | CMO Series 2026-RCF1 Class M2 |
| 01/25/2056 | &nbsp;&nbsp; 5.500% | 150000 | &nbsp;&nbsp; 145264 |
| RCO Trust<sup>(a),(k)</sup>  | RCO Trust<sup>(a),(k)</sup>  | RCO Trust<sup>(a),(k)</sup>  | RCO Trust<sup>(a),(k)</sup>  |
| CMO Series 2025-PR1 Class A | CMO Series 2025-PR1 Class A | CMO Series 2025-PR1 Class A | CMO Series 2025-PR1 Class A |
| 02/25/2055 | &nbsp;&nbsp; 6.250% | 707583 | &nbsp;&nbsp; 705647 |
| RCO X Mortgage LLC<sup>(a),(k)</sup>  | RCO X Mortgage LLC<sup>(a),(k)</sup>  | RCO X Mortgage LLC<sup>(a),(k)</sup>  | RCO X Mortgage LLC<sup>(a),(k)</sup>  |
| CMO Series 2025-1 Class A2 | CMO Series 2025-1 Class A2 | CMO Series 2025-1 Class A2 | CMO Series 2025-1 Class A2 |
| 01/25/2030 | &nbsp;&nbsp; 8.353% | 500000 | &nbsp;&nbsp; 500356 |
| SAIF Securitization Trust<sup>(a),(k)</sup>  | SAIF Securitization Trust<sup>(a),(k)</sup>  | SAIF Securitization Trust<sup>(a),(k)</sup>  | SAIF Securitization Trust<sup>(a),(k)</sup>  |
| CMO Series 2025-CES1 Class M1 | CMO Series 2025-CES1 Class M1 | CMO Series 2025-CES1 Class M1 | CMO Series 2025-CES1 Class M1 |
| 06/25/2065 | &nbsp;&nbsp; 6.240% | 142780 | &nbsp;&nbsp; 145322 |
| Saluda Grade Alternative Mortgage Trust<sup>(a),(g)</sup>  | Saluda Grade Alternative Mortgage Trust<sup>(a),(g)</sup>  | Saluda Grade Alternative Mortgage Trust<sup>(a),(g)</sup>  | Saluda Grade Alternative Mortgage Trust<sup>(a),(g)</sup>  |
| CMO Series 2025-FIG6 Class A1 | CMO Series 2025-FIG6 Class A1 | CMO Series 2025-FIG6 Class A1 | CMO Series 2025-FIG6 Class A1 |
| 01/25/2056 | &nbsp;&nbsp; 5.178% | 857825 | &nbsp;&nbsp; 870715 |
| Subordinated CMO Series 2022-INV1 Class B1 | Subordinated CMO Series 2022-INV1 Class B1 | Subordinated CMO Series 2022-INV1 Class B1 | Subordinated CMO Series 2022-INV1 Class B1 |
| 04/25/2067 | &nbsp;&nbsp; 4.576% | 400000 | &nbsp;&nbsp; 351652 |
| Subordinated CMO Series 2022-INV1 Class B2 | Subordinated CMO Series 2022-INV1 Class B2 | Subordinated CMO Series 2022-INV1 Class B2 | Subordinated CMO Series 2022-INV1 Class B2 |
| 04/25/2067 | &nbsp;&nbsp; 4.576% | 400000 | &nbsp;&nbsp; 332243 |
| Subordinated CMO Series 2023-FIG3 Class CE | Subordinated CMO Series 2023-FIG3 Class CE | Subordinated CMO Series 2023-FIG3 Class CE | Subordinated CMO Series 2023-FIG3 Class CE |
| 08/25/2053 | &nbsp;&nbsp; 3.940% | 442683 | &nbsp;&nbsp; 691286 |
| Subordinated CMO Series 2024-CES1 Class B1 | Subordinated CMO Series 2024-CES1 Class B1 | Subordinated CMO Series 2024-CES1 Class B1 | Subordinated CMO Series 2024-CES1 Class B1 |
| 03/25/2054 | &nbsp;&nbsp; 8.243% | 690000 | &nbsp;&nbsp; 726789 |
| Splitero Trust<sup>(a)</sup>  | Splitero Trust<sup>(a)</sup>  | Splitero Trust<sup>(a)</sup>  | Splitero Trust<sup>(a)</sup>  |
| CMO Series 2025-1 Class A2 | CMO Series 2025-1 Class A2 | CMO Series 2025-1 Class A2 | CMO Series 2025-1 Class A2 |
| 12/25/2055 | &nbsp;&nbsp; 7.000% | 500000 | &nbsp;&nbsp; 492526 |
| Starwood Mortgage Residential Trust<sup>(a),(g)</sup>  | Starwood Mortgage Residential Trust<sup>(a),(g)</sup>  | Starwood Mortgage Residential Trust<sup>(a),(g)</sup>  | Starwood Mortgage Residential Trust<sup>(a),(g)</sup>  |
| CMO Series 2020-3 Class B1 | CMO Series 2020-3 Class B1 | CMO Series 2020-3 Class B1 | CMO Series 2020-3 Class B1 |
| 04/25/2065 | &nbsp;&nbsp; 4.750% | 250000 | &nbsp;&nbsp; 241211 |
| CMO Series 2021-3 Class A1 | CMO Series 2021-3 Class A1 | CMO Series 2021-3 Class A1 | CMO Series 2021-3 Class A1 |
| 06/25/2056 | &nbsp;&nbsp; 1.127% | 207707 | &nbsp;&nbsp; 187577 |
| Toorak Mortgage Trust<sup>(a),(g)</sup>  | Toorak Mortgage Trust<sup>(a),(g)</sup>  | Toorak Mortgage Trust<sup>(a),(g)</sup>  | Toorak Mortgage Trust<sup>(a),(g)</sup>  |
| CMO Series 2025-RRTL1 Class B1 | CMO Series 2025-RRTL1 Class B1 | CMO Series 2025-RRTL1 Class B1 | CMO Series 2025-RRTL1 Class B1 |
| 02/25/2040 | &nbsp;&nbsp; 8.342% | 200000 | &nbsp;&nbsp; 202531 |
| Subordinated CMO Series 2024-RRTL1 Class B1 | Subordinated CMO Series 2024-RRTL1 Class B1 | Subordinated CMO Series 2024-RRTL1 Class B1 | Subordinated CMO Series 2024-RRTL1 Class B1 |
| 02/25/2039 | &nbsp;&nbsp; 10.351% | 524000 | &nbsp;&nbsp; 524802 |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Subordinated CMO Series 2024-RRTL2 Class B1 | Subordinated CMO Series 2024-RRTL2 Class B1 | Subordinated CMO Series 2024-RRTL2 Class B1 | Subordinated CMO Series 2024-RRTL2 Class B1 |
| 09/25/2039 | &nbsp;&nbsp; 8.178% | 200000 | &nbsp;&nbsp; 200052 |
| Triangle Re Ltd.<sup>(a),(e)</sup>  | Triangle Re Ltd.<sup>(a),(e)</sup>  | Triangle Re Ltd.<sup>(a),(e)</sup>  | Triangle Re Ltd.<sup>(a),(e)</sup>  |
| Subordinated CMO Series 2021-2 Class B1 | Subordinated CMO Series 2021-2 Class B1 | Subordinated CMO Series 2021-2 Class B1 | Subordinated CMO Series 2021-2 Class B1 |
| &nbsp;&nbsp; 1-month Term SOFR + 7.614% <br>10/25/2033<br>| &nbsp;&nbsp; 11.288% | 650000 | &nbsp;&nbsp; 665357 |
| TVC Mortgage Trust<sup>(a),(k)</sup>  | TVC Mortgage Trust<sup>(a),(k)</sup>  | TVC Mortgage Trust<sup>(a),(k)</sup>  | TVC Mortgage Trust<sup>(a),(k)</sup>  |
| CMO Series 2024-RRTL1 Class M2 | CMO Series 2024-RRTL1 Class M2 | CMO Series 2024-RRTL1 Class M2 | CMO Series 2024-RRTL1 Class M2 |
| 07/25/2039 | &nbsp;&nbsp; 9.109% | 190000 | &nbsp;&nbsp; 189916 |
| VCAT LLC<sup>(a),(k)</sup>  | VCAT LLC<sup>(a),(k)</sup>  | VCAT LLC<sup>(a),(k)</sup>  | VCAT LLC<sup>(a),(k)</sup>  |
| CMO Series 2025-NPL2 Class A1 | CMO Series 2025-NPL2 Class A1 | CMO Series 2025-NPL2 Class A1 | CMO Series 2025-NPL2 Class A1 |
| 09/25/2054 | &nbsp;&nbsp; 5.977% | 430047 | &nbsp;&nbsp; 435558 |
| Vericrest Opportunity Loan Transferee<sup>(a),(k)</sup>  | Vericrest Opportunity Loan Transferee<sup>(a),(k)</sup>  | Vericrest Opportunity Loan Transferee<sup>(a),(k)</sup>  | Vericrest Opportunity Loan Transferee<sup>(a),(k)</sup>  |
| CMO Series 2021-NPL4 Class A1 | CMO Series 2021-NPL4 Class A1 | CMO Series 2021-NPL4 Class A1 | CMO Series 2021-NPL4 Class A1 |
| 03/27/2051 | &nbsp;&nbsp; 6.240% | 39616 | &nbsp;&nbsp; 39626 |
| Verus Securitization Trust<sup>(a)</sup>  | Verus Securitization Trust<sup>(a)</sup>  | Verus Securitization Trust<sup>(a)</sup>  | Verus Securitization Trust<sup>(a)</sup>  |
| CMO Series 2021-R2 Class M1 | CMO Series 2021-R2 Class M1 | CMO Series 2021-R2 Class M1 | CMO Series 2021-R2 Class M1 |
| 02/25/2064 | &nbsp;&nbsp; 2.244% | 500000 | &nbsp;&nbsp; 473841 |
| Verus Securitization Trust<sup>(a),(g)</sup>  | Verus Securitization Trust<sup>(a),(g)</sup>  | Verus Securitization Trust<sup>(a),(g)</sup>  | Verus Securitization Trust<sup>(a),(g)</sup>  |
| Subordinated CMO Series 2022-2 Class B2 | Subordinated CMO Series 2022-2 Class B2 | Subordinated CMO Series 2022-2 Class B2 | Subordinated CMO Series 2022-2 Class B2 |
| 02/25/2067 | &nbsp;&nbsp; 4.265% | 300000 | &nbsp;&nbsp; 247120 |
| Subordinated Series 2021-5 Class B1 | Subordinated Series 2021-5 Class B1 | Subordinated Series 2021-5 Class B1 | Subordinated Series 2021-5 Class B1 |
| 09/25/2066 | &nbsp;&nbsp; 3.037% | 300000 | &nbsp;&nbsp; 229062 |
| Subordinated Series 2021-5 Class B2 | Subordinated Series 2021-5 Class B2 | Subordinated Series 2021-5 Class B2 | Subordinated Series 2021-5 Class B2 |
| 09/25/2066 | &nbsp;&nbsp; 3.941% | 250000 | &nbsp;&nbsp; 201617 |
| Visio Trust<sup>(a),(g)</sup>  | Visio Trust<sup>(a),(g)</sup>  | Visio Trust<sup>(a),(g)</sup>  | Visio Trust<sup>(a),(g)</sup>  |
| CMO Series 2019-2 Class M1 | CMO Series 2019-2 Class M1 | CMO Series 2019-2 Class M1 | CMO Series 2019-2 Class M1 |
| 11/25/2054 | &nbsp;&nbsp; 3.260% | 200000 | &nbsp;&nbsp; 197685 |
| Subordinated CMO Series 2019-2 Class B1 | Subordinated CMO Series 2019-2 Class B1 | Subordinated CMO Series 2019-2 Class B1 | Subordinated CMO Series 2019-2 Class B1 |
| 11/25/2054 | &nbsp;&nbsp; 3.910% | 100000 | &nbsp;&nbsp; 99005 |
| Vista Point Securitization Trust<sup>(a),(g)</sup>  | Vista Point Securitization Trust<sup>(a),(g)</sup>  | Vista Point Securitization Trust<sup>(a),(g)</sup>  | Vista Point Securitization Trust<sup>(a),(g)</sup>  |
| CMO Series 2024-CES3 Class B1 | CMO Series 2024-CES3 Class B1 | CMO Series 2024-CES3 Class B1 | CMO Series 2024-CES3 Class B1 |
| 01/25/2055 | &nbsp;&nbsp; 7.833% | 300000 | &nbsp;&nbsp; 308525 |
| CMO Series 2024-CES3 Class B2 | CMO Series 2024-CES3 Class B2 | CMO Series 2024-CES3 Class B2 | CMO Series 2024-CES3 Class B2 |
| 01/25/2055 | &nbsp;&nbsp; 9.516% | 200000 | &nbsp;&nbsp; 206448 |
| CMO Series 2025-CES1 Class B1 | CMO Series 2025-CES1 Class B1 | CMO Series 2025-CES1 Class B1 | CMO Series 2025-CES1 Class B1 |
| 04/25/2055 | &nbsp;&nbsp; 7.621% | 250000 | &nbsp;&nbsp; 253938 |
| CMO Series 2025-CES1 Class B2 | CMO Series 2025-CES1 Class B2 | CMO Series 2025-CES1 Class B2 | CMO Series 2025-CES1 Class B2 |
| 04/25/2055 | &nbsp;&nbsp; 8.956% | 150000 | &nbsp;&nbsp; 152538 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** | **Residential Mortgage-Backed Securities - Non-Agency (continued)** |
| **Issuer** | **Coupon**<br> **Rate**<br>| **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| Vista Point Securitization Trust<sup>(a),(k)</sup>  | Vista Point Securitization Trust<sup>(a),(k)</sup>  | Vista Point Securitization Trust<sup>(a),(k)</sup>  | Vista Point Securitization Trust<sup>(a),(k)</sup>  |
| CMO Series 2025-CES2 Class M1 | CMO Series 2025-CES2 Class M1 | CMO Series 2025-CES2 Class M1 | CMO Series 2025-CES2 Class M1 |
| 08/25/2055 | &nbsp;&nbsp; 6.366% | 500000 | &nbsp;&nbsp; 507394 |
| &nbsp;&nbsp; Total Residential Mortgage-Backed Securities - Non-Agency <br>(Cost $54,033,271) | &nbsp;&nbsp; Total Residential Mortgage-Backed Securities - Non-Agency <br>(Cost $54,033,271) | &nbsp;&nbsp; Total Residential Mortgage-Backed Securities - Non-Agency <br>(Cost $54,033,271) | &nbsp;&nbsp; **56640405** |
| **Treasury Bills 15.9%** | **Treasury Bills 15.9%** | **Treasury Bills 15.9%** | **Treasury Bills 15.9%** |
| **Issuer** | **Yield** | **Principal**<br> **Amount ($)**<br>| **Value ($)** |
| **United States 15.9%** | **United States 15.9%** | **United States 15.9%** | **United States 15.9%** |
| U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills |
| 03/03/2026 | &nbsp;&nbsp; 8.890% | 44000000 | &nbsp;&nbsp; 43957198 |
| U.S. Treasury Bills<sup>(m)</sup>  | U.S. Treasury Bills<sup>(m)</sup>  | U.S. Treasury Bills<sup>(m)</sup>  | U.S. Treasury Bills<sup>(m)</sup>  |
| 04/07/2026 | &nbsp;&nbsp; 3.590% | 40000000 | &nbsp;&nbsp; 39846936 |
| **Total** | **Total** | **Total** | &nbsp;&nbsp; **83804134** |
| &nbsp;&nbsp; Total Treasury Bills <br>(Cost $83,814,533) | &nbsp;&nbsp; Total Treasury Bills <br>(Cost $83,814,533) | &nbsp;&nbsp; Total Treasury Bills <br>(Cost $83,814,533) | &nbsp;&nbsp; **83804134** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Call Option Contracts Purchased 0.1%** | **Call Option Contracts Purchased 0.1%** |
|  | **Value ($)** |
| (Cost $806,334) | &nbsp;&nbsp; **673235** |
| **Put Option Contracts Purchased 0.0%** | **Put Option Contracts Purchased 0.0%** |
| (Cost $724,775) | &nbsp;&nbsp; **211727** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Money Market Funds 54.0%** | **Money Market Funds 54.0%** | **Money Market Funds 54.0%** |
|  | **Shares** | **Value ($)** |
| Columbia Short-Term Cash Fund, 3.777%<sup>(n),(o)</sup> <br>| &nbsp;&nbsp; 285657463 | &nbsp;&nbsp; 285600332 |
| &nbsp;&nbsp; Total Money Market Funds <br>(Cost $285,577,397) | &nbsp;&nbsp; Total Money Market Funds <br>(Cost $285,577,397) | &nbsp;&nbsp; **285600332** |
| **Total Investments in Securities** <br>**(Cost: $564,791,254)** | **Total Investments in Securities** <br>**(Cost: $564,791,254)** | &nbsp;&nbsp; **560344689** |
| **Other Assets & Liabilities, Net** |  | &nbsp;&nbsp; **(31619037)**<br>|
| **Net Assets** | **Net Assets** | &nbsp;&nbsp; **528725652** |

---

At February 28, 2026, securities and/or cash totaling $65,222,907 were pledged as collateral.

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

**Investments in derivatives** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward foreign currency exchange contracts** | **Forward foreign currency exchange contracts** | **Forward foreign currency exchange contracts** | **Forward foreign currency exchange contracts** | **Forward foreign currency exchange contracts** | **Forward foreign currency exchange contracts** |
| **Currency to** <br>**be sold**<br>| &nbsp;&nbsp;&nbsp; **Currency to** <br>**be purchased**<br>| **Counterparty** | **Settlement** <br>**date**<br>| &nbsp;&nbsp;&nbsp; **Unrealized** <br>**appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Unrealized** <br>**depreciation ($)**<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17,491,000 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,790,681 USD | Barclays | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (36656)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,539,000 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,295,725 USD | Barclays | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (9956)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29,905,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35,611,233 USD | Barclays | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 259615 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39,555,000 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,393,566 USD | Barclays | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9844 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22,530,839 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16,462,000 GBP | Barclays | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (345254)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,749,996 USD | &nbsp;&nbsp;&nbsp;&nbsp; 574,655,000 JPY | Barclays | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (67575)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,179,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,839,828 USD | Citi | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (96821)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13,418,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15,880,351 USD | Citi | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 18521 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp; 9,668,545,000 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63,106,900 USD | Citi | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1150332 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38,528,000 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,019,069 USD | Citi | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (32771)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 558,685,000 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62,719,192 USD | Citi | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 802372 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87,206,000 USD | &nbsp;&nbsp;&nbsp;&nbsp; 13,373,337,000 JPY | Citi | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1508921)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,783,500 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,411,868 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7906 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15,443,018 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,179,301 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (810028)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66,972,796 BRL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,319,491 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (690966)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 439,500 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 324,491 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2078 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25,529,239 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,535,820 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (192241)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 308,787 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 403,956 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1571 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22,365,472 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28,156,769 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (988003)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 868,750,000 CLP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,007,754 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12361 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp; 4,000,000,000 CLP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,463,804 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (119304)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,679,025 CNH | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245,825 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 822 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98,098,160 CNH | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14,103,697 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (210763)<br>|
| 14,955,541,588 COP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,026,687 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 57307 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp; 8,823,131,116 COP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,313,445 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (28320)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87,500,000 CZK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,290,334 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 22988 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 118,926,000 CZK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,730,387 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (69594)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,619,896 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,875,369 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 46713 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27,414,459 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32,224,158 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (196045)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,366,500 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,587,234 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 50151 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8,047,354 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,675,356 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (170184)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 782,447,918 HUF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,457,677 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6777 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp; 2,434,791,661 HUF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,496,421 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (130197)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,069,000 ILS | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,904,864 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 51539 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14,913,170 ILS | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,608,073 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (153323)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 865,561,165 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,570,148 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 71574 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15,000,000 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163,163 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1445)<br>|
| &nbsp;&nbsp; 3,070,990,950 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19,875,760 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 184394 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 469,999,999 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,987,900 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (25767)<br>|
| 10,054,550,035 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,027,796 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 39160 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| 20,309,099,848 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14,034,525 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (81762)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,999,998 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,103,616 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1995 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 298,827,251 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16,274,889 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1051129)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,500,001 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 474,700 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1473 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 105,719,164 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,682,391 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (435205)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,765,181 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,269,524 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9512 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16,671,531 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,645,136 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (361784)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185,117 PEN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55,177 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,480,899 PEN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440,780 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (496)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77,187,499 PHP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,341,238 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3557 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 153,281,250 PHP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,626,799 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (29608)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,817,266 PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,061,572 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 34324 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51,630,322 PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14,170,062 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (278857)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,837,753 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 654,436 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7183 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78,191,375 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8,410,752 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (258619)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** |
| **Currency to**<br> **be sold**<br>| &nbsp;&nbsp;&nbsp; **Currency to**<br> **be purchased**<br>| **Counterparty** | **Settlement**<br> **date**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **depreciation ($)**<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44,547,542 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34,512,396 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (748399)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 226,164,882 THB | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,086,869 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (198680)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47,724,639 TWD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,529,934 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3863 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 238,604,108 TWD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,600,318 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (29428)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,502,654 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,368,018 AUD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 568120 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,326,234 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,858,500 AUD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3716)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,058,162 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65,022,745 BRL | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 573469 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,665,453 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25,712,745 CAD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 197226 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,351,615 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,546,931 CAD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (16020)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20,994,111 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16,362,302 CHF | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 327843 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,062,769 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,576,752 CHF | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (8081)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,152,303 USD | &nbsp;&nbsp;&nbsp;&nbsp; 3,850,996,321 CLP | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 260080 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 774,832 USD | &nbsp;&nbsp;&nbsp;&nbsp; 668,251,837 CLP | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (9165)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,358,802 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86,871,872 CNH | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 317521 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,856,903 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,681,097 CNH | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (6480)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,142,784 USD | &nbsp;&nbsp;&nbsp;&nbsp; 27,461,500,500 COP | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 145828 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,829,129 USD | &nbsp;&nbsp;&nbsp;&nbsp; 6,750,000,000 COP | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (37598)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,234,943 USD | &nbsp;&nbsp;&nbsp;&nbsp; 128,869,250 CZK | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 49967 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33,963,796 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28,973,554 EUR | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 300184 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,596,005 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,374,922 EUR | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (57054)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,498,782 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,863,001 GBP | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12013 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,632,306 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,095,426 GBP | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (69694)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,392,606 USD | &nbsp;&nbsp;&nbsp;&nbsp; 3,429,583,331 HUF | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 350046 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,201,174 USD | &nbsp;&nbsp;&nbsp;&nbsp; 382,500,000 HUF | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3051)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,154,291 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,917,378 ILS | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 54252 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,119,127 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15,923,091 ILS | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (35288)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 489,217 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45,000,000 INR | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4608 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,435,960 USD | &nbsp;&nbsp;&nbsp;&nbsp; 854,873,219 INR | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (54674)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,535,677 USD | &nbsp;&nbsp;&nbsp;&nbsp; 870,000,000 JPY | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 42812 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26,223,219 USD | &nbsp;&nbsp;&nbsp;&nbsp; 4,046,387,940 JPY | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (277553)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25,506,549 USD | &nbsp;&nbsp;&nbsp;&nbsp; 37,330,699,908 KRW | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 440976 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152,942 USD | &nbsp;&nbsp;&nbsp;&nbsp; 218,750,006 KRW | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (895)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,262,397 USD | &nbsp;&nbsp;&nbsp;&nbsp; 183,254,545 MXN | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 362710 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,299,433 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74,036,350 MXN | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (6802)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11,562,046 USD | &nbsp;&nbsp;&nbsp;&nbsp; 116,884,631 NOK | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 729728 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52,780 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500,000 NOK | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (199)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,322,361 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17,578,286 NZD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 228829 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,726,235 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,858,426 NZD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (10493)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 766,054 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,591,604 PEN | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6188 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,300,710 USD | &nbsp;&nbsp;&nbsp;&nbsp; 312,500,000 PHP | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 115002 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,930,900 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35,594,854 PLN | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 30440 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,569,999 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,609,099 PLN | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (274)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,116,394 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66,216,627 SEK | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 225291 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 335,636 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,999,999 SEK | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3015)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,301,019 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23,250,260 SGD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 102301 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,757,453 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13,573,017 SGD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (13978)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,380,607 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74,232,976 THB | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10692 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,661,443 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82,465,951 THB | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4931)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,831,859 USD | &nbsp;&nbsp;&nbsp;&nbsp; 120,417,573 TWD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 18685 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13,012,074 USD | &nbsp;&nbsp;&nbsp;&nbsp; 404,534,379 TWD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (76444)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11,591,204 USD | &nbsp;&nbsp;&nbsp;&nbsp; 196,498,514 ZAR | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 733486 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 376,536 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,000,000 ZAR | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (207)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25,000,000 ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,572,693 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4654 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 171,554,763 ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,454,097 USD | Citi | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (306082)<br>|
| &nbsp;&nbsp; 6,000,000,000 IDR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358,654 USD | Citi | 03/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1354 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| 17,607,464,867 IDR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,046,011 USD | Citi | 03/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2514)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171,010 USD | &nbsp;&nbsp;&nbsp;&nbsp; 2,875,000,000 IDR | Citi | 03/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 894,989 USD | &nbsp;&nbsp;&nbsp;&nbsp; 14,982,464,867 IDR | Citi | 03/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2783)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** |
| **Currency to**<br> **be sold**<br>| &nbsp;&nbsp;&nbsp; **Currency to**<br> **be purchased**<br>| **Counterparty** | **Settlement**<br> **date**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **depreciation ($)**<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,466,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,044,962 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2664 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,987,474 BRL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,507,558 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (11311)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,948,497 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,398,209 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (60316)<br>|
| &nbsp;&nbsp; 1,718,251,837 CLP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,984,803 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 16586 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,485,596 CNH | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 660,714 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2572 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93,556,750 CZK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,557,530 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (9721)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,973,628 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,340,380 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3534)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,149,926 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,605,670 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10999 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22,500,000 HUF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70,129 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90,000,000 HUF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277,862 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2647)<br>|
| &nbsp;&nbsp; 2,874,999,999 IDR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171,043 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 317 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp; 2,875,000,000 IDR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170,588 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (138)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15,434,091 ILS | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,968,846 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 33935 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132,000 ILS | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42,059 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (147)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 248,333,334 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,709,576 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2926 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80,000,000 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 517,791 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 910 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 218,750,001 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153,420 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 999 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 812,499,993 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 564,149 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1988)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67,536,350 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,890,170 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5441 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,097,920 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,037,643 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3360)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,954,099 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204,295 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1031)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,065,108 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,249,908 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4554)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,093,750 PHP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,962 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,640,625 PHP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28,269 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (79)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,609,099 PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,570,020 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 246 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31,257,213 PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8,731,225 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (16480)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,000,000 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222,845 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17,812,498 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,976,401 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (7904)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11,594,517 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,240,612 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5260 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,724,260 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,138,047 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (14539)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17,616,487 THB | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 571,750 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88,082,440 THB | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,849,569 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (8019)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,687,507 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,174,500 AUD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (8537)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 641,927 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,401,426 BRL | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4876 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,457,412 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,872,807 CAD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 22235 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 427,169 USD | &nbsp;&nbsp;&nbsp;&nbsp; 368,749,999 CLP | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4774)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247,219 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,679,024 CNH | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (867)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 540,558 USD | &nbsp;&nbsp;&nbsp;&nbsp; 2,086,565,558 COP | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 597 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,526,721 USD | &nbsp;&nbsp;&nbsp;&nbsp; 17,192,107,146 COP | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (67913)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,463,373 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,987,931 EUR | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 23229 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,373,450 USD | &nbsp;&nbsp;&nbsp;&nbsp; 1,414,791,661 HUF | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 36138 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,069,398 USD | &nbsp;&nbsp;&nbsp;&nbsp; 342,447,919 HUF | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2065)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,817,472 USD | &nbsp;&nbsp;&nbsp;&nbsp; 532,936,163 INR | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (8862)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,747,884 USD | &nbsp;&nbsp;&nbsp;&nbsp; 1,500,937,717 JPY | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (50299)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,733,041 USD | &nbsp;&nbsp;&nbsp;&nbsp; 15,459,099,841 KRW | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 38613 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,294,995 USD | &nbsp;&nbsp;&nbsp;&nbsp; 7,554,550,030 KRW | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (31106)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 403,230 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,999,998 MXN | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (587)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,442,565 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32,950,497 NOK | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 19700 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 439,553 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,480,899 PEN | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 434 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55,033 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185,117 PEN | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (33)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,570,458 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91,171,875 PHP | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4886 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,096,767 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63,281,249 PHP | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3340)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 275,540 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 986,319 PLN | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 493 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55,219 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197,264 PLN | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (12)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,559,494 USD | &nbsp;&nbsp;&nbsp;&nbsp; 143,164,371 TWD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 16532 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,586,775 USD | &nbsp;&nbsp;&nbsp;&nbsp; 143,164,375 TWD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (10750)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,953,600 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31,588,143 ZAR | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14931 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,044,396 ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 558,319 USD | Citi | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (5316)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** |
| **Currency to**<br> **be sold**<br>| &nbsp;&nbsp;&nbsp; **Currency to**<br> **be purchased**<br>| **Counterparty** | **Settlement**<br> **date**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **depreciation ($)**<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16,460,000 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21,364,138 USD | Goldman Sachs International | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (66149)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,412,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,568,291 USD | Goldman Sachs International | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (11531)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 115,183,000 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 740,701 USD | Goldman Sachs International | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2602 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31,221,000 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,264,016 USD | Goldman Sachs International | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (19375)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54,573,301 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42,046,000 CHF | Goldman Sachs International | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 168974 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,079,240 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48,459,000 NOK | HSBC | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 17004 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25,256,680 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42,157,000 NZD | HSBC | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 39965 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,554,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,810,253 USD | JPMorgan | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (7240)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17,776,000 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13,102,780 USD | JPMorgan | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 66434 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,165,000 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,316,246 USD | JPMorgan | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4864)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57,158,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78,335,611 USD | JPMorgan | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1304650 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,385,000 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,839,013 USD | JPMorgan | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7643 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20,876,328 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28,506,000 CAD | JPMorgan | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 29055 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,879,062 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,749,000 GBP | JPMorgan | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (131223)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,587,746 USD | &nbsp;&nbsp;&nbsp;&nbsp; 244,958,000 JPY | JPMorgan | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (18042)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,666,871 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96,361,000 SEK | JPMorgan | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12433 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,783,500 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,411,875 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7913 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15,443,018 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,179,322 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (810007)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66,972,798 BRL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,319,517 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (690941)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 439,500 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 324,492 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2078 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25,529,239 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,535,857 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (192204)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 308,789 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 403,959 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1572 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22,365,472 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28,156,825 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (987947)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 968,749,999 CLP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,123,621 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 13649 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp; 4,000,000,000 CLP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,463,813 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (119295)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,679,021 CNH | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245,825 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 822 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98,098,156 CNH | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14,103,725 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (210735)<br>|
| 14,955,541,588 COP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,026,693 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 57313 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp; 8,823,131,116 COP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,313,449 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (28316)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87,500,000 CZK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,290,343 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 22997 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 118,926,000 CZK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,730,399 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (69583)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,619,895 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,875,383 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 46729 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27,414,470 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32,224,235 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (195980)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,366,500 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,587,243 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 50161 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8,047,353 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,675,376 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (170162)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 782,447,916 HUF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,457,682 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6782 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp; 2,434,791,665 HUF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,496,436 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (130182)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,069,000 ILS | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,904,872 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 51546 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14,913,164 ILS | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,608,081 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (153314)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 865,561,155 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,570,476 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 71903 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15,000,000 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163,163 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1445)<br>|
| &nbsp;&nbsp; 3,070,990,948 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19,875,799 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 184433 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 470,000,001 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,987,906 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (25761)<br>|
| 10,054,550,030 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,028,132 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 39495 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| 20,309,099,831 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14,032,386 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (83900)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19,000,000 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,103,618 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1997 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 298,827,251 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16,274,921 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1051096)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,499,999 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 474,701 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1474 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 106,094,153 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,721,617 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (435413)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,765,181 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,269,529 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9517 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16,671,533 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,645,156 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (361764)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185,117 PEN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55,178 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,480,899 PEN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440,781 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (495)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79,375,000 PHP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,379,257 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3666 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 156,562,499 PHP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,683,380 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (29891)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,817,261 PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,061,577 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 34330 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51,630,314 PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14,170,088 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (278828)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,837,751 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 654,437 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7184 | &nbsp;&nbsp;&nbsp;&nbsp; — |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** |
| **Currency to**<br> **be sold**<br>| &nbsp;&nbsp;&nbsp; **Currency to**<br> **be purchased**<br>| **Counterparty** | **Settlement**<br> **date**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **depreciation ($)**<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78,191,375 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8,410,769 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (258602)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44,547,544 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34,512,467 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (748330)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 226,164,882 THB | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,086,883 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (198666)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47,724,639 TWD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,529,164 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3093 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 238,604,107 TWD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,600,160 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (29586)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,502,629 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,368,018 AUD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 568145 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,326,232 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,858,500 AUD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3714)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,058,138 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65,022,747 BRL | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 573494 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,665,416 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25,712,745 CAD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 197264 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,351,608 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,546,931 CAD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (16013)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20,994,071 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16,362,304 CHF | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 327885 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,062,767 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,576,753 CHF | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (8077)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,152,273 USD | &nbsp;&nbsp;&nbsp;&nbsp; 3,850,996,321 CLP | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 260110 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 890,779 USD | &nbsp;&nbsp;&nbsp;&nbsp; 768,251,838 CLP | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (10534)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,358,777 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86,871,869 CNH | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 317546 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,856,899 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,681,093 CNH | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (6476)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,142,754 USD | &nbsp;&nbsp;&nbsp;&nbsp; 27,461,500,500 COP | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 145858 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,829,125 USD | &nbsp;&nbsp;&nbsp;&nbsp; 6,750,000,000 COP | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (37594)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,234,931 USD | &nbsp;&nbsp;&nbsp;&nbsp; 128,869,250 CZK | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 49979 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33,963,741 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28,973,565 EUR | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 300252 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,595,989 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,374,922 EUR | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (57038)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,498,776 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,863,000 GBP | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 12018 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,632,287 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,095,426 GBP | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (69674)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,392,585 USD | &nbsp;&nbsp;&nbsp;&nbsp; 3,429,583,334 HUF | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 350066 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,201,172 USD | &nbsp;&nbsp;&nbsp;&nbsp; 382,500,000 HUF | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3048)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,154,285 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,917,372 ILS | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 54256 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,119,117 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15,923,091 ILS | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (35278)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 489,216 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45,000,000 INR | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4609 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,435,987 USD | &nbsp;&nbsp;&nbsp;&nbsp; 854,873,209 INR | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (54702)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,535,666 USD | &nbsp;&nbsp;&nbsp;&nbsp; 870,000,000 JPY | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 42823 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26,223,166 USD | &nbsp;&nbsp;&nbsp;&nbsp; 4,046,387,939 JPY | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (277500)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25,509,636 USD | &nbsp;&nbsp;&nbsp;&nbsp; 37,330,699,892 KRW | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 437888 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152,945 USD | &nbsp;&nbsp;&nbsp;&nbsp; 218,750,001 KRW | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (898)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,262,376 USD | &nbsp;&nbsp;&nbsp;&nbsp; 183,254,545 MXN | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 362731 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,299,425 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74,036,352 MXN | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (6794)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11,601,255 USD | &nbsp;&nbsp;&nbsp;&nbsp; 117,259,619 NOK | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 729954 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52,780 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500,000 NOK | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (199)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,322,342 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17,578,288 NZD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 228850 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,726,232 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,858,426 NZD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (10490)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 766,052 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,591,604 PEN | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6189 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,357,609 USD | &nbsp;&nbsp;&nbsp;&nbsp; 315,781,250 PHP | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 114969 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38,032 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,187,500 PHP | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (122)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,930,878 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35,594,845 PLN | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 30459 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,569,996 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,609,098 PLN | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (271)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,116,380 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66,216,622 SEK | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 225306 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 335,636 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,000,001 SEK | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3014)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,300,984 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23,250,262 SGD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 102337 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,757,430 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13,573,016 SGD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (13957)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,380,603 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74,232,975 THB | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10697 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,661,438 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82,465,952 THB | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4926)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,278,108 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40,500,000 TWD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 16944 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15,570,534 USD | &nbsp;&nbsp;&nbsp;&nbsp; 484,451,951 TWD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (79412)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11,591,180 USD | &nbsp;&nbsp;&nbsp;&nbsp; 196,498,502 ZAR | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 733509 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 376,535 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,000,000 ZAR | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (206)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25,000,000 ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,572,696 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4658 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 171,554,752 ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,454,118 USD | JPMorgan | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (306061)<br>|
| &nbsp;&nbsp; 6,000,000,000 IDR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358,654 USD | JPMorgan | 03/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1354 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| 17,607,464,867 IDR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,046,013 USD | JPMorgan | 03/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2512)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** |
| **Currency to**<br> **be sold**<br>| &nbsp;&nbsp;&nbsp; **Currency to**<br> **be purchased**<br>| **Counterparty** | **Settlement**<br> **date**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **depreciation ($)**<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171,017 USD | &nbsp;&nbsp;&nbsp;&nbsp; 2,875,000,000 IDR | JPMorgan | 03/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 894,987 USD | &nbsp;&nbsp;&nbsp;&nbsp; 14,982,464,866 IDR | JPMorgan | 03/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2781)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,466,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,044,965 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2667 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,987,475 BRL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,507,561 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (11308)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,948,497 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,398,230 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (60295)<br>|
| &nbsp;&nbsp; 1,718,251,838 CLP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,984,807 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 16589 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,485,594 CNH | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 660,715 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2573 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93,556,750 CZK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,557,539 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (9712)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,973,622 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,340,377 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3530)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,149,926 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,605,681 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 11010 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22,500,000 HUF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70,129 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89,999,999 HUF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277,863 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2647)<br>|
| &nbsp;&nbsp; 2,875,000,000 IDR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171,044 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 317 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp; 2,875,000,000 IDR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170,591 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (135)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15,434,091 ILS | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,968,856 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 33945 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132,000 ILS | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42,059 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (147)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 248,333,331 INR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,709,623 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2973 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80,000,000 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 517,792 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 911 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 218,750,006 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153,425 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1003 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 812,499,990 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 563,968 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2169)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67,536,352 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,890,178 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5449 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,097,920 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,037,645 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3358)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,954,099 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204,296 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1031)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,065,108 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,249,917 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4545)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,093,750 PHP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,963 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,640,625 PHP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28,268 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (80)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,609,098 PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,570,023 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31,257,211 PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8,731,242 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (16463)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,000,000 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222,845 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17,812,498 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,976,404 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (7900)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11,594,516 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,240,630 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5278 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,724,261 SGD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,138,060 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (14527)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17,616,488 THB | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 571,751 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88,082,439 THB | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,849,574 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (8013)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,687,500 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,174,500 AUD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (8529)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 641,925 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,401,424 BRL | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4877 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,457,393 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,872,807 CAD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 22254 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 427,168 USD | &nbsp;&nbsp;&nbsp;&nbsp; 368,750,000 CLP | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4773)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247,218 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,679,022 CNH | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (867)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 540,557 USD | &nbsp;&nbsp;&nbsp;&nbsp; 2,086,565,558 COP | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 598 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,526,714 USD | &nbsp;&nbsp;&nbsp;&nbsp; 17,192,107,146 COP | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (67906)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,463,347 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,987,925 EUR | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 23248 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,373,441 USD | &nbsp;&nbsp;&nbsp;&nbsp; 1,414,791,665 HUF | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 36147 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,069,396 USD | &nbsp;&nbsp;&nbsp;&nbsp; 342,447,915 HUF | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2063)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,817,462 USD | &nbsp;&nbsp;&nbsp;&nbsp; 532,936,160 INR | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (8851)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,747,865 USD | &nbsp;&nbsp;&nbsp;&nbsp; 1,500,937,716 JPY | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (50279)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,729,959 USD | &nbsp;&nbsp;&nbsp;&nbsp; 15,459,099,838 KRW | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 41695 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,295,056 USD | &nbsp;&nbsp;&nbsp;&nbsp; 7,554,550,035 KRW | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (31166)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 403,230 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,000,000 MXN | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (586)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,442,558 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32,950,497 NOK | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 19707 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 439,552 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,480,899 PEN | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 435 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55,032 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185,117 PEN | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (32)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,570,311 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91,171,874 PHP | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5033 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,096,760 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63,281,250 PHP | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (3333)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 275,539 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 986,317 PLN | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 494 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55,218 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197,263 PLN | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (12)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,561,909 USD | &nbsp;&nbsp;&nbsp;&nbsp; 143,164,372 TWD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14116 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,587,917 USD | &nbsp;&nbsp;&nbsp;&nbsp; 143,164,375 TWD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (11891)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** |
| **Currency to**<br> **be sold**<br>| &nbsp;&nbsp;&nbsp; **Currency to**<br> **be purchased**<br>| **Counterparty** | **Settlement**<br> **date**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **depreciation ($)**<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,953,596 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31,588,147 ZAR | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 14935 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,044,399 ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 558,320 USD | JPMorgan | 06/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (5315)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20,109,000 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25,891,630 USD | Morgan Stanley | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (289515)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 572,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 676,265 USD | Morgan Stanley | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 203,859,000 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20,895,007 USD | Morgan Stanley | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (544051)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14,957,000 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8,926,637 USD | Morgan Stanley | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (48431)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,519,879 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,980,000 CHF | Morgan Stanley | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (36110)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24,756,000 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,280,000 GBP | Morgan Stanley | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (120324)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70,406,150 USD | &nbsp;&nbsp;&nbsp;&nbsp; 685,109,000 NOK | Morgan Stanley | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1644098 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40,500,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27,892,645 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (927357)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36,145,000 BRL | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,781,307 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (240395)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,200,000 CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,320,100 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (27396)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 950,000 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,242,592 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4633 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18,100,000 CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22,795,349 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (791024)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,300,000 EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,550,027 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 99679 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,450,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13,007,717 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 271810 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,900,000 GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5,210,923 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (45165)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 220,000,000 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,416,933 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6280 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| 15,005,270,000 KRW | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,284,270 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (145473)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73,625,000 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,273,867 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5087 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58,210,000 MXN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3,359,101 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (15918)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92,750,000 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,458,079 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (295658)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30,150,000 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17,496,919 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (600317)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40,125,000 PLN | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11,047,971 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (181145)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 182,750,000 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20,595,751 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 333573 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,500,000 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 809,750 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (21803)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp; 519,950,000 TRY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11,656,956 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (30326)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11,415,982 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16,300,000 AUD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 183179 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,936,073 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,750,000 CAD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 15677 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7,502,330 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,150,000 CAD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (56365)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 635,394 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500,000 CHF | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 16163 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 913,454 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 700,000 CHF | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1274)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,954,149 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,350,000 EUR | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 103114 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,833,193 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,550,000 EUR | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (171)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12,194,076 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8,950,000 GBP | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (132027)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,453,566 USD | &nbsp;&nbsp;&nbsp;&nbsp; 951,170,000 INR | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (15530)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22,944,243 USD | &nbsp;&nbsp;&nbsp;&nbsp; 3,515,000,000 JPY | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (405866)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,444,036 USD | &nbsp;&nbsp;&nbsp;&nbsp; 15,005,270,000 KRW | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (14293)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,422,693 USD | &nbsp;&nbsp;&nbsp;&nbsp; 191,620,000 MXN | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 687443 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25,436,012 USD | &nbsp;&nbsp;&nbsp;&nbsp; 256,750,000 NOK | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1564228 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,188,373 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,050,000 NZD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 42119 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17,873,459 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29,600,000 NZD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (106355)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 756,451 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,685,000 PLN | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (5045)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8,606,938 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80,000,000 SEK | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 262962 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8,049,958 USD | &nbsp;&nbsp;&nbsp;&nbsp; 367,175,000 TRY | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 203293 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13,555,039 USD | &nbsp;&nbsp;&nbsp;&nbsp; 220,775,000 ZAR | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 292309 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp; 108,965,000 ZAR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,836,370 USD | Morgan Stanley | 03/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1917 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp; 1,659,951,000 JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10,670,278 USD | Standard Chartered | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 33220 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19,142,000 NOK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,969,939 USD | UBS | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (43150)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21,919,067 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31,611,000 AUD | UBS | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 576142 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8,377,983 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11,352,000 CAD | UBS | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (52792)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14,781,762 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11,419,000 CHF | UBS | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 85337 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8,787,409 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14,586,000 NZD | UBS | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (34963)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13,726,000 AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,650,842 USD | Wells Fargo | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (116936)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35,919,000 NZD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21,750,499 USD | Wells Fargo | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 197016 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41,008,000 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,588,140 USD | Wells Fargo | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 43388 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9,397,000 SEK | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,038,646 USD | Wells Fargo | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2786)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23,800,424 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32,443,000 CAD | Wells Fargo | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (7771)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** | **Forward foreign currency exchange contracts (continued)** |
| **Currency to**<br> **be sold**<br>| &nbsp;&nbsp;&nbsp; **Currency to**<br> **be purchased**<br>| **Counterparty** | **Settlement**<br> **date**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Unrealized**<br> **depreciation ($)**<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 474,643 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 398,000 EUR | Wells Fargo | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4155)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21,866,410 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16,171,000 GBP | Wells Fargo | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (73001)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 780,550 USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6,959,000 SEK | Wells Fargo | 03/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (9312)<br>|
| Total |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 24755684 | &nbsp;&nbsp;&nbsp;&nbsp; (25021142)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Long futures contracts** | **Long futures contracts** | **Long futures contracts** | **Long futures contracts** | **Long futures contracts** | **Long futures contracts** | **Long futures contracts** |
| **Description** | **Number of** <br>**contracts**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Expiration** <br>**date**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Trading** <br>**currency**<br>| &nbsp;&nbsp;&nbsp; **Notional** <br>**amount**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized** <br>**appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized** <br>**depreciation ($)**<br>|
| Australian 3-Year Bond | 30 | 03/2026 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; 3149005 | &nbsp;&nbsp;&nbsp;&nbsp; 1324 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Brent Crude | 10 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 728700 | &nbsp;&nbsp;&nbsp;&nbsp; 52289 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Brent Crude | 59 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 4224990 | &nbsp;&nbsp;&nbsp;&nbsp; 525729 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Brent Crude | 60 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 4212000 | &nbsp;&nbsp;&nbsp;&nbsp; 464389 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Brent Crude | 121 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 8359890 | &nbsp;&nbsp;&nbsp;&nbsp; 597866 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| CAC40 Index | 228 | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 19593180 | &nbsp;&nbsp;&nbsp;&nbsp; 622537 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Canadian Government 10-Year Bond | 576 | 06/2026 | CAD | &nbsp;&nbsp;&nbsp;&nbsp; 70755840 | &nbsp;&nbsp;&nbsp;&nbsp; 314491 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Canadian Government 10-Year Bond | 76 | 06/2026 | CAD | &nbsp;&nbsp;&nbsp;&nbsp; 9335840 | &nbsp;&nbsp;&nbsp;&nbsp; 22705 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Cocoa | 12 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 353040 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (299580)<br>|
| Cocoa | 24 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 720960 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (560746)<br>|
| Cocoa | 12 | 12/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 371760 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (126601)<br>|
| Coffee | 7 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 736969 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (43917)<br>|
| Coffee | 23 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2421469 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (109999)<br>|
| Coffee | 19 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2000344 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (127950)<br>|
| Coffee | 9 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 931163 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (229782)<br>|
| Coffee | 18 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1831950 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (380578)<br>|
| Coffee | 9 | 12/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 900788 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (39006)<br>|
| Copper | 1 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 332522 | &nbsp;&nbsp;&nbsp;&nbsp; 5614 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Copper | 12 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1817850 | &nbsp;&nbsp;&nbsp;&nbsp; 36029 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Copper | 1 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 334229 | &nbsp;&nbsp;&nbsp;&nbsp; 1154 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Copper | 18 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2753100 | &nbsp;&nbsp;&nbsp;&nbsp; 355311 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Copper | 36 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 5558400 | &nbsp;&nbsp;&nbsp;&nbsp; 315176 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Copper | 18 | 12/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2816100 | &nbsp;&nbsp;&nbsp;&nbsp; 53487 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Corn | 57 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1278225 | &nbsp;&nbsp;&nbsp;&nbsp; 34056 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Corn | 56 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1255800 | &nbsp;&nbsp;&nbsp;&nbsp; 30802 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Corn | 101 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2302800 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (20465)<br>|
| Corn | 202 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 4603075 | &nbsp;&nbsp;&nbsp;&nbsp; 101932 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Corn | 98 | 12/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2300550 | &nbsp;&nbsp;&nbsp;&nbsp; 48986 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Cotton | 20 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 673200 | &nbsp;&nbsp;&nbsp;&nbsp; 10073 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Cotton | 58 | 12/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2021300 | &nbsp;&nbsp;&nbsp;&nbsp; 38762 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| DAX Index | 8 | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 5069400 | &nbsp;&nbsp;&nbsp;&nbsp; 118818 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| DJIA Index E-mini | 12 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2940000 | &nbsp;&nbsp;&nbsp;&nbsp; 4090 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Euro STOXX 50 Index | 11 | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 676830 | &nbsp;&nbsp;&nbsp;&nbsp; 51668 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Euro STOXX 50 Index | 30 | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 1845900 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (7663)<br>|
| Euro-Bobl | 1 | 06/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 118100 | &nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Euro-BTP | 17 | 06/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2072810 | &nbsp;&nbsp;&nbsp;&nbsp; 4643 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Euro-Bund | 285 | 06/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 36822000 | &nbsp;&nbsp;&nbsp;&nbsp; 101855 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Euro-OAT | 161 | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 19951120 | &nbsp;&nbsp;&nbsp;&nbsp; 477726 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Euro-OAT | 10 | 06/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 1234400 | &nbsp;&nbsp;&nbsp;&nbsp; 3012 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Feeder Cattle | 27 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 4687200 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (150669)<br>|
| FTSE 100 Index | 87 | 03/2026 | GBP | &nbsp;&nbsp;&nbsp;&nbsp; 9488220 | &nbsp;&nbsp;&nbsp;&nbsp; 778589 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| FTSE 100 Index | 6 | 03/2026 | GBP | &nbsp;&nbsp;&nbsp;&nbsp; 654360 | &nbsp;&nbsp;&nbsp;&nbsp; 48030 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| FTSE China A50 Index | 427 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 6252134 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (38581)<br>|
| FTSE Taiwan Index | 41 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 4649810 | &nbsp;&nbsp;&nbsp;&nbsp; 67265 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| FTSE/MIB Index | 8 | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 1890840 | &nbsp;&nbsp;&nbsp;&nbsp; 50127 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Gas Oil | 20 | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1486000 | &nbsp;&nbsp;&nbsp;&nbsp; 131175 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Gas Oil | 20 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1409000 | &nbsp;&nbsp;&nbsp;&nbsp; 146814 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Gas Oil | 41 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2841300 | &nbsp;&nbsp;&nbsp;&nbsp; 326068 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Gas Oil | 21 | 11/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1434300 | &nbsp;&nbsp;&nbsp;&nbsp; 76982 | &nbsp;&nbsp;&nbsp;&nbsp; — |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Long futures contracts (continued)** | **Long futures contracts (continued)** | **Long futures contracts (continued)** | **Long futures contracts (continued)** | **Long futures contracts (continued)** | **Long futures contracts (continued)** | **Long futures contracts (continued)** |
| **Description** | **Number of**<br> **contracts**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Expiration** <br> **date**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Trading**<br> **currency**<br>| &nbsp;&nbsp;&nbsp; **Notional**<br> **amount**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized**<br> **appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized**<br> **depreciation ($)**<br>|
| Gold 100 oz. | 6 | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3148740 | &nbsp;&nbsp;&nbsp;&nbsp; 140935 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Gold 100 oz. | 6 | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3148740 | &nbsp;&nbsp;&nbsp;&nbsp; 134414 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Hard Red Winter Wheat | 6 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 174150 | &nbsp;&nbsp;&nbsp;&nbsp; 9066 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Hard Red Winter Wheat | 28 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 830900 | &nbsp;&nbsp;&nbsp;&nbsp; 40660 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Hard Red Winter Wheat | 55 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1672000 | &nbsp;&nbsp;&nbsp;&nbsp; 116574 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Hard Red Winter Wheat | 26 | 12/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 817700 | &nbsp;&nbsp;&nbsp;&nbsp; 39511 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| IBEX 35 Index | 25 | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 4602800 | &nbsp;&nbsp;&nbsp;&nbsp; 61673 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| IBEX 35 Index | 11 | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2025232 | &nbsp;&nbsp;&nbsp;&nbsp; 36608 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| IFSC Nifty 50 Index | 39 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1972230 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (36526)<br>|
| Japanese 10-Year Government Bond | 36 | 03/2026 | JPY | &nbsp;&nbsp;&nbsp;&nbsp; 4780800000 | &nbsp;&nbsp;&nbsp;&nbsp; 285706 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| KLCI Index | 4 | 03/2026 | MYR | &nbsp;&nbsp;&nbsp;&nbsp; 338600 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1266)<br>|
| Lead | 6 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 293801 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2616)<br>|
| Lead | 8 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 396556 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (18722)<br>|
| Lead | 15 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 753293 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (27006)<br>|
| Lead | 7 | 11/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 355819 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2736)<br>|
| Lean Hogs | 32 | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1225280 | &nbsp;&nbsp;&nbsp;&nbsp; 43636 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Lean Hogs | 13 | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 497770 | &nbsp;&nbsp;&nbsp;&nbsp; 21354 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Lean Hogs | 41 | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1569890 | &nbsp;&nbsp;&nbsp;&nbsp; 9469 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Lean Hogs | 19 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 832580 | &nbsp;&nbsp;&nbsp;&nbsp; 60084 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Lean Hogs | 19 | 08/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 840370 | &nbsp;&nbsp;&nbsp;&nbsp; 68277 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Lean Hogs | 45 | 10/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1672200 | &nbsp;&nbsp;&nbsp;&nbsp; 52897 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Live Cattle | 3 | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 278670 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (12354)<br>|
| Live Cattle | 13 | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1207570 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (26305)<br>|
| Live Cattle | 2 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 183320 | &nbsp;&nbsp;&nbsp;&nbsp; 4572 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Live Cattle | 15 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1374900 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (53127)<br>|
| Live Cattle | 18 | 08/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1640160 | &nbsp;&nbsp;&nbsp;&nbsp; 48698 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Live Cattle | 35 | 10/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3181150 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (46977)<br>|
| Long Gilt | 219 | 06/2026 | GBP | &nbsp;&nbsp;&nbsp;&nbsp; 20515920 | &nbsp;&nbsp;&nbsp;&nbsp; 365160 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Long Gilt | 113 | 06/2026 | GBP | &nbsp;&nbsp;&nbsp;&nbsp; 10585840 | &nbsp;&nbsp;&nbsp;&nbsp; 140562 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Mexican Bolsa IPC Index | 1 | 03/2026 | MXN | &nbsp;&nbsp;&nbsp;&nbsp; 718140 | &nbsp;&nbsp;&nbsp;&nbsp; 4258 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| MSCI EAFE Index | 1 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 158255 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (215)<br>|
| MSCI Emerging Markets Index | 87 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 6976095 | &nbsp;&nbsp;&nbsp;&nbsp; 741623 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| NASDAQ 100 Index E-mini | 4 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2000380 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (36152)<br>|
| Natural Gas | 25 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 714750 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (18919)<br>|
| Natural Gas | 18 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 514620 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (42658)<br>|
| Natural Gas | 89 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2969930 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (542687)<br>|
| Natural Gas | 176 | 08/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 5991040 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (328076)<br>|
| Natural Gas | 81 | 10/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3025350 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (147034)<br>|
| Nickel | 9 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 969812 | &nbsp;&nbsp;&nbsp;&nbsp; 139982 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Nickel | 17 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1845128 | &nbsp;&nbsp;&nbsp;&nbsp; 162458 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Nickel | 8 | 11/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 874248 | &nbsp;&nbsp;&nbsp;&nbsp; 20305 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| NY Harbor ULSD Heat Oil | 28 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3052896 | &nbsp;&nbsp;&nbsp;&nbsp; 291638 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| NY Harbor ULSD Heat Oil | 5 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 545160 | &nbsp;&nbsp;&nbsp;&nbsp; 17067 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| NY Harbor ULSD Heat Oil | 5 | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 531594 | &nbsp;&nbsp;&nbsp;&nbsp; 53633 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| NY Harbor ULSD Heat Oil | 11 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1136243 | &nbsp;&nbsp;&nbsp;&nbsp; 124117 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| NY Harbor ULSD Heat Oil | 22 | 08/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2249293 | &nbsp;&nbsp;&nbsp;&nbsp; 284687 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| NY Harbor ULSD Heat Oil | 11 | 10/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1117439 | &nbsp;&nbsp;&nbsp;&nbsp; 69811 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| OMXS30 Index | 202 | 03/2026 | SEK | &nbsp;&nbsp;&nbsp;&nbsp; 65170250 | &nbsp;&nbsp;&nbsp;&nbsp; 176950 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Primary Aluminum | 7 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 549386 | &nbsp;&nbsp;&nbsp;&nbsp; 32644 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Primary Aluminum | 10 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 786223 | &nbsp;&nbsp;&nbsp;&nbsp; 14828 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Primary Aluminum | 21 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1651330 | &nbsp;&nbsp;&nbsp;&nbsp; 98728 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Primary Aluminum | 43 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3382369 | &nbsp;&nbsp;&nbsp;&nbsp; 132183 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Primary Aluminum | 21 | 11/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1649624 | &nbsp;&nbsp;&nbsp;&nbsp; 18858 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| RBOB Gasoline | 3 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 287973 | &nbsp;&nbsp;&nbsp;&nbsp; 4651 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| RBOB Gasoline | 107 | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 10304742 | &nbsp;&nbsp;&nbsp;&nbsp; 342680 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| RBOB Gasoline | 12 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1139342 | &nbsp;&nbsp;&nbsp;&nbsp; 108630 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| RBOB Gasoline | 26 | 08/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2387330 | &nbsp;&nbsp;&nbsp;&nbsp; 256867 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| RBOB Gasoline | 14 | 10/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1163476 | &nbsp;&nbsp;&nbsp;&nbsp; 60867 | &nbsp;&nbsp;&nbsp;&nbsp; — |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Long futures contracts (continued)** | **Long futures contracts (continued)** | **Long futures contracts (continued)** | **Long futures contracts (continued)** | **Long futures contracts (continued)** | **Long futures contracts (continued)** | **Long futures contracts (continued)** |
| **Description** | **Number of**<br> **contracts**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Expiration** <br> **date**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Trading**<br> **currency**<br>| &nbsp;&nbsp;&nbsp; **Notional**<br> **amount**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized**<br> **appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized**<br> **depreciation ($)**<br>|
| Russell 2000 Index E-mini | 14 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1844290 | &nbsp;&nbsp;&nbsp;&nbsp; 26215 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| S&P 500 Index E-mini | 15 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 5166750 | &nbsp;&nbsp;&nbsp;&nbsp; 2802 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| S&P 500 Index E-mini | 51 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 17566950 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (500)<br>|
| S&P 500 Index E-mini | 86 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 29622700 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (133096)<br>|
| S&P Mid 400 Index E-mini | 7 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2504530 | &nbsp;&nbsp;&nbsp;&nbsp; 87124 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| S&P/TSX 60 Index | 74 | 03/2026 | CAD | &nbsp;&nbsp;&nbsp;&nbsp; 29178200 | &nbsp;&nbsp;&nbsp;&nbsp; 1269317 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| S&P/TSX 60 Index | 13 | 03/2026 | CAD | &nbsp;&nbsp;&nbsp;&nbsp; 5125900 | &nbsp;&nbsp;&nbsp;&nbsp; 64214 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Silver | 8 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3731640 | &nbsp;&nbsp;&nbsp;&nbsp; 730276 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Silver | 2 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 932910 | &nbsp;&nbsp;&nbsp;&nbsp; 124716 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Soybean | 20 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1170750 | &nbsp;&nbsp;&nbsp;&nbsp; 38598 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Soybean | 41 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2424638 | &nbsp;&nbsp;&nbsp;&nbsp; 79170 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Soybean | 129 | 11/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 7277213 | &nbsp;&nbsp;&nbsp;&nbsp; 248850 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Soybean Meal | 26 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 833300 | &nbsp;&nbsp;&nbsp;&nbsp; 23270 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Soybean Meal | 10 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 320500 | &nbsp;&nbsp;&nbsp;&nbsp; 2326 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Soybean Meal | 40 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1291200 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (14338)<br>|
| Soybean Meal | 82 | 12/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2606780 | &nbsp;&nbsp;&nbsp;&nbsp; 21948 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Soybean Meal | 38 | 12/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1208020 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (6702)<br>|
| Soybean Oil | 14 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 519540 | &nbsp;&nbsp;&nbsp;&nbsp; 40251 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Soybean Oil | 39 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1448226 | &nbsp;&nbsp;&nbsp;&nbsp; 233394 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Soybean Oil | 121 | 12/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 4336398 | &nbsp;&nbsp;&nbsp;&nbsp; 486844 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| SPI 200 Index | 49 | 03/2026 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; 11233250 | &nbsp;&nbsp;&nbsp;&nbsp; 504196 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Sugar #11 | 177 | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2753554 | &nbsp;&nbsp;&nbsp;&nbsp; 45421 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Sugar #11 | 41 | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 637829 | &nbsp;&nbsp;&nbsp;&nbsp; 6847 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Sugar #11 | 24 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 372826 | &nbsp;&nbsp;&nbsp;&nbsp; 851 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Sugar #11 | 49 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 761186 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (9819)<br>|
| Sugar #11 | 214 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3403456 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (77031)<br>|
| Thai SET50 Index | 706 | 03/2026 | THB | &nbsp;&nbsp;&nbsp;&nbsp; 143134440 | &nbsp;&nbsp;&nbsp;&nbsp; 100352 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| TOPIX Index | 25 | 03/2026 | JPY | &nbsp;&nbsp;&nbsp;&nbsp; 988625000 | &nbsp;&nbsp;&nbsp;&nbsp; 637282 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| TOPIX Index | 15 | 03/2026 | JPY | &nbsp;&nbsp;&nbsp;&nbsp; 593175000 | &nbsp;&nbsp;&nbsp;&nbsp; 420648 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| U.S. Treasury 10-Year Note | 87 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 9901688 | &nbsp;&nbsp;&nbsp;&nbsp; 52669 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| U.S. Treasury 2-Year Note | 401 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 83918649 | &nbsp;&nbsp;&nbsp;&nbsp; 136936 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| U.S. Treasury 5-Year Note | 356 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 39210063 | &nbsp;&nbsp;&nbsp;&nbsp; 108274 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Wheat | 16 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 473200 | &nbsp;&nbsp;&nbsp;&nbsp; 41467 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Wheat | 44 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1317250 | &nbsp;&nbsp;&nbsp;&nbsp; 67348 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Wheat | 86 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2621925 | &nbsp;&nbsp;&nbsp;&nbsp; 233027 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Wheat | 42 | 12/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1316175 | &nbsp;&nbsp;&nbsp;&nbsp; 90502 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| WTI Crude | 81 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 5428620 | &nbsp;&nbsp;&nbsp;&nbsp; 224766 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| WTI Crude | 14 | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 938280 | &nbsp;&nbsp;&nbsp;&nbsp; 45719 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| WTI Crude | 50 | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3309000 | &nbsp;&nbsp;&nbsp;&nbsp; 356147 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| WTI Crude | 101 | 08/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 6580150 | &nbsp;&nbsp;&nbsp;&nbsp; 653319 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| WTI Crude | 51 | 10/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3271140 | &nbsp;&nbsp;&nbsp;&nbsp; 114595 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Yen Denominated Nikkei 225 Index | 2 | 03/2026 | JPY | &nbsp;&nbsp;&nbsp;&nbsp; 58685000 | &nbsp;&nbsp;&nbsp;&nbsp; 27125 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Zinc | 95 | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 7883694 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (136083)<br>|
| Zinc | 12 | 07/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 996525 | &nbsp;&nbsp;&nbsp;&nbsp; 75094 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Zinc | 24 | 09/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1992450 | &nbsp;&nbsp;&nbsp;&nbsp; 82326 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Zinc | 12 | 11/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 995250 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (14708)<br>|
| Total |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 18361334 | &nbsp;&nbsp;&nbsp;&nbsp; (3871190)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Short futures contracts** | **Short futures contracts** | **Short futures contracts** | **Short futures contracts** | **Short futures contracts** | **Short futures contracts** | **Short futures contracts** |
| **Description** | **Number of** <br>**contracts**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Expiration** <br>**date**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Trading** <br>**currency**<br>| &nbsp;&nbsp;&nbsp; **Notional** <br>**amount**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized** <br>**appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized** <br>**depreciation ($)**<br>|
| 3-Month SOFR | (129) | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (31075294)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 34855 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Australian 10-Year Bond | (267) | 03/2026 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; (29522809)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (208436)<br>|
| Australian 10-Year Bond | (781) | 03/2026 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; (86356982)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (679338)<br>|
| Bist 30 Index | (796) | 04/2026 | TRY | &nbsp;&nbsp;&nbsp;&nbsp; (127176920)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 66902 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Brent Crude | (150) | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (10930500)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1213580)<br>|
| CAC40 Index | (86) | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; (7390410)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (211445)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Short futures contracts (continued)** | **Short futures contracts (continued)** | **Short futures contracts (continued)** | **Short futures contracts (continued)** | **Short futures contracts (continued)** | **Short futures contracts (continued)** | **Short futures contracts (continued)** |
| **Description** | **Number of**<br> **contracts**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Expiration**<br> **date**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Trading**<br> **currency**<br>| &nbsp;&nbsp;&nbsp; **Notional**<br> **amount**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized**<br> **appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized**<br> **depreciation ($)**<br>|
| Canadian Government 10-Year Bond | (680) | 06/2026 | CAD | &nbsp;&nbsp;&nbsp;&nbsp; (83531200)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (211644)<br>|
| Cocoa | (47) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (1357360)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 433164 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Cocoa | (19) | 05/2026 | GBP | &nbsp;&nbsp;&nbsp;&nbsp; (390830)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 186194 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Cocoa | (5) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (144400)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 56699 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Copper | (23) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (3484213)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (180013)<br>|
| Copper | (97) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (14694288)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (279066)<br>|
| Corn | (317) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (7108725)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (168550)<br>|
| Cotton | (18) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (590490)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (11871)<br>|
| Cotton | (62) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (2033910)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (43092)<br>|
| Cotton | (172) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (5642460)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (145114)<br>|
| DAX Index | (3) | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; (1901025)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (4845)<br>|
| DAX Index | (21) | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; (13307175)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (308459)<br>|
| Euro STOXX 50 Index | (607) | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; (37348710)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1762520)<br>|
| Euro-Bund | (72) | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; (9376560)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (111263)<br>|
| Euro-Bund | (48) | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; (6251040)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (157396)<br>|
| Euro-Buxl 30-Year | (1) | 06/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; (113320)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (639)<br>|
| Euro-OAT | (53) | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; (6567760)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (223416)<br>|
| Euro-Schatz | (39) | 06/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; (4172610)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (2109)<br>|
| FTSE 100 Index | (42) | 03/2026 | GBP | &nbsp;&nbsp;&nbsp;&nbsp; (4580520)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (449937)<br>|
| FTSE Taiwan Index | (11) | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (1247510)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7803 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| FTSE/JSE Top 40 Index | (22) | 03/2026 | ZAR | &nbsp;&nbsp;&nbsp;&nbsp; (26425960)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (116165)<br>|
| FTSE/JSE Top 40 Index | (53) | 03/2026 | ZAR | &nbsp;&nbsp;&nbsp;&nbsp; (63662540)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (380050)<br>|
| FTSE/MIB Index | (78) | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; (18435690)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1117011)<br>|
| Gas Oil | (68) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (4947000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (420182)<br>|
| Hard Red Winter Wheat | (212) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (6153300)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (88281)<br>|
| IBEX 35 Index | (1) | 03/2026 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; (184112)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (5235)<br>|
| IFSC Nifty 50 Index | (64) | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (3236480)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 57962 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Japanese 10-Year Government Bond | (33) | 03/2026 | JPY | &nbsp;&nbsp;&nbsp;&nbsp; (4382400000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (40485)<br>|
| Japanese 10-Year Government Bond | (19) | 03/2026 | JPY | &nbsp;&nbsp;&nbsp;&nbsp; (2523200000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (83891)<br>|
| KOSPI 200 Index | (21) | 03/2026 | KRW | &nbsp;&nbsp;&nbsp;&nbsp; (4923450000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (374322)<br>|
| Live Cattle | (77) | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (7152530)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 153152 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Long Gilt | (100) | 06/2026 | GBP | &nbsp;&nbsp;&nbsp;&nbsp; (9368000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (112014)<br>|
| Mexican Bolsa IPC Index | (200) | 03/2026 | MXN | &nbsp;&nbsp;&nbsp;&nbsp; (143628000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (759940)<br>|
| MSCI Singapore Index | (52) | 03/2026 | SGD | &nbsp;&nbsp;&nbsp;&nbsp; (2400060)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (41)<br>|
| Natural Gas | (161) | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (4638410)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 345626 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Nickel | (4) | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (424387)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (18538)<br>|
| Nickel | (32) | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (3395096)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (78629)<br>|
| Nickel | (81) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (8667339)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (154914)<br>|
| Nickel | (4) | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (429540)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1451 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Nikkei 225 Index | (1) | 03/2026 | JPY | &nbsp;&nbsp;&nbsp;&nbsp; (59100000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (14850)<br>|
| OMXS30 Index | (80) | 03/2026 | SEK | &nbsp;&nbsp;&nbsp;&nbsp; (25810000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (37077)<br>|
| Primary Aluminum | (34) | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (2668448)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (51938)<br>|
| Primary Aluminum | (289) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (22706080)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (322092)<br>|
| RBOB Gasoline | (5) | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (479955)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (16975)<br>|
| S&P/TSX 60 Index | (22) | 03/2026 | CAD | &nbsp;&nbsp;&nbsp;&nbsp; (8674600)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (239430)<br>|
| Soybean | (45) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (2634188)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (49793)<br>|
| Soybean | (206) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (12058725)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (271008)<br>|
| Soybean Oil | (69) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (2560590)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (170314)<br>|
| Soybean Oil | (317) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (11763870)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (814505)<br>|
| SPI 200 Index | (129) | 03/2026 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; (29573250)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1045562)<br>|
| Sugar #11 | (118) | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (1835702)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (54485)<br>|
| TOPIX Index | (31) | 03/2026 | JPY | &nbsp;&nbsp;&nbsp;&nbsp; (1225895000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1025493)<br>|
| U.S. Long Bond | (225) | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (26655469)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (192956)<br>|
| U.S. Treasury 10-Year Note | (1196) | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (136119750)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (664826)<br>|
| U.S. Treasury Ultra Bond | (31) | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (3769406)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (42474)<br>|
| U.S. Treasury Ultra Bond | (67) | 06/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (8146781)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (73392)<br>|
| Wheat | (28) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (828100)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (54972)<br>|
| Wheat | (537) | 05/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (15881775)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1198488)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Short futures contracts (continued)** | **Short futures contracts (continued)** | **Short futures contracts (continued)** | **Short futures contracts (continued)** | **Short futures contracts (continued)** | **Short futures contracts (continued)** | **Short futures contracts (continued)** |
| **Description** | **Number of**<br> **contracts**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Expiration**<br> **date**<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Trading**<br> **currency**<br>| &nbsp;&nbsp;&nbsp; **Notional**<br> **amount**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized**<br> **appreciation ($)**<br>| &nbsp;&nbsp;&nbsp; **Value/Unrealized**<br> **depreciation ($)**<br>|
| WIG 20 Index | (144) | 03/2026 | PLN | &nbsp;&nbsp;&nbsp;&nbsp; (9910080)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (77189)<br>|
| WTI Crude | (253) | 04/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (16923170)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (503896)<br>|
| Zinc | (6) | 03/2026 | USD | &nbsp;&nbsp;&nbsp;&nbsp; (496449)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3451 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| Total |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1347259 | &nbsp;&nbsp;&nbsp;&nbsp; (17044146)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** | **Call option contracts purchased** |
| **Description** | **Counterparty** | &nbsp;&nbsp; **Trading** <br>**currency**<br>| **Notional** <br>**amount**<br>| **Number of** <br>**contracts**<br>| **Exercise** <br>**price/Rate**<br>| **Expiration** <br>**date**<br>| **Cost ($)** | **Value ($)** |
| &nbsp;&nbsp;&nbsp; 10-Year OTC interest rate swap with Citi to receive <br> exercise rate and pay SOFR<br>| Citi | USD | &nbsp;&nbsp; 6000000 | &nbsp;&nbsp; 6000000 | 3.50 | &nbsp;&nbsp; 07/09/2026 | &nbsp;&nbsp; 105000 | &nbsp;&nbsp; 75859 |
| &nbsp;&nbsp;&nbsp; 10-Year OTC interest rate swap with Citi to receive <br> exercise rate and pay SOFR<br>| Citi | USD | &nbsp;&nbsp; 10000000 | &nbsp;&nbsp; 10000000 | 3.50 | &nbsp;&nbsp; 12/01/2026 | &nbsp;&nbsp; 173500 | &nbsp;&nbsp; 184115 |
| &nbsp;&nbsp;&nbsp; 10-Year OTC interest rate swap with Morgan Stanley to <br> receive exercise rate and pay SOFR<br>| Morgan Stanley | USD | &nbsp;&nbsp; 6500000 | &nbsp;&nbsp; 6500000 | 3.40 | &nbsp;&nbsp; 03/16/2026 | &nbsp;&nbsp; 89700 | &nbsp;&nbsp; 9729 |
| &nbsp;&nbsp;&nbsp; 10-Year OTC interest rate swap with Morgan Stanley to <br> receive exercise rate and pay SOFR<br>| Morgan Stanley | USD | &nbsp;&nbsp; 4785000 | &nbsp;&nbsp; 4785000 | 3.50 | &nbsp;&nbsp; 06/11/2026 | &nbsp;&nbsp; 78952 | &nbsp;&nbsp; 53461 |
| &nbsp;&nbsp;&nbsp; 30-Year OTC interest rate swap with Morgan Stanley to <br> receive exercise rate and pay SOFR<br>| Morgan Stanley | USD | &nbsp;&nbsp; 2613000 | &nbsp;&nbsp; 2613000 | 3.50 | &nbsp;&nbsp; 10/29/2026 | &nbsp;&nbsp; 70682 | &nbsp;&nbsp; 40987 |
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with Citi to receive <br> exercise rate and pay SOFR<br>| Citi | USD | &nbsp;&nbsp; 10000000 | &nbsp;&nbsp; 10000000 | 3.30 | &nbsp;&nbsp; 03/30/2026 | &nbsp;&nbsp; 97500 | &nbsp;&nbsp; 59928 |
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with Morgan Stanley to <br> receive exercise rate and pay SOFR<br>| Morgan Stanley | USD | &nbsp;&nbsp; 10000000 | &nbsp;&nbsp; 10000000 | 3.75 | &nbsp;&nbsp; 05/14/2026 | &nbsp;&nbsp; 191000 | &nbsp;&nbsp; 249156 |
| Total |  |  |  |  |  |  | &nbsp;&nbsp; 806334 | &nbsp;&nbsp; 673235 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** | **Put option contracts purchased** |
| **Description** | **Counterparty** | &nbsp;&nbsp; **Trading** <br>**currency**<br>| **Notional** <br>**amount**<br>| **Number of** <br>**contracts**<br>| **Exercise** <br>**price/Rate**<br>| **Expiration** <br>**date**<br>| **Cost ($)** | **Value ($)** |
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with Citi to receive <br> SOFR and pay exercise rate<br>| Citi | USD | &nbsp;&nbsp; 7500000 | &nbsp;&nbsp; 7500000 | 3.35 | &nbsp;&nbsp; 03/18/2026 | &nbsp;&nbsp; 66000 | &nbsp;&nbsp; 8705 |
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with Citi to receive <br> SOFR and pay exercise rate<br>| Citi | USD | &nbsp;&nbsp; 7000000 | &nbsp;&nbsp; 7000000 | 3.75 | &nbsp;&nbsp; 04/22/2026 | &nbsp;&nbsp; 21875 | &nbsp;&nbsp; 2049 |
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with Morgan Stanley to <br> receive SOFR and pay exercise rate<br>| Morgan Stanley | USD | &nbsp;&nbsp; 26000000 | &nbsp;&nbsp; 26000000 | 3.60 | &nbsp;&nbsp; 05/06/2026 | &nbsp;&nbsp; 153400 | &nbsp;&nbsp; 27193 |
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with Morgan Stanley to <br> receive SOFR and pay exercise rate<br>| Morgan Stanley | USD | &nbsp;&nbsp; 8000000 | &nbsp;&nbsp; 8000000 | 3.75 | &nbsp;&nbsp; 08/04/2026 | &nbsp;&nbsp; 44600 | &nbsp;&nbsp; 15702 |
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with Morgan Stanley to <br> receive SOFR and pay exercise rate<br>| Morgan Stanley | USD | &nbsp;&nbsp; 27500000 | &nbsp;&nbsp; 27500000 | 3.40 | &nbsp;&nbsp; 08/05/2026 | &nbsp;&nbsp; 438900 | &nbsp;&nbsp; 158078 |
| Total |  |  |  |  |  |  | &nbsp;&nbsp; 724775 | &nbsp;&nbsp; 211727 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Call option contracts written** | **Call option contracts written** | **Call option contracts written** | **Call option contracts written** | **Call option contracts written** | **Call option contracts written** | **Call option contracts written** | **Call option contracts written** | **Call option contracts written** |
| **Description** | **Counterparty** | &nbsp;&nbsp; **Trading** <br>**currency**<br>| **Notional** <br>**amount**<br>| **Number of** <br>**contracts**<br>| **Exercise** <br>**price/Rate**<br>| **Expiration** <br>**date**<br>| **Premium** <br>**received ($)**<br>| **Value ($)** |
| &nbsp;&nbsp;&nbsp; 2-Year OTC interest rate swap with <br> Citi to receive SOFR and pay <br> exercise rate<br>| Citi | USD | &nbsp;&nbsp; (10710000)<br>| &nbsp;&nbsp; (10710000)<br>| 3.20 | &nbsp;&nbsp; 03/26/2026 | &nbsp;&nbsp; (8568)<br>| &nbsp;&nbsp; (19899)<br>|
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with <br> Citi to receive SOFR and pay <br> exercise rate<br>| Citi | USD | &nbsp;&nbsp; (10000000)<br>| &nbsp;&nbsp; (10000000)<br>| 3.10 | &nbsp;&nbsp; 03/27/2026 | &nbsp;&nbsp; (17500)<br>| &nbsp;&nbsp; (17500)<br>|
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with <br> Goldman Sachs International to <br> receive SOFR and pay exercise <br> rate<br>| Goldman Sachs International | USD | &nbsp;&nbsp; (10000000)<br>| &nbsp;&nbsp; (10000000)<br>| 3.10 | &nbsp;&nbsp; 03/27/2026 | &nbsp;&nbsp; (15000)<br>| &nbsp;&nbsp; (15000)<br>|
| &nbsp;&nbsp;&nbsp; 5-Year OTC interest rate swap with <br> Morgan Stanley to receive SOFR <br> and pay exercise rate<br>| Morgan Stanley | USD | &nbsp;&nbsp; (15000000)<br>| &nbsp;&nbsp; (15000000)<br>| 3.10 | &nbsp;&nbsp; 03/27/2026 | &nbsp;&nbsp; (22500)<br>| &nbsp;&nbsp; (22500)<br>|
| Total |  |  |  |  |  |  | &nbsp;&nbsp; (63568)<br>| &nbsp;&nbsp; (74899)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Cleared interest rate swap contracts** | **Cleared interest rate swap contracts** | **Cleared interest rate swap contracts** | **Cleared interest rate swap contracts** | **Cleared interest rate swap contracts** | **Cleared interest rate swap contracts** | **Cleared interest rate swap contracts** | **Cleared interest rate swap contracts** | **Cleared interest rate swap contracts** | **Cleared interest rate swap contracts** | **Cleared interest rate swap contracts** | **Cleared interest rate swap contracts** |
| **Fund** <br> **receives**<br>| **Fund pays** | **Payment** <br>**frequency**<br>| **Counterparty** | **Maturity** <br>**date**<br>| **Notional** <br>**currency**<br>| **Notional** <br>**amount**<br>| **Value** <br>**($)**<br>| **Upfront** <br>**payments** <br>**($)**<br>| **Upfront** <br>**receipts** <br>**($)**<br>| **Unrealized** <br>**appreciation** <br>**($)**<br>| **Unrealized** <br>**depreciation** <br>**($)**<br>|
| &nbsp;&nbsp; Fixed rate <br> of 0.000%<br>| SARON | Receives Annually, Pays Annually | JPMorgan | 03/15/2028 | CHF | 14400000 | 10855 |  |  | 10855 |  |
| &nbsp;&nbsp; Fixed rate <br> of 3.500%<br>| SONIA | Receives Annually, Pays Annually | JPMorgan | 03/15/2028 | GBP | 2800000 | 8150 |  |  | 8150 |  |
| &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| &nbsp;&nbsp; 3-Month <br> NZD Bank <br> Bill<br>| Receives Semi-Annually, Pays Quarterly | JPMorgan | 03/15/2028 | NZD | 68400000 | 8008 |  |  | 8008 |  |
| &nbsp;&nbsp; Fixed rate <br> of 2.000%<br>| &nbsp;&nbsp; 3-Month <br> SEK <br> STIBOR<br>| Receives Annually, Pays Quarterly | JPMorgan | 03/15/2028 | SEK | 2100000 | 188 |  |  | 188 |  |
| &nbsp;&nbsp; 6-Month <br> NOK <br> NIBOR<br>| &nbsp;&nbsp; Fixed rate <br> of 4.500%<br>| Receives Semi-Annually, Pays Annually | JPMorgan | 03/15/2028 | NOK | 104100000 | (11468)<br>|  |  |  | (11468)<br>|
| CORRA | &nbsp;&nbsp; Fixed rate <br> of 2.500%<br>| Receives Semi-Annually, Pays Semi-Annually | JPMorgan | 03/15/2028 | CAD | 44100000 | (96001)<br>|  |  |  | (96001)<br>|
| &nbsp;&nbsp; 6-Month <br> EURIBOR<br>| &nbsp;&nbsp; Fixed rate <br> of 2.000%<br>| Receives Semi-Annually, Pays Annually | JPMorgan | 03/15/2028 | EUR | 28600000 | (129738)<br>|  |  |  | (129738)<br>|
| TONA | &nbsp;&nbsp; Fixed rate <br> of 1.500%<br>| Receives Annually, Pays Annually | JPMorgan | 03/15/2028 | JPY | 23184500000 | (196467)<br>|  |  |  | (196467)<br>|
| &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| &nbsp;&nbsp; 3-Month <br> AUD BBSW<br>| Receives Quarterly, Pays Quarterly | JPMorgan | 06/08/2028 | AUD | 148100000 | 99781 |  |  | 99781 |  |
| &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| &nbsp;&nbsp; 3-Month <br> AUD BBSW<br>| Receives Quarterly, Pays Quarterly | JPMorgan | 06/08/2028 | AUD | 22500000 | (27518)<br>|  |  |  | (27518)<br>|
| &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| &nbsp;&nbsp; 3-Month <br> NZD Bank <br> Bill<br>| Receives Semi-Annually, Pays Quarterly | JPMorgan | 06/14/2028 | NZD | 166500000 | 20829 |  |  | 20829 |  |
| &nbsp;&nbsp; Fixed rate <br> of 2.000%<br>| &nbsp;&nbsp; 6-Month <br> EURIBOR<br>| Receives Annually, Pays Semi-Annually | JPMorgan | 06/21/2028 | EUR | 110000000 | 224477 |  |  | 224477 |  |
| &nbsp;&nbsp; Fixed rate <br> of 0.000%<br>| SARON | Receives Annually, Pays Annually | JPMorgan | 06/21/2028 | CHF | 49600000 | 183826 |  |  | 183826 |  |
| &nbsp;&nbsp; Fixed rate <br> of 2.000%<br>| &nbsp;&nbsp; 3-Month <br> SEK <br> STIBOR<br>| Receives Annually, Pays Quarterly | JPMorgan | 06/21/2028 | SEK | 1308900000 | 139922 |  |  | 139922 |  |
| &nbsp;&nbsp; Fixed rate <br> of 4.500%<br>| &nbsp;&nbsp; 6-Month <br> NOK <br> NIBOR<br>| Receives Annually, Pays Semi-Annually | JPMorgan | 06/21/2028 | NOK | 2000000 | 107 |  |  | 107 |  |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** |
| **Fund** <br> **receives**<br>| **Fund pays** | **Payment**<br> **frequency**<br>| **Counterparty** | **Maturity**<br> **date**<br>| **Notional**<br> **currency**<br>| **Notional**<br> **amount**<br>| **Value**<br> **($)**<br>| **Upfront**<br> **payments**<br> **($)**<br>| **Upfront**<br> **receipts**<br> **($)**<br>| **Unrealized**<br> **appreciation**<br> **($)**<br>| **Unrealized**<br> **depreciation**<br> **($)**<br>|
| &nbsp;&nbsp; Fixed rate <br> of 4.500%<br>| &nbsp;&nbsp; 6-Month <br> NOK <br> NIBOR<br>| Receives Annually, Pays Semi-Annually | JPMorgan | 06/21/2028 | NOK | 214400000 | (974)<br>|  |  |  | (974)<br>|
| SOFR | &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| Receives Annually, Pays Annually | JPMorgan | 06/21/2028 | USD | 94200000 | (270780)<br>|  |  |  | (270780)<br>|
| CORRA | &nbsp;&nbsp; Fixed rate <br> of 2.500%<br>| Receives Semi-Annually, Pays Semi-Annually | JPMorgan | 06/21/2028 | CAD | 128400000 | (412177)<br>|  |  |  | (412177)<br>|
| TONA | &nbsp;&nbsp; Fixed rate <br> of 1.500%<br>| Receives Annually, Pays Annually | JPMorgan | 06/21/2028 | JPY | 44534000000 | (420163)<br>|  |  |  | (420163)<br>|
| SONIA | &nbsp;&nbsp; Fixed rate <br> of 3.500%<br>| Receives Annually, Pays Annually | JPMorgan | 06/21/2028 | GBP | 156700000 | (542490)<br>|  |  |  | (542490)<br>|
| &nbsp;&nbsp; 3-Month <br> AUD BBSW<br>| &nbsp;&nbsp; Fixed rate <br> of 4.500%<br>| Receives Quarterly, Pays Quarterly | JPMorgan | 09/07/2028 | AUD | 2800000 |  |  |  |  |  |
| &nbsp;&nbsp; 6-Month <br> EURIBOR<br>| &nbsp;&nbsp; Fixed rate <br> of 2.000%<br>| Receives Semi-Annually, Pays Annually | JPMorgan | 09/20/2028 | EUR | 600000 |  |  |  |  |  |
| &nbsp;&nbsp; Fixed rate <br> of 2.000%<br>| &nbsp;&nbsp; 3-Month <br> SEK <br> STIBOR<br>| Receives Annually, Pays Quarterly | JPMorgan | 09/20/2028 | SEK | 29000000 |  |  |  |  |  |
| &nbsp;&nbsp; Fixed rate <br> of 4.500%<br>| &nbsp;&nbsp; 6-Month <br> NOK <br> NIBOR<br>| Receives Annually, Pays Semi-Annually | JPMorgan | 09/20/2028 | NOK | 50000000 |  |  |  |  |  |
| &nbsp;&nbsp; Fixed rate <br> of 0.000%<br>| SARON | Receives Annually, Pays Annually | JPMorgan | 09/20/2028 | CHF | 1100000 |  |  |  |  |  |
| &nbsp;&nbsp; Fixed rate <br> of 3.500%<br>| SONIA | Receives Annually, Pays Annually | JPMorgan | 09/20/2028 | GBP | 700000 |  |  |  |  |  |
| SOFR | &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| Receives Annually, Pays Annually | JPMorgan | 09/20/2028 | USD | 17200000 |  |  |  |  |  |
| &nbsp;&nbsp; 6-Month <br> EURIBOR<br>| &nbsp;&nbsp; Fixed rate <br> of 2.500%<br>| Receives Semi-Annually, Pays Annually | JPMorgan | 03/19/2031 | EUR | 2300000 | (10952)<br>|  |  |  | (10952)<br>|
| &nbsp;&nbsp; 3-Month <br> NZD Bank <br> Bill<br>| &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| Receives Quarterly, Pays Semi-Annually | JPMorgan | 06/11/2031 | NZD | 300000 | (1674)<br>|  |  |  | (1674)<br>|
| &nbsp;&nbsp; 6-Month <br> AUD BBSW<br>| &nbsp;&nbsp; Fixed rate <br> of 4.500%<br>| Receives Semi-Annually, Pays Semi-Annually | JPMorgan | 06/12/2031 | AUD | 400000 | 573 |  |  | 573 |  |
| &nbsp;&nbsp; 6-Month <br> AUD BBSW<br>| &nbsp;&nbsp; Fixed rate <br> of 4.500%<br>| Receives Semi-Annually, Pays Semi-Annually | JPMorgan | 06/12/2031 | AUD | 1000000 | (4222)<br>|  |  |  | (4222)<br>|
| TONA | &nbsp;&nbsp; Fixed rate <br> of 1.500%<br>| Receives Annually, Pays Annually | JPMorgan | 06/18/2031 | JPY | 178300000 | 9127 |  |  | 9127 |  |
| &nbsp;&nbsp; 6-Month <br> NOK <br> NIBOR<br>| &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| Receives Semi-Annually, Pays Annually | JPMorgan | 06/18/2031 | NOK | 10100000 | 5825 |  |  | 5825 |  |
| &nbsp;&nbsp; Fixed rate <br> of 0.000%<br>| SARON | Receives Annually, Pays Annually | JPMorgan | 06/18/2031 | CHF | 600000 | 3003 |  |  | 3003 |  |
| &nbsp;&nbsp; Fixed rate <br> of 2.500%<br>| &nbsp;&nbsp; 3-Month <br> SEK <br> STIBOR<br>| Receives Annually, Pays Quarterly | JPMorgan | 06/18/2031 | SEK | 5000000 | 1520 |  |  | 1520 |  |
| SOFR | &nbsp;&nbsp; Fixed rate <br> of 3.500%<br>| Receives Annually, Pays Annually | JPMorgan | 06/18/2031 | USD | 400000 | (1952)<br>|  |  |  | (1952)<br>|
| TONA | &nbsp;&nbsp; Fixed rate <br> of 1.500%<br>| Receives Annually, Pays Annually | JPMorgan | 06/18/2031 | JPY | 120000000 | (2688)<br>|  |  |  | (2688)<br>|
| CORRA | &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| Receives Semi-Annually, Pays Semi-Annually | JPMorgan | 06/18/2031 | CAD | 700000 | (7677)<br>|  |  |  | (7677)<br>|
| &nbsp;&nbsp; 6-Month <br> EURIBOR<br>| &nbsp;&nbsp; Fixed rate <br> of 2.500%<br>| Receives Semi-Annually, Pays Annually | JPMorgan | 06/18/2031 | EUR | 3100000 | (33578)<br>|  |  |  | (33578)<br>|
| SONIA | &nbsp;&nbsp; Fixed rate <br> of 3.500%<br>| Receives Annually, Pays Annually | JPMorgan | 06/18/2031 | GBP | 2600000 | (37169)<br>|  |  |  | (37169)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** |
| **Fund** <br> **receives**<br>| **Fund pays** | **Payment**<br> **frequency**<br>| **Counterparty** | **Maturity**<br> **date**<br>| **Notional**<br> **currency**<br>| **Notional**<br> **amount**<br>| **Value**<br> **($)**<br>| **Upfront**<br> **payments**<br> **($)**<br>| **Upfront**<br> **receipts**<br> **($)**<br>| **Unrealized**<br> **appreciation**<br> **($)**<br>| **Unrealized**<br> **depreciation**<br> **($)**<br>|
| &nbsp;&nbsp; Fixed rate <br> of 2.500%<br>| &nbsp;&nbsp; 6-Month <br> EURIBOR<br>| Receives Annually, Pays Semi-Annually | JPMorgan | 09/17/2031 | EUR | 100000 |  |  |  |  |  |
| &nbsp;&nbsp; 3-Month <br> NZD Bank <br> Bill<br>| &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| Receives Quarterly, Pays Semi-Annually | JPMorgan | 03/12/2036 | NZD | 1600000 | (17868)<br>|  |  |  | (17868)<br>|
| &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| CORRA | Receives Semi-Annually, Pays Semi-Annually | JPMorgan | 03/19/2036 | CAD | 11000000 | 104034 |  |  | 104034 |  |
| &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| &nbsp;&nbsp; 3-Month <br> SEK <br> STIBOR<br>| Receives Annually, Pays Quarterly | JPMorgan | 03/19/2036 | SEK | 4000000 | 5290 |  |  | 5290 |  |
| &nbsp;&nbsp; Fixed rate <br> of 2.000%<br>| TONA | Receives Annually, Pays Annually | JPMorgan | 03/19/2036 | JPY | 30000000 | 806 |  |  | 806 |  |
| &nbsp;&nbsp; 6-Month <br> NOK <br> NIBOR<br>| &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| Receives Semi-Annually, Pays Annually | JPMorgan | 03/19/2036 | NOK | 1000000 | (594)<br>|  |  |  | (594)<br>|
| SONIA | &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| Receives Annually, Pays Annually | JPMorgan | 03/19/2036 | GBP | 300000 | (3953)<br>|  |  |  | (3953)<br>|
| &nbsp;&nbsp; 6-Month <br> EURIBOR<br>| &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| Receives Semi-Annually, Pays Annually | JPMorgan | 03/19/2036 | EUR | 500000 | (14662)<br>|  |  |  | (14662)<br>|
| SARON | &nbsp;&nbsp; Fixed rate <br> of 0.500%<br>| Receives Annually, Pays Annually | JPMorgan | 03/19/2036 | CHF | 1300000 | (17968)<br>|  |  |  | (17968)<br>|
| &nbsp;&nbsp; Fixed rate <br> of 2.000%<br>| TONA | Receives Annually, Pays Annually | JPMorgan | 03/19/2036 | JPY | 3775700000 | (67073)<br>|  |  |  | (67073)<br>|
| &nbsp;&nbsp; 3-Month <br> NZD Bank <br> Bill<br>| &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| Receives Quarterly, Pays Semi-Annually | JPMorgan | 06/11/2036 | NZD | 37700000 | (438462)<br>|  |  |  | (438462)<br>|
| &nbsp;&nbsp; 6-Month <br> AUD BBSW<br>| &nbsp;&nbsp; Fixed rate <br> of 5.000%<br>| Receives Semi-Annually, Pays Semi-Annually | JPMorgan | 06/12/2036 | AUD | 66100000 | (493604)<br>|  |  |  | (493604)<br>|
| &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| SONIA | Receives Annually, Pays Annually | JPMorgan | 06/18/2036 | GBP | 42000000 | 804435 |  |  | 804435 |  |
| &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| SOFR | Receives Annually, Pays Annually | JPMorgan | 06/18/2036 | USD | 15100000 | 292015 |  |  | 292015 |  |
| &nbsp;&nbsp; Fixed rate <br> of 2.000%<br>| TONA | Receives Annually, Pays Annually | JPMorgan | 06/18/2036 | JPY | 6369300000 | 220734 |  |  | 220734 |  |
| &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| CORRA | Receives Semi-Annually, Pays Semi-Annually | JPMorgan | 06/18/2036 | CAD | 8400000 | 137156 |  |  | 137156 |  |
| &nbsp;&nbsp; 6-Month <br> NOK <br> NIBOR<br>| &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| Receives Semi-Annually, Pays Annually | JPMorgan | 06/18/2036 | NOK | 93900000 | (72892)<br>|  |  |  | (72892)<br>|
| SARON | &nbsp;&nbsp; Fixed rate <br> of 0.500%<br>| Receives Annually, Pays Annually | JPMorgan | 06/18/2036 | CHF | 2400000 | (76849)<br>|  |  |  | (76849)<br>|
| &nbsp;&nbsp; 3-Month <br> SEK <br> STIBOR<br>| &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| Receives Quarterly, Pays Annually | JPMorgan | 06/18/2036 | SEK | 42900000 | (153874)<br>|  |  |  | (153874)<br>|
| &nbsp;&nbsp; 6-Month <br> EURIBOR<br>| &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| Receives Semi-Annually, Pays Annually | JPMorgan | 06/18/2036 | EUR | 34300000 | (706060)<br>|  |  |  | (706060)<br>|
| &nbsp;&nbsp; 3-Month <br> AUD BBSW<br>| &nbsp;&nbsp; Fixed rate <br> of 5.000%<br>| Receives Semi-Annually, Pays Semi-Annually | JPMorgan | 09/11/2036 | AUD | 100000 |  |  |  |  |  |
| &nbsp;&nbsp; 6-Month <br> NOK <br> NIBOR<br>| &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| Receives Semi-Annually, Pays Annually | JPMorgan | 09/17/2036 | NOK | 12000000 |  |  |  |  |  |
| &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| &nbsp;&nbsp; 6-Month <br> EURIBOR<br>| Receives Annually, Pays Semi-Annually | JPMorgan | 09/17/2036 | EUR | 100000 |  |  |  |  |  |
| &nbsp;&nbsp; Fixed rate <br> of 3.500%<br>| SOFR | Receives Annually, Pays Annually | JPMorgan | 09/17/2036 | USD | 3900000 |  |  |  |  |  |
| &nbsp;&nbsp; Fixed rate <br> of 0.500%<br>| SARON | Receives Annually, Pays Annually | JPMorgan | 09/17/2036 | CHF | 100000 |  |  |  |  |  |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** | **Cleared interest rate swap contracts (continued)** |
| **Fund** <br> **receives**<br>| **Fund pays** | **Payment**<br> **frequency**<br>| **Counterparty** | **Maturity**<br> **date**<br>| **Notional**<br> **currency**<br>| **Notional**<br> **amount**<br>| **Value**<br> **($)**<br>| **Upfront**<br> **payments**<br> **($)**<br>| **Upfront**<br> **receipts**<br> **($)**<br>| **Unrealized**<br> **appreciation**<br> **($)**<br>| **Unrealized**<br> **depreciation**<br> **($)**<br>|
| &nbsp;&nbsp; Fixed rate <br> of 2.000%<br>| TONA | Receives Annually, Pays Annually | JPMorgan | 09/17/2036 | JPY | 20000000 |  |  |  |  |  |
| &nbsp;&nbsp; Fixed rate <br> of 4.500%<br>| SONIA | Receives Annually, Pays Annually | JPMorgan | 03/15/2056 | GBP | 200000 | 6955 |  |  | 6955 |  |
| &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| &nbsp;&nbsp; 6-Month <br> EURIBOR<br>| Receives Annually, Pays Semi-Annually | JPMorgan | 03/15/2056 | EUR | 900000 | 6125 |  |  | 6125 |  |
| &nbsp;&nbsp; Fixed rate <br> of 3.000%<br>| &nbsp;&nbsp; 6-Month <br> EURIBOR<br>| Receives Annually, Pays Semi-Annually | JPMorgan | 06/21/2056 | EUR | 2100000 | 106125 |  |  | 106125 |  |
| &nbsp;&nbsp; Fixed rate <br> of 4.500%<br>| SONIA | Receives Annually, Pays Annually | JPMorgan | 06/21/2056 | GBP | 2400000 | 95315 |  |  | 95315 |  |
| &nbsp;&nbsp; Fixed rate <br> of 4.000%<br>| SOFR | Receives Annually, Pays Annually | JPMorgan | 06/21/2056 | USD | 300000 | 7047 |  |  | 7047 |  |
| &nbsp;&nbsp; Fixed rate <br> of 2.705%<br>| &nbsp;&nbsp; 3-Month <br> SEK <br> STIBOR<br>| Receives Annually, Pays Quarterly | &nbsp;&nbsp; Morgan <br> Stanley<br>| 09/04/2035 | SEK | 61000000 | 105682 |  |  | 105682 |  |
| &nbsp;&nbsp; Fixed rate <br> of 2.696%<br>| &nbsp;&nbsp; 3-Month <br> SEK <br> STIBOR<br>| Receives Annually, Pays Quarterly | &nbsp;&nbsp; Morgan <br> Stanley<br>| 10/03/2035 | SEK | 210500000 | 328486 |  |  | 328486 |  |
| &nbsp;&nbsp; Fixed rate <br> of 3.695%<br>| &nbsp;&nbsp; 3-Month <br> NZD Bank <br> Bill<br>| Receives Semi-Annually, Pays Quarterly | &nbsp;&nbsp; Morgan <br> Stanley<br>| 10/03/2035 | NZD | 8200000 | (31592)<br>|  |  |  | (31592)<br>|
| &nbsp;&nbsp; Fixed rate <br> of 2.943%<br>| &nbsp;&nbsp; 3-Month <br> SEK <br> STIBOR<br>| Receives Annually, Pays Quarterly | &nbsp;&nbsp; Morgan <br> Stanley<br>| 12/03/2035 | SEK | 189000000 | 610770 |  |  | 610770 |  |
| &nbsp;&nbsp; Fixed rate <br> of 4.076%<br>| &nbsp;&nbsp; 3-Month <br> NZD Bank <br> Bill<br>| Receives Semi-Annually, Pays Quarterly | &nbsp;&nbsp; Morgan <br> Stanley<br>| 01/06/2036 | NZD | 27000000 | 235880 |  |  | 235880 |  |
| Total |  |  |  |  |  |  | (520093)<br>|  |  | 3783046 | (4303139)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** | **Credit default swap contracts - sell protection** |
| **Reference** <br>**entity**<br>| **Counterparty** | **Maturity** <br>**date**<br>| **Receive** <br>**fixed** <br>**rate** <br>**(%)**<br>| **Payment** <br>**frequency**<br>| **Implied** <br>**credit** <br>**spread** <br>**(%)\***<br>| **Notional** <br>**currency**<br>| **Notional** <br>**amount** <br>| **Value** <br>**($)**<br>| **Periodic** <br>**payments** <br>**receivable** <br>**(payable)** <br>**($)**<br>| **Upfront** <br>**payments** <br>**($)**<br>| **Upfront** <br>**receipts** <br>**($)**<br>| **Unrealized** <br>**appreciation** <br>**($)**<br>| **Unrealized** <br>**depreciation** <br>**($)**<br>|
| &nbsp;&nbsp; CMBX North America <br> Index, Series 16 <br> BBB-<br>| &nbsp;&nbsp; Goldman Sachs <br> International<br>| 04/17/2065 | 3.000 | Monthly | 7.249 | USD | 1000000 | (167570)<br>| 250 |  | (126461)<br>|  | (40859)<br>|
| &nbsp;&nbsp; CMBX North America <br> Index, Series 17 <br> BBB-<br>| &nbsp;&nbsp; Goldman Sachs <br> International<br>| 12/15/2056 | 3.000 | Monthly | 5.968 | USD | 3000000 | (399599)<br>| 751 |  | (442881)<br>| 44033 |  |
| &nbsp;&nbsp; CMBX North America <br> Index, Series 17 <br> BBB-<br>| &nbsp;&nbsp; Goldman Sachs <br> International<br>| 12/15/2056 | 3.000 | Monthly | 5.968 | USD | 500000 | (66600)<br>| 126 |  | (87505)<br>| 21031 |  |
| &nbsp;&nbsp; CMBX North America <br> Index, Series 17 <br> BBB-<br>| &nbsp;&nbsp; Goldman Sachs <br> International<br>| 12/15/2056 | 3.000 | Monthly | 5.968 | USD | 500000 | (66600)<br>| 125 |  | (82720)<br>| 16245 |  |
| &nbsp;&nbsp; CMBX North America <br> Index, Series 10 <br> BBB-<br>| Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 49.431 | USD | 499745 | (124982)<br>| 125 |  | (89344)<br>|  | (35513)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** | **Credit default swap contracts - sell protection (continued)** |
| **Reference**<br> **entity**<br>| **Counterparty** | **Maturity**<br> **date**<br>| **Receive**<br> **fixed**<br> **rate**<br> **(%)**<br>| **Payment**<br> **frequency**<br>| **Implied**<br> **credit**<br> **spread**<br> **(%)\***<br>| **Notional**<br> **currency**<br>| **Notional**<br> **amount**<br>| **Value**<br> **($)**<br>| **Periodic**<br> **payments**<br> **receivable**<br> **(payable)**<br> **($)**<br>| **Upfront**<br> **payments**<br> **($)**<br>| **Upfront**<br> **receipts**<br> **($)**<br>| **Unrealized**<br> **appreciation**<br> **($)**<br>| **Unrealized**<br> **depreciation**<br> **($)**<br>|
| &nbsp;&nbsp; CMBX North America <br> Index, Series 10 <br> BBB-<br>| Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 49.431 | USD | 1199388 | (299957)<br>| 299 |  | (251246)<br>|  | (48412)<br>|
| &nbsp;&nbsp; CMBX North America <br> Index, Series 10 <br> BBB-<br>| Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 49.431 | USD | 1998980 | (499928)<br>| 499 |  | (284634)<br>|  | (214795)<br>|
| Total |  |  |  |  |  |  |  | (1625236)<br>| 2175 |  | (1364791)<br>| 81309 | (339579)<br>|

---

\* Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. <br>

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total return swap contracts** | **Total return swap contracts** | **Total return swap contracts** | **Total return swap contracts** | **Total return swap contracts** | **Total return swap contracts** | **Total return swap contracts** | **Total return swap contracts** | **Total return swap contracts** | **Total return swap contracts** | **Total return swap contracts** | **Total return swap contracts** | **Total return swap contracts** |
| **Fund receives** | **Fund pays** | **Payment** <br>**frequency**<br>| **Counterparty** | **Maturity** <br>**date**<br>| **Notional** <br>**currency**<br>| **Notional** <br>**amount**<br>| **Value** <br>**($)**<br>| **Periodic** <br>**payments** <br>**receivable** <br>**(payable)** <br>**($)**<br>| **Upfront** <br>**payments** <br>**($)**<br>| **Upfront** <br>**receipts** <br>**($)**<br>| **Unrealized** <br>**appreciation** <br>**($)**<br>| **Unrealized** <br>**depreciation** <br>**($)**<br>|
| &nbsp;&nbsp; Increase in total <br> return of TAIEX <br> Index March <br> Futures<br>| &nbsp;&nbsp; Decrease in total <br> return of TAIEX <br> Index March <br> Futures<br>| At Termination | &nbsp;&nbsp; Goldman Sachs <br> International<br>| 03/18/2026 | TWD | 121077400 | 234003 |  |  |  | 234003 |  |
| &nbsp;&nbsp; Increase in total <br> return of WIG <br> 20 Index March <br> Futures<br>| &nbsp;&nbsp; Decrease in total <br> return of WIG <br> 20 Index March <br> Futures<br>| At Termination | &nbsp;&nbsp; Goldman Sachs <br> International<br>| 03/20/2026 | PLN | 619380 | (921)<br>|  |  |  |  | (921)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI France <br> Net Return EUR <br> Index<br>| &nbsp;&nbsp; ESTR plus <br> 0.480%<br>| Monthly | JPMorgan | 03/18/2026 | EUR | 1521758 | 31739 | (1084)<br>|  |  | 30655 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Mexico <br> Net Return <br> MXN Index<br>| &nbsp;&nbsp; 28-Day MXN <br> TIIE-Banxico <br> plus 0.500%<br>| Monthly | JPMorgan | 03/18/2026 | MXN | 17072815 | 14743 | (1864)<br>|  |  | 12879 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Sweden <br> Net Return SEK <br> Index<br>| &nbsp;&nbsp; 1-Month SEK <br> STIBOR plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | SEK | 4150004 | 12345 | (275)<br>|  |  | 12070 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Sweden <br> Net Return SEK <br> Index<br>| &nbsp;&nbsp; 1-Month SEK <br> STIBOR plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | SEK | 2553848 | 7597 | (169)<br>|  |  | 7428 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Sweden <br> Net Return SEK <br> Index<br>| &nbsp;&nbsp; 1-Month SEK <br> STIBOR plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | SEK | 1995194 | 5935 | (132)<br>|  |  | 5803 |  |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** |
| **Fund receives** | **Fund pays** | **Payment**<br> **frequency**<br>| **Counterparty** | **Maturity**<br> **date**<br>| **Notional**<br> **currency**<br>| **Notional**<br> **amount**<br>| **Value**<br> **($)**<br>| **Periodic**<br> **payments**<br> **receivable**<br> **(payable)**<br> **($)**<br>| **Upfront**<br> **payments**<br> **($)**<br>| **Upfront**<br> **receipts**<br> **($)**<br>| **Unrealized**<br> **appreciation**<br> **($)**<br>| **Unrealized**<br> **depreciation**<br> **($)**<br>|
| &nbsp;&nbsp; Total return on <br> MSCI United <br> Kingdom Net <br> Return GBP <br> Index<br>| &nbsp;&nbsp; SONIA plus <br> 0.550%<br>| Monthly | JPMorgan | 03/18/2026 | GBP | 177021 | 5896 | (252)<br>|  |  | 5644 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Sweden <br> Net Return SEK <br> Index<br>| &nbsp;&nbsp; 1-Month SEK <br> STIBOR plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | SEK | 1835578 | 5460 | (121)<br>|  |  | 5339 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Mexico <br> Net Return <br> MXN Index<br>| &nbsp;&nbsp; 28-Day MXN <br> TIIE-Banxico <br> plus 0.500%<br>| Monthly | JPMorgan | 03/18/2026 | MXN | 6571064 | 5674 | (717)<br>|  |  | 4957 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Mexico <br> Net Return <br> MXN Index<br>| &nbsp;&nbsp; 28-Day MXN <br> TIIE-Banxico <br> plus 0.500%<br>| Monthly | JPMorgan | 03/18/2026 | MXN | 4556236 | 3934 | (497)<br>|  |  | 3437 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Mexico <br> Net Return <br> MXN Index<br>| &nbsp;&nbsp; 28-Day MXN <br> TIIE-Banxico <br> plus 0.500%<br>| Monthly | JPMorgan | 03/18/2026 | MXN | 3336883 | 2882 | (365)<br>|  |  | 2517 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Mexico <br> Net Return <br> MXN Index<br>| &nbsp;&nbsp; 28-Day MXN <br> TIIE-Banxico <br> plus 0.500%<br>| Monthly | JPMorgan | 03/18/2026 | MXN | 3110938 | 2686 | (339)<br>|  |  | 2347 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Mexico <br> Net Return <br> MXN Index<br>| &nbsp;&nbsp; 28-Day MXN <br> TIIE-Banxico <br> plus 0.500%<br>| Monthly | JPMorgan | 03/18/2026 | MXN | 2929809 | 2530 | (320)<br>|  |  | 2210 |  |
| &nbsp;&nbsp; Total return on <br> MSCI France <br> Net Return EUR <br> Index<br>| &nbsp;&nbsp; ESTR plus <br> 0.480%<br>| Monthly | JPMorgan | 03/18/2026 | EUR | 98738 | 2059 | (70)<br>|  |  | 1989 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Mexico <br> Net Return <br> MXN Index<br>| &nbsp;&nbsp; 28-Day MXN <br> TIIE-Banxico <br> plus 0.500%<br>| Monthly | JPMorgan | 03/18/2026 | MXN | 2306128 | 1991 | (251)<br>|  |  | 1740 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Mexico <br> Net Return <br> MXN Index<br>| &nbsp;&nbsp; 28-Day MXN <br> TIIE-Banxico <br> plus 0.500%<br>| Monthly | JPMorgan | 03/18/2026 | MXN | 2093255 | 1808 | (229)<br>|  |  | 1579 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Mexico <br> Net Return <br> MXN Index<br>| &nbsp;&nbsp; 28-Day MXN <br> TIIE-Banxico <br> plus 0.500%<br>| Monthly | JPMorgan | 03/18/2026 | MXN | 4317502 | 1401 |  |  |  | 1401 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Italy Net <br> Return EUR <br> Index<br>| &nbsp;&nbsp; ESTR plus <br> 0.270%<br>| Monthly | JPMorgan | 03/18/2026 | EUR | 53741 | 1375 | (37)<br>|  |  | 1338 |  |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** |
| **Fund receives** | **Fund pays** | **Payment**<br> **frequency**<br>| **Counterparty** | **Maturity**<br> **date**<br>| **Notional**<br> **currency**<br>| **Notional**<br> **amount**<br>| **Value**<br> **($)**<br>| **Periodic**<br> **payments**<br> **receivable**<br> **(payable)**<br> **($)**<br>| **Upfront**<br> **payments**<br> **($)**<br>| **Upfront**<br> **receipts**<br> **($)**<br>| **Unrealized**<br> **appreciation**<br> **($)**<br>| **Unrealized**<br> **depreciation**<br> **($)**<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Mexico <br> Net Return <br> MXN Index<br>| &nbsp;&nbsp; 28-Day MXN <br> TIIE-Banxico <br> plus 0.500%<br>| Monthly | JPMorgan | 03/18/2026 | MXN | 1714191 | 1480 | (187)<br>|  |  | 1293 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Sweden <br> Net Return SEK <br> Index<br>| &nbsp;&nbsp; 1-Month SEK <br> STIBOR plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | SEK | 2448815 | 1076 |  |  |  | 1076 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Japan <br> Net Return JPY <br> Index<br>| &nbsp;&nbsp; TONA plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | JPY | 135627 | 29 |  |  |  | 29 |  |
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 2125 |  | (2)<br>|  |  |  | (2)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 8502 | (1)<br>| (6)<br>|  |  |  | (7)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 8502 | (1)<br>| (6)<br>|  |  |  | (7)<br>|
| &nbsp;&nbsp; 1-Month ZAR <br> JIBAR<br>| &nbsp;&nbsp; Total return on <br> MSCI South <br> Africa Net <br> Return ZAR <br> Index<br>| Monthly | JPMorgan | 03/18/2026 | ZAR | 2307 | (9)<br>|  |  |  |  | (9)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 27631 | (3)<br>| (21)<br>|  |  |  | (24)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 29757 | (3)<br>| (23)<br>|  |  |  | (26)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 34008 | (4)<br>| (25)<br>|  |  |  | (29)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 119026 | (13)<br>| (89)<br>|  |  |  | (102)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** |
| **Fund receives** | **Fund pays** | **Payment**<br> **frequency**<br>| **Counterparty** | **Maturity**<br> **date**<br>| **Notional**<br> **currency**<br>| **Notional**<br> **amount**<br>| **Value**<br> **($)**<br>| **Periodic**<br> **payments**<br> **receivable**<br> **(payable)**<br> **($)**<br>| **Upfront**<br> **payments**<br> **($)**<br>| **Upfront**<br> **receipts**<br> **($)**<br>| **Unrealized**<br> **appreciation**<br> **($)**<br>| **Unrealized**<br> **depreciation**<br> **($)**<br>|
| &nbsp;&nbsp; Total return on <br> MSCI <br> Netherlands <br> Net Return EUR <br> Index<br>| &nbsp;&nbsp; ESTR plus <br> 0.540%<br>| Monthly | JPMorgan | 03/18/2026 | EUR | 342164 | (1030)<br>| (250)<br>|  |  |  | (1280)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI <br> Netherlands <br> Net Return EUR <br> Index<br>| &nbsp;&nbsp; ESTR plus <br> 0.540%<br>| Monthly | JPMorgan | 03/18/2026 | EUR | 359915 | (1084)<br>| (263)<br>|  |  |  | (1347)<br>|
| &nbsp;&nbsp; 1-Month ZAR <br> JIBAR<br>| &nbsp;&nbsp; Total return on <br> MSCI South <br> Africa Net <br> Return ZAR <br> Index<br>| Monthly | JPMorgan | 03/18/2026 | ZAR | 357122 | (1484)<br>| 37 |  |  |  | (1447)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 1813026 | (198)<br>| (1357)<br>|  |  |  | (1555)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI <br> Netherlands <br> Net Return EUR <br> Index<br>| &nbsp;&nbsp; ESTR plus <br> 0.540%<br>| Monthly | JPMorgan | 03/18/2026 | EUR | 419289 | (1263)<br>| (306)<br>|  |  |  | (1569)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 1857661 | (203)<br>| (1390)<br>|  |  |  | (1593)<br>|
| &nbsp;&nbsp; SORA plus <br> 0.300%<br>| &nbsp;&nbsp; Total return on <br> MSCI <br> Singapore Net <br> Return SGD <br> Index<br>| Monthly | JPMorgan | 03/18/2026 | SGD | 209712 | (1875)<br>| 53 |  |  |  | (1822)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 2140348 | (234)<br>| (1602)<br>|  |  |  | (1836)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI <br> Netherlands <br> Net Return EUR <br> Index<br>| &nbsp;&nbsp; ESTR plus <br> 0.540%<br>| Monthly | JPMorgan | 03/18/2026 | EUR | 525182 | (1582)<br>| (383)<br>|  |  |  | (1965)<br>|
| SARON | &nbsp;&nbsp; Total return on <br> MSCI <br> Switzerland <br> Net Return CFH <br> Index<br>| Monthly | JPMorgan | 03/18/2026 | CHF | 117495 | (2030)<br>| (1)<br>|  |  |  | (2031)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** |
| **Fund receives** | **Fund pays** | **Payment**<br> **frequency**<br>| **Counterparty** | **Maturity**<br> **date**<br>| **Notional**<br> **currency**<br>| **Notional**<br> **amount**<br>| **Value**<br> **($)**<br>| **Periodic**<br> **payments**<br> **receivable**<br> **(payable)**<br> **($)**<br>| **Upfront**<br> **payments**<br> **($)**<br>| **Upfront**<br> **receipts**<br> **($)**<br>| **Unrealized**<br> **appreciation**<br> **($)**<br>| **Unrealized**<br> **depreciation**<br> **($)**<br>|
| &nbsp;&nbsp; Total return on <br> MSCI <br> Netherlands <br> Net Return EUR <br> Index<br>| &nbsp;&nbsp; ESTR plus <br> 0.540%<br>| Monthly | JPMorgan | 03/18/2026 | EUR | 577210 | (1738)<br>| (422)<br>|  |  |  | (2160)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI <br> Netherlands <br> Net Return EUR <br> Index<br>| &nbsp;&nbsp; ESTR plus <br> 0.540%<br>| Monthly | JPMorgan | 03/18/2026 | EUR | 608427 | (1832)<br>| (444)<br>|  |  |  | (2276)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 3991633 | (436)<br>| (2988)<br>|  |  |  | (3424)<br>|
| SARON | &nbsp;&nbsp; Total return on <br> MSCI <br> Switzerland <br> Net Return CFH <br> Index<br>| Monthly | JPMorgan | 03/18/2026 | CHF | 239509 | (4137)<br>| (4)<br>|  |  |  | (4141)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI <br> Netherlands <br> Net Return EUR <br> Index<br>| &nbsp;&nbsp; ESTR plus <br> 0.540%<br>| Monthly | JPMorgan | 03/18/2026 | EUR | 1017310 | (3064)<br>| (1085)<br>|  |  |  | (4149)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 6044837 | (660)<br>| (4525)<br>|  |  |  | (5185)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI <br> Netherlands <br> Net Return EUR <br> Index<br>| &nbsp;&nbsp; ESTR plus <br> 0.540%<br>| Monthly | JPMorgan | 03/18/2026 | EUR | 1745097 | (5255)<br>| (1274)<br>|  |  |  | (6529)<br>|
| SARON | &nbsp;&nbsp; Total return on <br> MSCI <br> Switzerland <br> Net Return CFH <br> Index<br>| Monthly | JPMorgan | 03/18/2026 | CHF | 474499 | (8197)<br>| (6)<br>|  |  |  | (8203)<br>|
| &nbsp;&nbsp; 1-Month ZAR <br> JIBAR<br>| &nbsp;&nbsp; Total return on <br> MSCI South <br> Africa Net <br> Return ZAR <br> Index<br>| Monthly | JPMorgan | 03/18/2026 | ZAR | 3935249 | (16349)<br>| 403 |  |  |  | (15946)<br>|
| &nbsp;&nbsp; Total return on <br> MSCI Brazil <br> Net Return BRL <br> Index<br>| &nbsp;&nbsp; Overnight BRL <br> CDI plus <br> 0.450%<br>| Monthly | JPMorgan | 03/18/2026 | BRL | 21265327 | (2322)<br>| (15919)<br>|  |  |  | (18241)<br>|

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** | **Total return swap contracts (continued)** |
| **Fund receives** | **Fund pays** | **Payment**<br> **frequency**<br>| **Counterparty** | **Maturity**<br> **date**<br>| **Notional**<br> **currency**<br>| **Notional**<br> **amount**<br>| **Value**<br> **($)**<br>| **Periodic**<br> **payments**<br> **receivable**<br> **(payable)**<br> **($)**<br>| **Upfront**<br> **payments**<br> **($)**<br>| **Upfront**<br> **receipts**<br> **($)**<br>| **Unrealized**<br> **appreciation**<br> **($)**<br>| **Unrealized**<br> **depreciation**<br> **($)**<br>|
| &nbsp;&nbsp; 1-Month AUD <br> BBSW plus <br> 0.200%<br>| &nbsp;&nbsp; Total return on <br> MSCI Australia <br> Net Return AUD <br> Index<br>| Monthly | JPMorgan | 03/18/2026 | AUD | 1762588 | (29872)<br>| 1234 |  |  |  | (28638)<br>|
| &nbsp;&nbsp; SORA plus <br> 0.300%<br>| &nbsp;&nbsp; Total return on <br> MSCI <br> Singapore Net <br> Return SGD <br> Index<br>| Monthly | JPMorgan | 03/18/2026 | SGD | 3364930 | (30084)<br>| 850 |  |  |  | (29234)<br>|
| &nbsp;&nbsp; 1-Month ZAR <br> JIBAR<br>| &nbsp;&nbsp; Total return on <br> MSCI South <br> Africa Net <br> Return ZAR <br> Index<br>| Monthly | JPMorgan | 03/18/2026 | ZAR | 40658864 | (168915)<br>| 4157 |  |  |  | (164758)<br>|
| &nbsp;&nbsp; Increase in total <br> return of KOSPI <br> 200 Index <br> March Futures<br>| &nbsp;&nbsp; Decrease in total <br> return of KOSPI <br> 200 Index <br> March Futures<br>| At Termination | &nbsp;&nbsp; Morgan Stanley <br> International<br>| 03/12/2026 | KRW | 15004800000 | 3948573 |  |  |  | 3948573 |  |
| &nbsp;&nbsp; Decrease in total <br> return of Swiss <br> Market Index <br> March Futures<br>| &nbsp;&nbsp; Increase in total <br> return of Swiss <br> Market Index <br> March Futures<br>| At Termination | &nbsp;&nbsp; Morgan Stanley <br> International<br>| 03/20/2026 | CHF | 18840600 | (803106)<br>|  |  |  |  | (803106)<br>|
| &nbsp;&nbsp; Decrease in total <br> return of <br> Ibovespa Index <br> April Futures<br>| &nbsp;&nbsp; Increase in total <br> return of <br> Ibovespa Index <br> April Futures<br>| At Termination | &nbsp;&nbsp; Morgan Stanley <br> International<br>| 04/15/2026 | BRL | 30314986 | (737)<br>|  |  |  |  | (737)<br>|
| Total |  |  |  |  |  |  | 3206574 | (32566)<br>|  |  | 4288307 | (1114299)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Reference index and values for swap contracts as of period end** | **Reference index and values for swap contracts as of period end** | **Reference index and values for swap contracts as of period end** |
| **Reference index**  |  | **Reference rate** |
| 3-Month NZD Bank Bill | Bank Bill Rate | 2.485% |
| 3-Month SEK STIBOR | Stockholm Interbank Offered Rate | 1.975% |
| 6-Month AUD BBSW | Bank Bill Swap Rate | 4.335% |
| 6-Month EURIBOR | Euro Interbank Offered Rate | 2.128% |
| 6-Month NOK NIBOR | Norwegian Interbank Offered Rate | 4.340% |
| ESTR | Euro Short Term Rate | 1.935% |
| CORRA | Canadian Overnight Repo Rate Average | 2.280% |
| Overnight BRL CDI | Interbank Certificate of Deposit | 14.900% |
| SARON | Swiss Average Rate Overnight | (0.058)% |
| SOFR | Secured Overnight Financing Rate | 3.670% |
| SONIA | Sterling Overnight Index Average | 3.729% |
| SORA | Singapore Overnight Rate Average | 1.001% |
| TONA | Tokyo Overnight Average Rate | 0.728% |
| 1-Month AUD BBSW | Bank Bill Swap Rate | 3.808% |

---

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Reference index and values for swap contracts as of period end (continued)** | **Reference index and values for swap contracts as of period end (continued)** | **Reference index and values for swap contracts as of period end (continued)** |
| **Reference index**  |  | **Reference rate** |
| 1-Month ZAR JIBAR | Johannesburg Interbank Average Rate | 6.567% |
| 1-Month SEK STIBOR | Stockholm Interbank Offered Rate | 1.907% |
| 28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 7.329% |
| 3-Month AUD BBSW | Bank Bill Swap Rate | 3.986% |

---

**Notes to Consolidated Portfolio of Investments** 

&nbsp;&nbsp;&nbsp;&nbsp;(a) Represents privately placed and other securities and instruments exempt from Securities
 and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only
 to qualified institutional buyers. At February 28, 2026, the total value of these securities amounted to $67,965,452, which represents 12.85% of total net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(b) Principal amount represents ownership shares of the Trust.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Security represents a pool of loans that generate cash payments generally over fixed
 periods of time. Such securities entitle the security holders to receive distributions (i.e. principal and interest, net of fees and expenses) that are tied to the payments
 made by the borrower on the underlying loans. Due to the structure of the security the cash payments received are not known until the time of payment. The interest rate
 shown is the stated coupon rate as of February 28, 2026 and is not reflective of the cash flow payments.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Valuation based on significant unobservable inputs.

&nbsp;&nbsp;&nbsp;&nbsp;(e) Variable rate security. The interest rate shown was the current rate as of February
 28, 2026.

&nbsp;&nbsp;&nbsp;&nbsp;(f) Zero coupon bond.

&nbsp;&nbsp;&nbsp;&nbsp;(g) Variable or floating rate security, the interest rate of which adjusts periodically
 based on changes in current interest rates and prepayments on the underlying pool
 of assets. The interest rate shown was the current rate as of February 28, 2026.

&nbsp;&nbsp;&nbsp;&nbsp;(h) Represents interest only securities which have the right to receive the monthly interest
 payments on an underlying pool of mortgage loans.

&nbsp;&nbsp;&nbsp;&nbsp;(i) Represents a security in default.

&nbsp;&nbsp;&nbsp;&nbsp;(j) Represents a security purchased on a when-issued basis.

&nbsp;&nbsp;&nbsp;&nbsp;(k) Represents a variable rate security with a step coupon where the rate adjusts according
 to a schedule for a series of periods, typically lower for an initial period and then increasing to a higher coupon rate thereafter. The interest rate shown was the
 current rate as of February 28, 2026.

&nbsp;&nbsp;&nbsp;&nbsp;(l) Represents fair value as determined in good faith under procedures approved by the
 Board of Trustees. At February 28, 2026, the total value of these securities amounted to $1,281,665, which represents 0.24% of total net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(m) This security or a portion of this security has been pledged as collateral in connection
 with investments sold short and/or derivative contracts.

&nbsp;&nbsp;&nbsp;&nbsp;(n) The rate shown is the seven-day current annualized yield at February 28, 2026.

&nbsp;&nbsp;&nbsp;&nbsp;(o) Under the Investment Company Act of 1940, an affiliated company is one in which the Fund owns 5% or more of the company's outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the
 holdings and transactions in these affiliated companies during the period ended February 28, 2026 are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Affiliated issuers** | **Beginning** <br>**of period($)**<br>| **Purchases($)** | **Sales($)** | **Net change in** <br>**unrealized** <br>**appreciation** <br>**(depreciation)($)**<br>| **End of** <br>**period($)**<br>| **Realized gain** <br>**(loss)($)**<br>| **Dividends($)** | **End of** <br>**period shares**<br>|
| Columbia Short-Term Cash Fund, 3.777% | Columbia Short-Term Cash Fund, 3.777% | Columbia Short-Term Cash Fund, 3.777% | Columbia Short-Term Cash Fund, 3.777% | Columbia Short-Term Cash Fund, 3.777% | Columbia Short-Term Cash Fund, 3.777% | Columbia Short-Term Cash Fund, 3.777% | Columbia Short-Term Cash Fund, 3.777% | Columbia Short-Term Cash Fund, 3.777% |
|  | 243165326 | &nbsp;&nbsp; 330450492 | &nbsp;&nbsp; (288054264)<br>| &nbsp;&nbsp; 38778 | &nbsp;&nbsp; 285600332 | &nbsp;&nbsp; (11250)<br>| &nbsp;&nbsp; 8212484 | &nbsp;&nbsp; 285657463 |

---

**Abbreviation Legend** 

---

| | |
|:---|:---|
| BBSW | Bank Bill Swap Rate |
| CDI | CHESS Depository Interest |
| CMO | Collateralized Mortgage Obligation |
| SOFR | Secured Overnight Financing Rate |
| STIBOR | Stockholm Interbank Offered Rate |
| TBA | To Be Announced |

---

**Currency Legend** 

AUD Australian Dollar <br> BRL Brazilian Real <br> CAD Canadian Dollar

Columbia Multi Strategy Alternatives Fund \| 2026

------

Consolidated Portfolio of Investments (continued)

Columbia Multi Strategy Alternatives Fund, February 28, 2026 (Unaudited)

**Currency Legend (continued)**

---

| | |
|:---|:---|
| CHF | Swiss Franc |
| CLP | Chilean Peso |
| CNH | Yuan Offshore Renminbi |
| COP | Colombian Peso |
| CZK | Czech Koruna |
| EUR | Euro |
| GBP | British Pound |
| HUF | Hungarian Forint |
| IDR | Indonesian Rupiah |
| ILS | Israeli Shekel |
| INR | Indian Rupee |
| JPY | Japanese Yen |
| KRW | South Korean Won |
| MXN | Mexican Peso |
| MYR | Malaysian Ringgit |
| NOK | Norwegian Krone |
| NZD | New Zealand Dollar |
| PEN | Peruvian New Sol |
| PHP | Philippine Peso |
| PLN | Polish Zloty |
| SEK | Swedish Krona |
| SGD | Singapore Dollar |
| THB | Thai Baht |
| TRY | Turkish Lira |
| TWD | New Taiwan Dollar |
| USD | US Dollar |
| ZAR | South African Rand |

---

Investments are valued using policies described in the Notes to Consolidated Financial Statements included within the most recent financial statements and additional information.

Columbia Multi Strategy Alternatives Fund \| 2026

------

[THIS PAGE INTENTIONALLY LEFT BLANK]

------

You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.

3QT259_05_T01_(04/26)

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** COLUMBIA FUNDS SERIES TRUST I

- **b. Investment Company Act file number:** 811-04367

- **c. CIK number of Registrant:** 0000773757

- **d. LEI of Registrant:** 549300W5GIE6ZOZOTD82

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

  - **Street Address 1:** 290 Congress Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1800-345-6611

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

- **a. Name of Series:** Columbia Multi Strategy Alternatives Fund

- **b. EDGAR series identifier (if any):** S000048058

- **c. LEI of Series:** 549300OOVBIZEI3EBX59

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

- **a. Date of fiscal year-end:** 2026-05-31

- **b. Date as of which information is reported:** 2026-02-28

**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:** $685876792.26

**Total Liabilities:** $157151281.78

**Net Assets:** $528725510.48

**Amount of Assets Invested in Other Investment Companies:** $61003529.36

**Delayed Delivery Securities:** $93204151.92

**Cash Not Reported:** $8592979.71

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 48135.45000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 855.56000000 | **30-Year:** 23434.68000000

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

- **3-Month:** -5068.26000000 | **1-Year:** -71310.57000000 | **5-Year:** -3835.23000000 | **10-Year:** 99931.31000000 | **30-Year:** 32342.49000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000151809 | 1.00%                | 2.74%                | 0.67%                |
| Class ID C000151801 | 1.01%                | 2.71%                | 0.64%                |
| Class ID C000151802 | 0.92%                | 2.64%                | 0.60%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $858778.12               | $51934.19                                  |
| Month 2  | $-1011712.90             | $-76443.46                                 |
| Month 3  | $1723512.36              | $2568288.63                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PE        |           1 | NC      | $-472.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 4.000000 18-JUN-2036 SOF                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15100000 | OU      | $292014.70    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2024-HE2                                             | CUSIP: 316927AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      400000 | PA      | $432258.40    | 0.08%             | 2054-05-25      | Variable      | 9.79%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $9516.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGURE LENDING FIGRE_24-HE3                                      | CUSIP: 31684GAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $156618.06    | 0.03%             | 2054-07-25      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $42119.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $-29345.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CHILEAN PESO                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CL        |           1 | NC      | $-4774.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                           | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | GB        |           1 | NC      | $-345253.66   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL1                               | LHOME MORTGAGE TRUST LHOME_24-RTL1                               | CUSIP: 50205DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $401829.36    | 0.08%             | 2029-01-25      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL SEP 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          17 | NC      | $162458.01    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME ZINC MAR 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          -6 | NC      | $3451.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SE        |           1 | NC      | $-258601.89   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI AUSTRALIA 03/18/2026                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     1762588 | OU      | $-28638.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $18521.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                                       | Affirm Asset Securitization Trust 2024-X2                        | CUSIP: 00833Q105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        4624 | PA      | $65552.07     | 0.01%             | 2029-12-17      | Variable      | 100.00%               | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                         | CUSIP: 20754AAJ2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      550000 | PA      | $566820.54    | 0.11%             | 2041-12-25      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $28416.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT JUL 26                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          44 | NC      | $67348.28     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $-36110.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | MX        |           1 | NC      | $1822.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2023-NQM3 Trust                                             | CUSIP: 69380TAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $150869.54    | 0.03%             | 2068-11-25      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |           1 | NC      | $-258618.71   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | HUNGARIAN FURINT                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | HU        |           1 | NC      | $350045.65    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE MAY 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |           7 | NC      | $-43916.95    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CZECH KORUNA                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CZ        |           1 | NC      | $45886.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $-56365.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                               | A&D Mortgage Trust 2026-NQM1                                     | CUSIP: 00040DAC7<br>LEI: 984500FEB1BEC4C6Y473 | Long             | ABS-MBS          | CORP              | US        |      347081 | PA      | $347945.63    | 0.07%             | 2071-02-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2024-RCF2 LLC                                               | CUSIP: 693987AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $193389.14    | 0.04%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | TAIWAN NEW DOLLAR                                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |           1 | NC      | $18684.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PE        |           1 | NC      | $16.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2025-NQM6 Trust                                             | CUSIP: 69383RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1075434 | PA      | $1080814.11   | 0.20%             | 2070-12-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IL        |           1 | NC      | $51538.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | SYN TAIEX MAR 26                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               |  | TW        |          17 | NC      | $234003.15    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                               | GAS OIL MAY 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |         -68 | NC      | $-420182.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |           1 | NC      | $-7903.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: AUD 5.000000 12-JUN-2036 AUD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    66100000 | OU      | $-493603.73   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                                               | Visio 2019-2 Trust                                               | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99005.41     | 0.02%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 4.500000 15-MAR-2056 SON                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      200000 | OU      | $6954.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-DNA1                          | CUSIP: 35564KBE8<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | USGSE             | US        |     1050000 | PA      | $1175961.78   | 0.22%             | 2051-01-25      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-2                                  | CHNGE MORTGAGE TRUST CHNGE_23-2                                  | CUSIP: 169926AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $200488.26    | 0.04%             | 2058-06-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MEAL (CBT) JUL 26                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          40 | NC      | $-14338.19    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Upstart Securitization Trust                                     | Upstart Securitization Trust 2025-1                              | CUSIP: 91684PAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1000000 | PA      | $1075881.20   | 0.20%             | 2035-04-20      | Fixed         | 9.27%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | YEN DENOM NIKKEI 225 (CME) MAR 26                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           2 | NC      | $27124.59     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-791024.20   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 0.000000 21-JUN-2028 SAR                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    49600000 | OU      | $183825.57    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $-195967.77   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL JUL 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           9 | NC      | $139981.53    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI NETHERLAND 03/18/2026                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |     -419288 | OU      | $-1568.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CN        |           1 | NC      | $-210735.12   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                       | Verus Securitization Trust 2021-5                                | CUSIP: 92538KAE3<br>LEI: 213800278TKDEXPH6140 | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $229061.88    | 0.04%             | 2066-09-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CH        |           1 | NC      | $-8076.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI NETHERLAND 03/18/2026                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |     -577210 | OU      | $-2159.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $-2169.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |     8000000 | NC      | $15702.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                         | CUSIP: 38375AN91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1202987 | PA      | $146916.85    | 0.03%             | 2040-01-16      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE MAY 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          19 | NC      | $-127949.80   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-27396.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME LEAD SEP 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          15 | NC      | $-27006.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL MAR 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          -6 | NC      | $-20486.10    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42              | CUSIP: 38382PZX3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2099502 | PA      | $293290.62    | 0.06%             | 2051-03-20      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2024-HE1                                             | CUSIP: 31684HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      250000 | PA      | $270108.73    | 0.05%             | 2054-03-25      | Variable      | 10.03%                | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2025-RPL1 LLC                                               | CUSIP: 74390WAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      494000 | PA      | $450276.01    | 0.09%             | 2055-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                                                   | Oaktown Re VI Ltd                                                | CUSIP: 67401FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      451329 | PA      | $453457.41    | 0.09%             | 2033-10-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                 | FTSE 100 INDEX MAR 26                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               |  | GB        |         -42 | NC      | $-449936.79   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ZA        |           1 | NC      | $-305987.85   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM MAR 26                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           7 | NC      | $32644.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CH        |           1 | NC      | $-987947.12   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: EUR 3.000000 19-MAR-2036 EUR                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |      500000 | OU      | $-14662.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | HU        |           1 | NC      | $1.24         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |           1 | NC      | $50151.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ID        |           1 | NC      | $-135.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LEAN HOGS AUG 26                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          19 | NC      | $68277.24     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: NOK 4.500000 21-JUN-2028 6M                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2000000 | OU      | $107.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SE        |           1 | NC      | $225305.67    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CHNGE_22-1                                                       | CHNGE_22-1                                                       | CUSIP: 17030JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      650000 | PA      | $584314.45    | 0.11%             | 2067-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2024-RCF2 LLC                                               | CUSIP: 693987AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850000 | PA      | $804790.63    | 0.15%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SOUTH AFRICA 03/18/26                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    40658864 | OU      | $-164757.51   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME ZINC NOV 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          12 | NC      | $-14708.15    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SG        |           1 | NC      | $4851.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $1304650.36   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2025-2 LLC                                                  | CUSIP: 69382HAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $349682.94    | 0.07%             | 2030-05-25      | Variable      | 9.56%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $223968.03    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM MAR 26                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         -34 | NC      | $-51937.63    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COCOA MAY 26                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -47 | NC      | $433163.97    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| National Stock Exchange of India Ltd.                            | IFSC NIFTY 50 MAR 26                                             | CUSIP: 000000000<br>LEI: 335800NLY5HYW9I7YE03 | N/A              | DE               |  | IN        |          39 | NC      | $-36525.58    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | SINGAPORE DOLLAR                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SG        |           1 | NC      | $-13602.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bills                                              | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    40000000 | PA      | $39846936.16  | 7.54%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CUSIP: 12547QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      473000 | PA      | $474511.61    | 0.09%             | 2058-03-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                     | MSCI SING IX ETS MAR 26                                          | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |         -52 | NC      | $-40.74       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Securities LLC                                       | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | SE        |           1 | NC      | $-2785.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST UPST_24-1                           | UPSTART SECURITIZATION TRUST UPST_24-1                           | CUSIP: 91684NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $848072.62    | 0.16%             | 2034-11-20      | Fixed         | 8.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $-289514.75   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TH        |           1 | NC      | $-7762.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | CUSIP: 92842DAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $253938.08    | 0.05%             | 2055-04-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| ASX - All Markets                                                | SPI 200 MAR 26                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | AU        |          49 | NC      | $504195.93    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: AUD 4.000000 08-JUN-2028 AUD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   148100000 | OU      | $99781.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                                      | CHNGE Mortgage Trust 2022-1                                      | CUSIP: 17030JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $431146.90    | 0.08%             | 2067-01-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: EUR 3.000000 15-MAR-2056 EUR                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      900000 | OU      | $6124.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT MAY 26                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -537 | NC      | $-1198487.60  | -0.23%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI SWEDEN 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -2553848 | OU      | $7427.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 MAY 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |        -118 | NC      | $-54484.95    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2026-1 LLC                                                  | CUSIP: 74449BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $399996.00    | 0.08%             | 2031-02-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $246.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                | CUSIP: 3136BU5N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      562695 | PA      | $575915.41    | 0.11%             | 2055-01-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $271810.35    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS MAY 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |        -161 | NC      | $345625.96    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                         | CUSIP: 38380NPW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2545996 | PA      | $145292.86    | 0.03%             | 2061-07-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $4722.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CA        |           1 | NC      | $-16019.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: JPY 1.500000 18-JUN-2031 FTO                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   178300000 | OU      | $9126.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 JUL 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          49 | NC      | $-9818.56     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Genworth Mortgage Insurance Corporation                          | Triangle Re 2021-2 Ltd                                           | CUSIP: 89600GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      650000 | PA      | $665357.03    | 0.13%             | 2033-10-25      | Floating      | 11.29%                | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | DJIA MINI e-CBOT MAR 26                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DE               |  | US        |          11 | NC      | $4636.99      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | DAX INDEX MAR 26                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |          -3 | NC      | $-4844.94     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122             | CUSIP: 38382WAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2886317 | PA      | $428333.15    | 0.08%             | 2051-07-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $-8512.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | BRAZIL REAL                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | BR        |           1 | NC      | $4875.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                                   | VCAT 2025 NPL2 LLC                                               | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      438930 | PA      | $444554.54    | 0.08%             | 2055-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $-131222.84   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                              | BHMS Commercial Mortgage Trust 2025-ATLS                         | CUSIP: 088928AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $200627.14    | 0.04%             | 2042-08-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| ASP WHCO PARTICIPATION LP ASPWP-29-1A                            | ASP WHCO PARTICIPATION LP ASPWP-29-1A                            | CUSIP: 04524YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $1000000.00   | 0.19%             | 2029-03-29      | Floating      | 6.71%                 | No            |                  3 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | MEXICAN PESO                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | MX        |           1 | NC      | $-5425.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPLITERO TRUST SPLTO_25-1                                        | SPLITERO TRUST SPLTO_25-1                                        | CUSIP: 848948AB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $492526.05    | 0.09%             | 2055-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI JAPAN INDEX 03/18/26                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -135627 | OU      | $28.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_25-39              | CUSIP: 38385EZR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      541003 | PA      | $562489.57    | 0.11%             | 2055-03-20      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-21803.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI BRAZIL 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -2140348 | OU      | $-1835.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-295658.35   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                      | COPPER MAY 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          11 | NC      | $37113.04     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-600316.65   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI BRAZIL 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |     -119026 | OU      | $-102.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT                                                             | GCAT 2019-NQM3 Trust                                             | CUSIP: 36167VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $584239.62    | 0.11%             | 2059-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CO        |           1 | NC      | $57313.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $-274.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                      | Legacy Mortgage Asset Trust 2021-GS1                             | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      295911 | PA      | $296825.43    | 0.06%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | NO        |           1 | NC      | $-43150.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $-24833.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119             | CUSIP: 38382UM24<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2571446 | PA      | $393287.57    | 0.07%             | 2051-07-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI SWITZERLAND 03/18/26                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |      474499 | OU      | $-8203.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92              | CUSIP: 38381WR67<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1951333 | PA      | $257332.82    | 0.05%             | 2049-07-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT KCBT FUTURE MAY 26                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |           8 | NC      | $12847.84     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | VISTA POINT SECURITIZATION TRUST VSTA_25-CES1                    | CUSIP: 92842DAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $152538.26    | 0.03%             | 2055-04-25      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |           1 | NC      | $-544051.18   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102             | CUSIP: 38380NKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     1229411 | PA      | $57040.63     | 0.01%             | 2060-03-16      | Floating      | 0.84%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LEAN HOGS APR 26                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          13 | NC      | $21353.55     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX - All Markets                                                | AUST 10YR BOND MAR 26                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -719 | NC      | $-677219.47   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-195903.82   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | CUSIP: 38384AQY2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     3903078 | PA      | $197945.79    | 0.04%             | 2053-05-20      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                 | COLT MORTGAGE LOAN TRUST COLT_21-3                               | CUSIP: 19688FAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      390580 | PA      | $343285.92    | 0.06%             | 2066-09-27      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-OAT JUN 26                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |           4 | NC      | $1434.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | CHILEAN PESO                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CL        |           1 | NC      | $-10534.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | S&P MID 400 EMINI MAR 26                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           7 | NC      | $87123.78     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI BRAZIL 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -3991633 | OU      | $-3423.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $-14218.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-106354.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS APR 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          19 | NC      | $-47774.05    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME ZINC SEP 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          24 | NC      | $82326.45     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | TAIWAN NEW DOLLAR                                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |           1 | NC      | $16531.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COTTON NO.2 MAY 26                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |        -172 | NC      | $-145114.10   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI FRANCE 03/18/2026                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      -98738 | OU      | $1989.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Italian Derivatives Market                                       | FTSE/MIB INDEX MAR 26                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IT        |           7 | NC      | $51097.76     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF1               | PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF1               | CUSIP: 69381AAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      700000 | PA      | $677955.39    | 0.13%             | 2053-06-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COTTON NO.2 JUL 26                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          20 | NC      | $10072.53     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MAY 26                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -206 | NC      | $-271008.21   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | CUSIP: 67118PAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $120592.46    | 0.02%             | 2068-02-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $-170162.37   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME LEAD NOV 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           7 | NC      | $-2735.65     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables Trust                              | Exeter Automobile Receivables Trust 2026-1                       | CUSIP: 30168HAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      250000 | PA      | $252851.90    | 0.05%             | 2033-08-15      | Fixed         | 6.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-30326.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LEAN HOGS APR 26                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          41 | NC      | $9468.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Nasdaq Stockholm AB                                              | OMXS30 INDEX MAR 26                                              | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               |  | SE        |         -80 | NC      | $-37076.57    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CHINESE OFFSHORE YUAN (HONG KONG)                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CN        |           1 | NC      | $-867.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                      | GOLD 100 OZ APR 26                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           6 | NC      | $134414.17    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley International                                     | SYN KOSPI2 INDEX MAR 26                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DE               |  | KR        |          68 | NC      | $4194662.05   | 0.79%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |           1 | NC      | $-405865.85   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $909.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |           1 | NC      | $292309.49    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $-2513.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $-3333.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                               | GAS OIL JUL 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          20 | NC      | $146814.40    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CN        |           1 | NC      | $2573.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-SCHATZ JUN 26                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -10 | NC      | $-976.20      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                                   | NIKKEI 225 (OSE) MAR 26                                          | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |          -2 | NC      | $-28146.48    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PRPM LLC PRPM_24-RCF1                                            | PRPM LLC PRPM_24-RCF1                                            | CUSIP: 693581AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      750000 | PA      | $717207.53    | 0.14%             | 2054-01-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: AUD 4.500000 12-JUN-2031 AUD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      400000 | OU      | $573.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $-16013.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCO Mortgage LLC                                                 | RCO X Mortgage LLC 2025-1                                        | CUSIP: 75523XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $500356.15    | 0.09%             | 2030-01-25      | Variable      | 8.35%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.16.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    -1000000 | OU      | $-40859.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE APR 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          14 | NC      | $45719.20     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | CUSIP: 3137G0WM7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $816992.90    | 0.15%             | 2033-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-22                                            | FANNIE MAE FNMA_20-22                                            | CUSIP: 3136B9HD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2359871 | PA      | $369020.62    | 0.07%             | 2050-04-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: NZD 3.000000 14-JUN-2028 3M                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   166900000 | OU      | $20849.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST IN                                 | CITIGROUP MORTGAGE LOAN TRUST IN                                 | CUSIP: 17323TAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      998443 | PA      | $793390.74    | 0.15%             | 2053-01-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $2664.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.000000 19-MAR-2036 CAD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    11000000 | OU      | $104033.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19              | CUSIP: 38380N3D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     1551408 | PA      | $69948.64     | 0.01%             | 2061-12-16      | Floating      | 0.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                 | CUSIP: 3132E0KZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1593148 | PA      | $1644187.63   | 0.31%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | CORN DEC 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          98 | NC      | $48985.69     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 1.500000 21-JUN-2028 FTO                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 44534000000 | OU      | $-420162.34   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                                   | TOPIX INDEX MAR 26                                               | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |         -31 | NC      | $-1025493.35  | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 0.000000 18-JUN-2031 SAR                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      600000 | OU      | $3002.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | PERUVIAN SOL                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PE        |           1 | NC      | $6189.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | FANNIE MAE FNMA_17-81                                            | CUSIP: 3136AX4E2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1499990 | PA      | $207235.53    | 0.04%             | 2047-10-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: JPY 1.500000 18-JUN-2031 FTO                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   120000000 | OU      | $-2688.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | JP        |           1 | NC      | $-25760.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | HU        |           1 | NC      | $4878.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2014-USA OA LLC                                             | CUSIP: 12649AAQ2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $120692.37    | 0.02%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                  | BRAVO Residential Funding Trust 2020-NQM1                        | CUSIP: 105699AE2<br>LEI: 2549000KHGUZMZ31N203 | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $300871.29    | 0.06%             | 2060-05-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SINGAPORE DOLLAR                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SG        |           1 | NC      | $102300.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: EUR 3.000000 21-JUN-2056 EUR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     2100000 | OU      | $106125.48    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LIVE CATTLE JUN 26                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          15 | NC      | $-53126.49    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | HUNGARIAN FURINT                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | HU        |           1 | NC      | $36147.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: AUD 4.500000 12-JUN-2031 AUD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     1000000 | OU      | $-4221.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CZ        |           1 | NC      | $22997.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                             | TRSWAP: MSCI SOUTH AFRICA 03/18/26                               | CUSIP: 000000000<br>LEI: 8I5DZWZKVSZI1NUHU748 | N/A              | DE               |  | US        |        2307 | OU      | $-9.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: SEK 2.000000 15-MAR-2028 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     2100000 | OU      | $187.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                  | CUSIP: 3140XRUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      960671 | PA      | $954232.05    | 0.18%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2024-RCF4 LLC                                               | CUSIP: 74448JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      135000 | PA      | $127684.01    | 0.02%             | 2054-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | S&P500 EMINI MAR 26                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          86 | NC      | $-133095.66   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT MAY 26                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -28 | NC      | $-54971.97    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN OIL JUL 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          39 | NC      | $233393.72    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CZ        |           1 | NC      | $-69582.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Korea Exchange (Futures Market)                                  | KOSPI2 INDEX MAR 26                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | KR        |         -20 | NC      | $-373709.28   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| PRPM LLC PRPM_24-RCF6                                            | PRPM LLC PRPM_24-RCF6                                            | CUSIP: 74390FAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $144751.23    | 0.03%             | 2054-10-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 984500653R409CC5AB28 | N/A              | DFE              |  | NZ        |           1 | NC      | $7642.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | TURKISH LIRA                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TR        |           1 | NC      | $203292.83    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LIVE CATTLE APR 26                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          14 | NC      | $-27497.15    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CHILEAN PESO                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CL        |           1 | NC      | $260080.21    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | PERUVIAN SOL                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PE        |           1 | NC      | $422.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STACR_19-CS02                                                    | STACR_19-CS02                                                    | CUSIP: 3137G0WB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    14240002 | PA      | $86453.90     | 0.02%             | 2029-02-25      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $38612.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |           1 | NC      | $-69693.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI BRAZIL 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -1813026 | OU      | $-1555.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                                    | Lendbuzz Securitization Trust 2026-1                             | CUSIP: 525952AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100711.60    | 0.02%             | 2031-09-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_22-5                         | PAGAYA AI DEBT SELECTION TRUST PAID_22-5                         | CUSIP: 69548HAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      304656 | PA      | $316386.65    | 0.06%             | 2030-06-17      | Fixed         | 10.31%                | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IL        |           1 | NC      | $51546.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                         | CUSIP: 38383AZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4047748 | PA      | $551837.61    | 0.10%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | INDONESIAN RUPIA                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ID        |           1 | NC      | $188.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $50160.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | MSCI EMER MKT INDEX (ICE) MAR 26                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |          87 | NC      | $741623.34    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $813.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                         | CAN 10YR BOND JUN 26                                             | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |         576 | NC      | $314490.92    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI NETHERLAND 03/18/2026                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |     -342164 | OU      | $-1280.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | NEW YORK MORTGAGE TRUST NYMT_24-CP1                              | CUSIP: 67118PAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $335779.16    | 0.06%             | 2068-02-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191             | CUSIP: 38382MRY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1712416 | PA      | $381938.17    | 0.07%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ZA        |           1 | NC      | $4654.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN OIL MAY 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -69 | NC      | $-170314.40   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $33910.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $-1030.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: SEK 3.000000 19-MAR-2036 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     4000000 | OU      | $5290.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_22-NQM1                                            | PRPM LLC PRPM_22-NQM1                                            | CUSIP: 69378KAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      350000 | PA      | $346411.00    | 0.07%             | 2067-08-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | CUSIP: 3137G0WW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    25794471 | PA      | $85789.83     | 0.02%             | 2030-06-25      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CH        |           1 | NC      | $1571.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BTP (ITALY GOVT) JUN 26                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |           7 | NC      | $2353.01      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $7905.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_25-CES1                | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_25-CES1                | CUSIP: 24380WAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $151232.55    | 0.03%             | 2055-10-25      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGURE LENDING FIGRE_24-HE3                                      | CUSIP: 31684GAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $159771.83    | 0.03%             | 2054-07-25      | Variable      | 9.26%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |           1 | NC      | $-170183.71   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | S&P500 EMINI MAR 26                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          69 | NC      | $31846.05     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1                    | BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1                    | CUSIP: 105699AF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      430000 | PA      | $433327.68    | 0.08%             | 2060-05-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CO        |           1 | NC      | $145858.15    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CL        |           1 | NC      | $13649.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                          | Saluda Grade Alternative Mortgage Trust 2025-FIG6                | CUSIP: 79582CAA1<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-O            | CORP              | US        |      857825 | PA      | $870715.36    | 0.16%             | 2056-01-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $-49643.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21000000 | PA      | $21539453.67  | 4.07%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-OAT MAR 26                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |           6 | NC      | $6525.07      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | COCOA FUTURE (LIFFE) MAY 26                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |         -19 | NC      | $186193.65    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 3.500000 18-JUN-2031 SOF                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      400000 | OU      | $-1952.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SE        |           1 | NC      | $-3014.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $-69674.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM LLC PRPM_24-RCF6                                            | PRPM LLC PRPM_24-RCF6                                            | CUSIP: 74390FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $235152.43    | 0.04%             | 2054-10-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | INDIAN RUPEE                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |           1 | NC      | $-15530.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TAIWAN NEW DOLLAR                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TW        |           1 | NC      | $-79411.70    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $114962.39    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |   -10710000 | NC      | $-19899.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.000000 18-MAR-2036 CAD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     8400000 | OU      | $137156.31    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-OAT MAR 26                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -53 | NC      | $-223416.04   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $1916.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-SCHATZ MAR 26                                               | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -33 | NC      | $-7340.61     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SWEDEN 03/18/2026                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -1835578 | OU      | $5338.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARC_19-CS02                                                    | STARC_19-CS02                                                    | CUSIP: 3137G0VZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       84336 | PA      | $83344.98     | 0.02%             | 2032-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | PERUVIAN SOL                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PE        |           1 | NC      | $-33.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HLJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      991462 | PA      | $989224.44    | 0.19%             | 2055-06-25      | Floating      | 8.27%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI MEXICO 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -2306128 | OU      | $1739.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $-3208.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CHNGE MORTGAGE TRUST CHNGE_23-1                                  | CUSIP: 12547QAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $300129.42    | 0.06%             | 2058-03-25      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $424.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $-81761.53    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | PERUVIAN SOL                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PE        |           1 | NC      | $6187.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MEAL (CBT) MAY 26                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          26 | NC      | $23270.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104             | CUSIP: 38382HGQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1018859 | PA      | $136123.04    | 0.03%             | 2050-07-20      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | MX        |           1 | NC      | $3919.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Johannesburg Stock Exchange                                      | FTSE/JSE TOP 40 MAR 26                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ZA        |         -63 | NC      | $-462564.33   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193             | CUSIP: 38383DTZ1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    16431511 | PA      | $42930.61     | 0.01%             | 2051-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME COPPER JUN 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           1 | NC      | $1153.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 2.500000 15-MAR-2028 CAD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    44100000 | OU      | $-96000.91    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| TOORAK MORTGAGE TRUST TRK_24-RRTL2                               | TOORAK MORTGAGE TRUST TRK_24-RRTL2                               | CUSIP: 89055JAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $200051.96    | 0.04%             | 2039-09-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                          | Saluda Grade Alternative Mortgage Trust 2024-CES1                | CUSIP: 79581VAE2<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-MBS          | CORP              | US        |      690000 | PA      | $726789.08    | 0.14%             | 2054-03-25      | Variable      | 8.24%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | MX        |           1 | NC      | $-1051128.82  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | KW        |           1 | NC      | $-14292.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | TAIWAN NEW DOLLAR                                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |           1 | NC      | $-76443.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                              | STAR_20-3                                                        | CUSIP: 85573MAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $241211.33    | 0.05%             | 2065-04-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CZ        |           1 | NC      | $-5288.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                              | Starwood Mortgage Residential Trust 2021-3                       | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      207707 | PA      | $187577.13    | 0.04%             | 2056-06-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                     | FTSE CHINA A50 MAR 26                                            | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |         427 | NC      | $-38581.29    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI ITALY INDEX 03/18/26                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |      -53741 | OU      | $1337.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI MEXICO 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -6571064 | OU      | $4956.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NZ        |           1 | NC      | $223955.80    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CDS: (CMBX.NA.10.BBB-)                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |    -1998980 | OU      | $-214794.81   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160             | CUSIP: 38383AUH5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     4780947 | PA      | $30817.51     | 0.01%             | 2051-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $-278784.90   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $-170.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                                   | JPN 10YR BOND (OSE) MAR 26                                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |         -24 | NC      | $-34715.09    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_25-HE1                     | BRAVO RESIDENTIAL FUNDING TRUST BRAVO_25-HE1                     | CUSIP: 10568VAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      430000 | PA      | $422034.94    | 0.08%             | 2072-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |           1 | NC      | $12012.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                                    | Lendbuzz Securitization Trust 2026-1                             | CUSIP: 525952AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100604.86    | 0.02%             | 2030-12-16      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                 | FTSE 100 INDEX MAR 26                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |           6 | NC      | $48030.07     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | DAX INDEX MAR 26                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |           8 | NC      | $118817.75    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CZ        |           1 | NC      | $-5293.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CN        |           1 | NC      | $821.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | MX        |           1 | NC      | $1820.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ZA        |           1 | NC      | $-305967.26   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LEAN HOGS OCT 26                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          45 | NC      | $52897.44     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                 | LONG GILT JUN 26                                                 | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |         219 | NC      | $365159.94    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan Trust                              | New Residential Mortgage Loan Trust 2019-RPL3                    | CUSIP: 64830NAK7<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |      750000 | PA      | $631358.25    | 0.12%             | 2059-07-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.000000 21-JUN-2028 SOF                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    94200000 | OU      | $-270779.82   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CH        |           1 | NC      | $-48595.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: SEK 2.000000 21-JUN-2028 3M                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  1308900000 | OU      | $139922.12    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Selection Trust 2021-1                            | CUSIP: 69547JAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      696200 | PA      | $0.01         | 0.00%             | 2027-11-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | CUSIP: 79583VAF7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $332243.12    | 0.06%             | 2067-04-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CO        |           1 | NC      | $-37598.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | INDONESIAN RUPIA                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $196.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US 2YR NOTE JUN 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         469 | NC      | $162613.83    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | GASOLINE RBOB APR 26                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          -5 | NC      | $-16974.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GITSIT Mortgage Loan Trust                                       | GITSIT Mortgage Loan Trust 2025-NPL1                             | CUSIP: 375926AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      125054 | PA      | $125187.98    | 0.02%             | 2055-02-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PE        |           1 | NC      | $17.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TAIWAN NEW DOLLAR                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TW        |           1 | NC      | $14116.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-24              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-24              | CUSIP: 38382NPZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1562751 | PA      | $257851.67    | 0.05%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CL        |           1 | NC      | $16509.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-120             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-120             | CUSIP: 38381YSZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    15419210 | PA      | $233453.00    | 0.04%             | 2049-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST CMLTI_18-RP3                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI_18-RP3                       | CUSIP: 17327DAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      700000 | PA      | $551790.05    | 0.10%             | 2061-03-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CO        |           1 | NC      | $-67913.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SINGAPORE 03/18/2026                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     3364930 | OU      | $-29234.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                            | Toorak Mortgage Trust 2024-RRTL1                                 | CUSIP: 89054YAE3<br>LEI: 25490023B58UP9CM5N96 | Long             | ABS-MBS          | CORP              | US        |      524000 | PA      | $524801.77    | 0.10%             | 2039-02-25      | Variable      | 10.33%                | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-132026.82   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | MEXICAN PESO                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | MX        |           1 | NC      | $362710.08    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN JUL 26                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          41 | NC      | $79169.92     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Knock Issuer Trust 2025-1                                        | Knock Issuer Trust 2025-1                                        | CUSIP: 49917PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      960000 | PA      | $970930.08    | 0.18%             | 2030-02-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | GASOLINE RBOB SEP 26                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          26 | NC      | $256866.72    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | GB        |           1 | NC      | $10302.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                                | Imperial Fund Mortgage Trust 2022-NQM5                           | CUSIP: 45276QAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      183000 | PA      | $182462.11    | 0.03%             | 2067-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO STOXX 50 MAR 26                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |          28 | NC      | $-7643.91     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $12017.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CO        |           1 | NC      | $-67906.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                             | TRSWAP: MSCI SOUTH AFRICA 03/18/26                               | CUSIP: 000000000<br>LEI: 8I5DZWZKVSZI1NUHU748 | N/A              | DE               |  | US        |     3935249 | OU      | $-15946.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ZA        |           1 | NC      | $-206.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | RUSSELL 2000 EMINI CME MAR 26                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          13 | NC      | $26542.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI SINGAPORE 03/18/2026                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      209712 | OU      | $-1821.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US ULTRA T-BOND JUN 26                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -67 | NC      | $-73391.80    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-79              | CUSIP: 38384PDH0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1482075 | PA      | $218673.71    | 0.04%             | 2054-05-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: EUR 2.500000 19-MAR-2031 EUR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     2300000 | OU      | $-10952.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $-1508920.95  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-7               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-7               | CUSIP: 38382M5E5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1560183 | PA      | $358192.21    | 0.07%             | 2051-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: EUR 3.000000 18-JUN-2036 EUR                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    34500000 | OU      | $-710410.08   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | JP        |           1 | NC      | $-277500.19   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BOBL MAR 26                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |           1 | NC      | $1215.95      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase & Co.                                             | TRSWAP: MSCI SOUTH AFRICA 03/18/26                               | CUSIP: 000000000<br>LEI: 8I5DZWZKVSZI1NUHU748 | N/A              | DE               |  | US        |      357122 | OU      | $-1447.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT KCBT FUTURE SEP 26                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          55 | NC      | $116573.89    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | BRENT CRUDE (ICE) NOV 26                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |         121 | NC      | $597866.37    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Borsa Istanbul                                                   | BIST 30 FUTURES APR 26                                           | CUSIP: 000000000<br>LEI: 7890005BROHWAPA36140 | N/A              | DE               |  | TR        |        -796 | NC      | $66902.37     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $-57053.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $-29517.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-97              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-97              | CUSIP: 38384PRM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1850783 | PA      | $255029.24    | 0.05%             | 2054-06-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NOK 4.000000 18-JUN-2031 6M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    10100000 | OU      | $5824.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $333572.71    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SE        |           1 | NC      | $-7899.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC PRPM_24-RPL4                                    | PRP ADVISORS LLC PRPM_24-RPL4                                    | CUSIP: 74448MAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $291912.78    | 0.06%             | 2054-12-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL5                               | LHOME MORTGAGE TRUST LHOME_24-RTL5                               | CUSIP: 50205WAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $301639.41    | 0.06%             | 2039-09-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-3                               | COLT MORTGAGE LOAN TRUST COLT_21-3                               | CUSIP: 19688FAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $148864.76    | 0.03%             | 2066-09-27      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | PERUVIAN SOL                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PE        |           1 | NC      | $421.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI MEXICO 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -4556236 | OU      | $3437.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HTAP Trust                                                       | HTAP 2024-1                                                      | CUSIP: 40445NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      485773 | PA      | $489134.60    | 0.09%             | 2037-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137FTYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1366947 | PA      | $167226.30    | 0.03%             | 2050-06-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CO        |           1 | NC      | $-26562.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $-32771.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                         | Angel Oak Mortgage Trust 2021-5                                  | CUSIP: 03465HAC8<br>LEI: 2549003MM0537Y3QHI22 | Long             | ABS-MBS          | CORP              | US        |      244750 | PA      | $217718.40    | 0.04%             | 2066-07-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-C                                  | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      142889 | PA      | $144019.09    | 0.03%             | 2061-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NZD 4.000000 11-JUN-2036 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    37700000 | OU      | $-438461.99   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |     7500000 | NC      | $8704.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CA        |           1 | NC      | $2077.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWP: SEK 2.696000 03-OCT-2035 3M                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   210500000 | OU      | $328485.77    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TAIWAN NEW DOLLAR                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TW        |           1 | NC      | $-11891.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT DEC 26                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          42 | NC      | $90501.56     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Mercado Mexicano De Derivados                                    | MEXICAN BOLSA INDEX FUTURE MAR 26                                | CUSIP: 000000000<br>LEI: 5493003M56ZNEEL5EQ10 | N/A              | DE               |  | MX        |           1 | NC      | $4257.55      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66              | CUSIP: 38384ARD7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1586926 | PA      | $147857.05    | 0.03%             | 2053-05-20      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME LEAD JUL 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           8 | NC      | $-18721.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Warsaw Stock Exchange/Equities/Main Market                       | WIG20(PLN20) INDEX MAR 26                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | PL        |        -144 | NC      | $-77189.35    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | INDIAN RUPEE                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IN        |           1 | NC      | $-7906.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HTAP Trust                                                       | HTAP Issuer Trust 2025-1                                         | CUSIP: 40446AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      458676 | PA      | $461970.71    | 0.09%             | 2042-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CH        |           1 | NC      | $-8081.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME ZINC JUL 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          12 | NC      | $75093.60     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COTTON NO.2 DEC 26                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          58 | NC      | $38762.06     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI NETHERLAND 03/18/2026                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -1486791 | OU      | $-5562.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS APR 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          25 | NC      | $-18918.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CHINESE OFFSHORE YUAN (HONG KONG)                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CN        |           1 | NC      | $-6480.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $86.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-OAT MAR 26                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         140 | NC      | $477778.68    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| RCO Mortgage LLC                                                 | RCO 2025-Pr1 Trust                                               | CUSIP: 74939AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      721917 | PA      | $719941.83    | 0.14%             | 2055-03-02      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS JUL 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          89 | NC      | $-542686.82   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $-1445.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 3140QQD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     1646520 | PA      | $1677753.82   | 0.32%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COCOA SEP 26                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          24 | NC      | $-560745.65   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US LONG BOND JUN 26                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -225 | NC      | $-192955.71   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    -3000000 | OU      | $44032.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                         | S&P/TSE 60 INDEX MAR 26                                          | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DE               |  | CA        |         -20 | NC      | $-239853.25   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 2.000000 18-JUN-2036 FTO                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  6369300000 | OU      | $220733.66    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105                | CUSIP: 3137H06M5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2344835 | PA      | $456991.94    | 0.09%             | 2051-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM JUL 26                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          21 | NC      | $98727.80     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2024-RPL4 LLC                                               | CUSIP: 74448MAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      300000 | PA      | $292672.20    | 0.06%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO BUXL 30YR BOND MAR 26                                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          -2 | NC      | $-8975.98     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SE        |           1 | NC      | $7184.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CH        |           1 | NC      | $316665.44    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | DAX INDEX MAR 26                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |         -23 | NC      | $-326366.80   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | CORN MAY 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          57 | NC      | $34056.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX - All Markets                                                | AUST 10YR BOND MAR 26                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -267 | NC      | $-208435.82   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $1472.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION                           | FEDERAL HOME LOAN MORTGAGE CORPORATION                           | CUSIP: 3137HLPA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |     1160005 | PA      | $134560.54    | 0.03%             | 2055-06-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI SWEDEN 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -4150004 | OU      | $12070.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ZA        |           1 | NC      | $733433.12    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $-1031.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                                   | JPN 10YR BOND (OSE) MAR 26                                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |          36 | NC      | $285706.16    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BUND MAR 26                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -48 | NC      | $-157395.97   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42              | CUSIP: 38382PZY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2824903 | PA      | $439562.57    | 0.08%             | 2050-11-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $317.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                               | BRENT CRUDE (ICE) JUL 26                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          59 | NC      | $525729.36    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI BRAZIL 03/18/2026                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -6044837 | OU      | $-5185.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ZA        |           1 | NC      | $-206.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 984500653R409CC5AB28 | N/A              | DFE              |  | CA        |           1 | NC      | $66433.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT MAY 26                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          16 | NC      | $41466.82     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-96              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-96              | CUSIP: 38382UZE4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2751262 | PA      | $53025.08     | 0.01%             | 2051-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | MEXICAN PESO                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | MX        |           1 | NC      | $362730.60    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $249.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SG        |           1 | NC      | $4864.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23000000 | PA      | $22351706.82  | 4.23%             | 2056-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-113             | CUSIP: 38384CVG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1230882 | PA      | $82324.62     | 0.02%             | 2053-08-20      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN OIL MAY 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -317 | NC      | $-814505.15   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TW        |           1 | NC      | $3092.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                              | New Residential Mortgage Loan Trust 2022-NQM2                    | CUSIP: 64831MAB8<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |     2570000 | PA      | $2176902.82   | 0.41%             | 2062-03-27      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CA        |           1 | NC      | $19863.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | MX        |           1 | NC      | $-3357.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: 984500653R409CC5AB28 | N/A              | DFE              |  | JP        |           1 | NC      | $-18041.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | HU        |           1 | NC      | $1.10         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | BR        |           1 | NC      | $-690965.90   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Mercado Mexicano De Derivados                                    | MEXICAN BOLSA INDEX FUTURE MAR 26                                | CUSIP: 000000000<br>LEI: 5493003M56ZNEEL5EQ10 | N/A              | DE               |  | MX        |        -200 | NC      | $-759940.35   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CO        |           1 | NC      | $57307.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F032633<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9000000 | PA      | $8480524.05   | 1.60%             | 2056-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $-199.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | LIVE CATTLE JUN 26                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |           2 | NC      | $4572.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_22-NQM3                       | IMPERIAL FUND MORTGAGE TRUST IMPRL_22-NQM3                       | CUSIP: 45276KAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      350000 | PA      | $303399.60    | 0.06%             | 2067-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWP: NZD 3.695000 03-OCT-2035 3M                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |     8200000 | OU      | $-31591.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-DNA6                          | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |      550000 | PA      | $570780.93    | 0.11%             | 2041-10-25      | Floating      | 11.17%                | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IN        |           1 | NC      | $2973.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cayuga Park CLO, Ltd.                                            | Cayuga Park CLO Ltd                                              | CUSIP: 149791BG9<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $998817.00    | 0.19%             | 2038-10-17      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $-1987.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: NZD 4.000000 11-JUN-2031 3M                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      300000 | OU      | $-1673.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Meff Financial Derivatives                                       | IBEX 35 INDEX MAR 26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |          11 | NC      | $36607.69     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Securities LLC                                       | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | SE        |           1 | NC      | $43387.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NZ        |           1 | NC      | $-10493.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: EUR 2.500000 18-JUN-2031 EUR                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3100000 | OU      | $-33577.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley International                                     | SYN BOVESPA (IBOVESPA) INDEX APR 2                               | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DE               |  | BR        |        -158 | NC      | $-736.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | NASDAQ 100 E-MINI MAR 26                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |           4 | NC      | $-36152.22    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CL        |           1 | NC      | $12360.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SINGAPORE DOLLAR                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SG        |           1 | NC      | $102337.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $42811.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |           1 | NC      | $1564227.69   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CO        |           1 | NC      | $145827.68    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                     | FTSE TAIWAN MAR 26                                               | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |          41 | NC      | $67265.45     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |           1 | NC      | $225291.45    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $-11.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US 10YR NOTE JUN 26                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -1192 | NC      | $-664592.63   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-145473.32   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $41694.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | HUNGARIAN FURINT                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | HU        |           1 | NC      | $-3048.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COTTON NO.2 MAY 26                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -18 | NC      | $-11871.17    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT KCBT FUTURE DEC 26                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          26 | NC      | $39510.89     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | COLOMBIAN PESO                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CO        |           1 | NC      | $-37594.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CZ        |           1 | NC      | $22988.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |    10000000 | NC      | $59928.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM LLC PRPM_24-RCF1                                            | CUSIP: 693581AD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $146140.35    | 0.03%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MEAL (CBT) DEC 26                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          38 | NC      | $-6702.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 0.000000 15-MAR-2028 SAR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    14400000 | OU      | $10854.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |     4785000 | NC      | $53461.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $3557.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     -500000 | OU      | $21030.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | CORN JUL 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         101 | NC      | $-20465.13    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CH        |           1 | NC      | $1572.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $2666.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $6280.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IN        |           1 | NC      | $71902.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Meff Financial Derivatives                                       | IBEX 35 INDEX MAR 26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |          -1 | NC      | $-5234.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CDS: (CMBX.NA.10.BBB-)                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |     -499745 | OU      | $-35513.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $568119.73    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ID        |           1 | NC      | $-2511.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-240394.57   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 4.000000 19-MAR-2036 SON                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      300000 | OU      | $-3953.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $-736.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POINT SECURITIZATION TRUST PNT_26-1                              | POINT SECURITIZATION TRUST PNT_26-1                              | CUSIP: 73072JAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $439027.95    | 0.08%             | 2056-02-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI MEXICO 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -1714191 | OU      | $1293.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO STOXX 50 MAR 26                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        -607 | NC      | $-1762519.71  | -0.33%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $46712.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |           1 | NC      | $-3014.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $424.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $-11.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158             | CUSIP: 38382X7G4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1994783 | PA      | $315286.76    | 0.06%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | HU        |           1 | NC      | $-2647.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | CDS: (CMBX.NA.17.BBB-)                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     -500000 | OU      | $16245.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | JP        |           1 | NC      | $42822.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $-8520.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POINT SECURITIZATION TRUST PNT_26-1                              | POINT SECURITIZATION TRUST PNT_26-1                              | CUSIP: 73072JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      850000 | PA      | $842637.22    | 0.16%             | 2056-02-25      | Variable      | 5.25%                 | No            |                  3 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $64.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | LEAN HOGS APR 26                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |          32 | NC      | $43636.21     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) JUL 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          11 | NC      | $124116.83    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 5YR NOTE JUN 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          -2 | NC      | $-1230.08     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-45164.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SG        |           1 | NC      | $-748329.79   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWP: SEK 2.942500 03-DEC-2035 3M                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   189000000 | OU      | $610770.43    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM3                       | IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM3                       | CUSIP: 452762AE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $428144.75    | 0.08%             | 2056-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | JP        |           1 | NC      | $2602.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $46728.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                                   | TOPIX INDEX MAR 26                                               | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |          25 | NC      | $637277.71    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | FEDERAL NATIONAL MORTGAGE ASSOCIATION                            | CUSIP: 3140BHJJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     1976056 | PA      | $2009160.81   | 0.38%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | SG        |           1 | NC      | $-14526.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CA        |           1 | NC      | $197226.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 JUL 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          24 | NC      | $850.92       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $1353.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $-199.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HTAP TRUST HTAP_24-2                                             | HTAP TRUST HTAP_24-2                                             | CUSIP: 40444WAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $298386.48    | 0.06%             | 2042-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NZD 4.000000 12-MAR-2036 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     1600000 | OU      | $-17867.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CUSIP: 17030AAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $301290.90    | 0.06%             | 2058-07-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122             | CUSIP: 38382WAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     5785463 | PA      | $33663.87     | 0.01%             | 2051-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IL        |           1 | NC      | $33945.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) MAY 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           5 | NC      | $53633.44     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HTAP Trust                                                       | HTAP Issuer Trust 2024-2                                         | CUSIP: 40444WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      616322 | PA      | $617439.31    | 0.12%             | 2042-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Meff Financial Derivatives                                       | IBEX 35 INDEX MAR 26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |          25 | NC      | $61672.89     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI NETHERLAND 03/18/2026                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |     -359915 | OU      | $-1346.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | JP        |           1 | NC      | $184433.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | MSCI BRAZIL INDEX 03/18/2026                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |       -2125 | OU      | $-1.82        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI BRAZIL 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |      -27631 | OU      | $-23.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $33877.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CH        |           1 | NC      | $-988003.44   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |           1 | NC      | $15676.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |           1 | NC      | $1644098.04   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | BR        |           1 | NC      | $-690941.24   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $19875.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $71574.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TW        |           1 | NC      | $-29586.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TH        |           1 | NC      | $233.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 2.500000 21-JUN-2028 CAD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   128400000 | OU      | $-412176.61   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BUND MAR 26                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -42 | NC      | $-111077.99   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Capital, Inc.                                           | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | CA        |           1 | NC      | $-36656.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | CUSIP: 3137G0WF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      413162 | PA      | $399947.49    | 0.08%             | 2032-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_20-3                         | PAGAYA AI DEBT SELECTION TRUST PAID_20-3                         | CUSIP: 69546T102<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3200000 | PA      | $5086.99      | 0.00%             | 2027-05-17      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BTP (ITALY GOVT) MAR 26                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |           9 | NC      | $10710.21     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                                      | COPPER SEP 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          36 | NC      | $315175.79    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| TVC MORTGAGE TRUST TVC_24-RRTL1                                  | TVC MORTGAGE TRUST TVC_24-RRTL1                                  | CUSIP: 87306WAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      190000 | PA      | $189915.89    | 0.04%             | 2039-07-25      | Variable      | 9.11%                 | No            |                  2 | On Loan: No      |
| MPOWR_25-1                                                       | MPOWR_25-1                                                       | CUSIP: 62477DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $102931.91    | 0.02%             | 2042-12-22      | Fixed         | 8.18%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $2078.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | THAI BAHT                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TH        |           1 | NC      | $10697.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                 | CUSIP: 3132DPFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1574489 | PA      | $1532466.28   | 0.29%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $63.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| A&D MTG TR ADMT_24-NQM1                                          | A&D MTG TR ADMT_24-NQM1                                          | CUSIP: 00039GAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $407670.64    | 0.08%             | 2069-02-25      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME COPPER MAR 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           1 | NC      | $5614.31      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI NETHERLAND 03/18/2026                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -525182 | OU      | $-1964.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 3.500000 15-MAR-2028 SON                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     2800000 | OU      | $8149.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_25-CES1                | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_25-CES1                | CUSIP: 24380WAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $202193.04    | 0.04%             | 2055-10-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $184393.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 0.5 18-JUN-2036 SAR                                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2400000 | OU      | $-76849.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $4771.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                         | CAN 10YR BOND JUN 26                                             | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |        -675 | NC      | $-211290.42   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | MX        |           1 | NC      | $-3359.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                          | NYMT 2024-RR1 Trust                                              | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      876431 | PA      | $883695.00    | 0.17%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117             | CUSIP: 38382WEU7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1779464 | PA      | $253345.84    | 0.05%             | 2051-07-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Grantor Trust 2026-1                              | CUSIP: 694969AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      290000 | PA      | $290236.84    | 0.05%             | 2033-09-15      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Euronext Paris Matif                                             | CAC40 10 EURO MAR 26                                             | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               |  | FR        |         -86 | NC      | $-211445.27   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $-278756.66   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $-24128.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | BRAZIL REAL                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | BR        |           1 | NC      | $573493.59    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ZA        |           1 | NC      | $-5267.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987                | CUSIP: 3137FTRP4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1067310 | PA      | $169351.94    | 0.03%             | 2050-06-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COCOA JUL 26                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          12 | NC      | $-299580.20   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | INDONESIAN RUPIA                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ID        |           1 | NC      | $-2781.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI BRAZIL 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |      -29757 | OU      | $-25.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | PERUVIAN SOL                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PE        |           1 | NC      | $-32.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | CORN SEP 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         202 | NC      | $101932.39    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ZA        |           1 | NC      | $733456.04    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | ISRAELI SHEKEL                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IL        |           1 | NC      | $54111.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Euronext Paris Matif                                             | CAC40 10 EURO MAR 26                                             | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               |  | FR        |         230 | NC      | $628230.85    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    26000000 | NC      | $27193.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |           1 | NC      | $-11531.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2024-8 LLC                                                  | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      237056 | PA      | $237168.72    | 0.04%             | 2029-12-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $568144.71    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_20-34                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_20-34                 | CUSIP: 3136BAHY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2407594 | PA      | $348890.18    | 0.07%             | 2050-06-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $23247.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL MAR 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         -32 | NC      | $-78628.64    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| STACR_19-CS02                                                    | STACR_19-CS02                                                    | CUSIP: 3137G0WA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $145205.04    | 0.03%             | 2032-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IL        |           1 | NC      | $33935.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | BRAZIL REAL                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | BR        |           1 | NC      | $4876.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CHNGE MORTGAGE TRUST CHNGE_23-3                                  | CUSIP: 17030AAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      800000 | PA      | $803613.68    | 0.15%             | 2058-07-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | THREE-MONTH SOFR FUTURE MAR 26                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        -129 | NC      | $34855.48     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US ULTRA T-BOND JUN 26                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -31 | NC      | $-42473.85    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Grantor Trust 2026-1                              | CUSIP: 694969AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      780000 | PA      | $785580.82    | 0.15%             | 2033-09-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CN        |           1 | NC      | $2571.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: AUD 4.000000 08-JUN-2028 AUD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    22800000 | OU      | $-27980.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US 10YR NOTE JUN 26                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         118 | NC      | $70055.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-173             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-173             | CUSIP: 38384GBQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     4733779 | PA      | $330615.19    | 0.06%             | 2053-11-20      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PE        |           1 | NC      | $-472.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE MAY 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |        -253 | NC      | $-503896.38   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NZ        |           1 | NC      | $-361783.70   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: NZD 3.000000 15-MAR-2028 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    68400000 | OU      | $8008.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 OCT 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         214 | NC      | $-77030.73    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | CHINESE OFFSHORE YUAN (HONG KONG)                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CN        |           1 | NC      | $-866.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Enact Mortgage Insurance Corporation                             | GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-3                | CUSIP: 89600HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        1825 | PA      | $1825.10      | 0.00%             | 2034-02-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | ISRAELI SHEKEL                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IL        |           1 | NC      | $54107.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $34329.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) SEP 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          22 | NC      | $284687.08    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |           1 | NC      | $-120324.48   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                            | Toorak Mortgage Trust 2025-RRTL1                                 | CUSIP: 89053JAH0<br>LEI: 25490023B58UP9CM5N96 | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $202530.88    | 0.04%             | 2040-02-25      | Variable      | 8.34%                 | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | CUSIP: 92841WAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $308524.65    | 0.06%             | 2055-01-25      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| EDGEX Issuer Trust                                               | EDGEX 2025-2NN Issuer Trust                                      | CUSIP: 28057AAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      594733 | PA      | $601396.50    | 0.11%             | 2032-01-15      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |           1 | NC      | $802371.99    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) APR 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          28 | NC      | $291638.28    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2026-RCF1 Trust                                             | CUSIP: 69383VAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $145263.95    | 0.03%             | 2056-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | AU        |           1 | NC      | $-116936.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | CORN MAY 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          56 | NC      | $30801.76     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Italian Derivatives Market                                       | FTSE/MIB INDEX MAR 26                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IT        |         -78 | NC      | $-1117010.92  | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | KW        |           1 | NC      | $440975.53    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-927357.44   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                               | BRENT CRUDE (ICE) MAY 26                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |        -150 | NC      | $-1213580.01  | -0.23%            |  |  |  | No            |                  1 | On Loan: No      |
| BRAVO Residential Funding Trust                                  | BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | CUSIP: 10569EAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $190170.62    | 0.04%             | 2060-03-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LIVE CATTLE APR 26                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |         -77 | NC      | $153151.97    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $1473.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE SEP 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          18 | NC      | $-380577.69   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | CH        |           1 | NC      | $85336.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | CUSIP: 3137G0WX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    25794471 | PA      | $67140.43     | 0.01%             | 2030-05-25      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM NOV 26                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          21 | NC      | $18858.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |           1 | NC      | $183179.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $-14232.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | FANNIE MAE FNMA_19-5                                             | CUSIP: 3136B3L40<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1059379 | PA      | $121950.84    | 0.02%             | 2049-03-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161             | CUSIP: 38383A6U3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2718272 | PA      | $406261.20    | 0.08%             | 2051-09-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | ISRAELI SHEKEL                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IL        |           1 | NC      | $-35112.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE NOV 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          51 | NC      | $114595.06    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | BR        |           1 | NC      | $-11307.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MAY 26                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         -45 | NC      | $-49792.76    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | GAS OIL APR 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          20 | NC      | $131174.87    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                 | FTSE 100 INDEX MAR 26                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |          87 | NC      | $778589.37    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 0.500000 19-MAR-2036 SAR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |     1300000 | OU      | $-17968.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |           1 | NC      | $-5044.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | HU        |           1 | NC      | $-2646.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI UNITED KINGDOM INDEX                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -177021 | OU      | $5643.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: CAD 3.000000 18-JUN-2031 CAD                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |      700000 | OU      | $-7677.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust 2022-1                                      | CHNGE Mortgage Trust 2022-1                                      | CUSIP: 17030JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $310387.39    | 0.06%             | 2067-01-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | CA        |           1 | NC      | $-7770.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $-76.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | HUNGARIAN FURINT                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | HU        |           1 | NC      | $-3050.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: SEK 3.000000 18-JUN-2036 3M                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    42900000 | OU      | $-153873.91   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | INDONESIAN RUPIA                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $-2783.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | HU        |           1 | NC      | $-130196.52   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $-78.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CHINESE OFFSHORE YUAN (HONG KONG)                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CN        |           1 | NC      | $-6476.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                               | GAS OIL SEP 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          41 | NC      | $326068.03    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |           1 | NC      | $-29428.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-164             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-164             | CUSIP: 38382LGD7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1621132 | PA      | $259134.50    | 0.05%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-38                                            | FANNIE MAE FNMA_20-38                                            | CUSIP: 3136BACZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2532801 | PA      | $227309.28    | 0.04%             | 2050-06-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1                   | MELLO MORTGAGE CAPITAL ACCEPTANCE MELLO_24-SD1                   | CUSIP: 58550DAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $468594.50    | 0.09%             | 2054-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $115001.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ZA        |           1 | NC      | $14856.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CZ        |           1 | NC      | $-69594.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MEAL (CBT) MAY 26                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |           7 | NC      | $2293.16      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Securities USA, Inc.                                        | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              |  | NZ        |           1 | NC      | $39964.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI MEXICO 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -3110938 | OU      | $2346.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175             | CUSIP: 38382LNR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2581364 | PA      | $373915.95    | 0.07%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS SEP 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         176 | NC      | $-328076.01   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-51              | CUSIP: 38384KWT4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2536804 | PA      | $131923.46    | 0.02%             | 2054-03-20      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-57038.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ID        |           1 | NC      | $1354.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LIVE CATTLE OCT 26                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          35 | NC      | $-46976.85    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | CHILEAN PESO                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CL        |           1 | NC      | $-4773.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | GASOLINE RBOB JUL 26                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          12 | NC      | $108630.26    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                 | LONG GILT JUN 26                                                 | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        -100 | NC      | $-112014.13   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 4.000000 18-JUN-2036 SON                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    42000000 | OU      | $804435.11    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CHINESE OFFSHORE YUAN (HONG KONG)                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CN        |           1 | NC      | $317520.83    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ZA        |           1 | NC      | $4657.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13000000 | PA      | $13058310.72  | 2.47%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2                    | CUSIP: 10569EAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $273251.22    | 0.05%             | 2060-03-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| STARC_20-CS01                                                    | STARC_20-CS01                                                    | CUSIP: 3137G0WN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   111079303 | PA      | $250517.15    | 0.05%             | 2030-04-25      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: GBP 3.500000 21-JUN-2028 SON                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   156800000 | OU      | $-542856.93   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BUND MAR 26                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         276 | NC      | $612637.36    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| COLUMBIA SHORT TERM CASH FUND                                    | COLUMBIA SHORT TERM CASH FUND                                    | CUSIP: 19766H239<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   285657463 | NS      | $285600331.68 | 54.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $4633.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CL        |           1 | NC      | $16506.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $300252.44    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                            | VOLT XCV LLC                                                     | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       39616 | PA      | $39625.75     | 0.01%             | 2051-03-27      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $2925.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $-810027.59   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE TRUST FIGRE_25-HE3                                         | CUSIP: 31684LAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      100000 | PA      | $109506.51    | 0.02%             | 2055-05-25      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: NOK 4.500000 15-MAR-2028 6M                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   104100000 | OU      | $-11467.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | GB        |           1 | NC      | $10313.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| USASF Receivables LLC                                            | US Auto Funding 2021-1                                           | CUSIP: 90355EAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1125000 | PA      | $261.79       | 0.00%             | 2027-03-15      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 0 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |     7000000 | NC      | $2048.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                      | SILVER MAY 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           2 | NC      | $124716.40    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-78              | CUSIP: 38382FW34<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1761873 | PA      | $242084.33    | 0.05%             | 2050-06-20      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI NETHERLAND 03/18/2026                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |     -608427 | OU      | $-2276.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | MX        |           1 | NC      | $-1051096.27  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COCOA MAY 26                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          -5 | NC      | $56698.78     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | STRUCTURED AGENCY CREDIT RISK STACR_20-CS01                      | CUSIP: 3137G0WP0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   111079303 | PA      | $391421.25    | 0.07%             | 2030-04-25      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $1150331.60   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $-271.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | INDIAN RUPEE                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IN        |           1 | NC      | $4608.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 4.000000 21-JUN-2056 SOF                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      300000 | OU      | $7047.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | CA        |           1 | NC      | $-52791.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $29055.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $729953.63    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                         | OBX 2021-NQM2 Trust                                              | CUSIP: 670857AA9<br>LEI: 25490010LUJWFEUCIH44 | Long             | ABS-MBS          | CORP              | US        |      388234 | PA      | $326349.35    | 0.06%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST LHOME_24-RTL1                               | LHOME MORTGAGE TRUST LHOME_24-RTL1                               | CUSIP: 50205DAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $301240.38    | 0.06%             | 2029-01-25      | Floating      | 11.95%                | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2017-SMP                   | CUSIP: 95001CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $930050.50    | 0.18%             | 2034-12-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                          | NYMT Loan Trust 2025-INV2                                        | CUSIP: 62957JAC5<br>LEI: 254900EYRFLK2LMLVT67 | Long             | ABS-MBS          | CORP              | US        |      410231 | PA      | $412553.60    | 0.08%             | 2060-10-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IL        |           1 | NC      | $-153323.16   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $-25766.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 1.500000 15-MAR-2028 FTO                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 23444500000 | OU      | $-198670.68   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM JUN 26                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          10 | NC      | $14827.65     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $-3713.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |           1 | NC      | $103114.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 MAY 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          42 | NC      | $7011.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Reach Financial LLC                                              | Reach Abs Trust 2026-1                                           | CUSIP: 75526XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      275016 | PA      | $274992.99    | 0.05%             | 2033-02-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley International                                     | SYN SWISS MKT IX MAR 26                                          | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DE               |  | DE        |        -135 | NC      | $-803105.82   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_21-5                            | VERUS SECURITIZATION TRUST VERUS_21-5                            | CUSIP: 92538KAF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $201617.03    | 0.04%             | 2066-09-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4606                                           | FREDDIE MAC FHLMC_4606                                           | CUSIP: 3137BR5P6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2600958 | PA      | $291924.99    | 0.06%             | 2044-12-15      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI MEXICO 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -2093255 | OU      | $1579.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGURE LENDING FIGRE_24-HE5                                      | CUSIP: 31684FAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      250000 | PA      | $258102.00    | 0.05%             | 2054-10-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | THAI BAHT                                                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TH        |           1 | NC      | $10692.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN OIL MAY 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          14 | NC      | $40251.27     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Capital, Inc.                                           | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | JP        |           1 | NC      | $-67575.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $-189902.48   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | TAIWAN NEW DOLLAR                                                | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |           1 | NC      | $-10749.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SOUTH AFRICA COMM. RD                                            | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ZA        |           1 | NC      | $14853.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Ltd.                     | FTSE TAIWAN MAR 26                                               | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |          -6 | NC      | $9735.19      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2024-8 LLC                                                  | CUSIP: 74448KAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      400000 | PA      | $400439.76    | 0.08%             | 2029-12-25      | Variable      | 8.84%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI FRANCE 03/18/2026                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |    -1521758 | OU      | $30654.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                         | CUSIP: 20754KAJ0<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      800000 | PA      | $825795.76    | 0.16%             | 2041-11-25      | Floating      | 9.87%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI BRAZIL 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |       -8502 | OU      | $-7.29        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAIF SECURITIZATION TRUST SAIF_25-CES1                           | SAIF SECURITIZATION TRUST SAIF_25-CES1                           | CUSIP: 78438CAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      142780 | PA      | $145322.23    | 0.03%             | 2065-06-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                | EURO STOXX 50 MAR 26                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |          11 | NC      | $51667.64     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE REMICS                                                | FANNIE MAE FNMA_13-101                                           | CUSIP: 3136AGZK1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      534321 | PA      | $74072.62     | 0.01%             | 2043-10-25      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PH        |           1 | NC      | $-3340.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM SEP 26                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          43 | NC      | $132183.15    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 3.500000 18-JUN-2031 SON                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2600000 | OU      | $-37169.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-15917.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust I                       | Research-Driven Pagaya Motor Asset Trust IV                      | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      142936 | PA      | $141636.98    | 0.03%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | INDIAN RUPEE                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $4607.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | CHILEAN PESO                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CL        |           1 | NC      | $-9164.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $99678.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_18-64                                            | FANNIE MAE FNMA_18-64                                            | CUSIP: 3136B23K6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1443563 | PA      | $195982.63    | 0.04%             | 2048-09-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                           | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | SE        |           1 | NC      | $9844.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MRQI_26-HI1A                                                     | MRQI_26-HI1A                                                     | CUSIP: 50625BAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      143000 | PA      | $141747.83    | 0.03%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | XX        |           1 | NC      | $-3205.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | CORN MAY 26                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -317 | NC      | $-168549.50   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                               | BRENT CRUDE (ICE) MAY 26                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          10 | NC      | $52289.09     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI SWITZERLAND 03/18/26                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |      117495 | OU      | $-2031.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL JUN 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          -2 | NC      | $558.10       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $-435127.75   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-90                 | FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_22-90                 | CUSIP: 3136BPRP8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2655827 | PA      | $336598.14    | 0.06%             | 2050-07-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-46              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-46              | CUSIP: 38383PRL7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2352804 | PA      | $44974.09     | 0.01%             | 2052-03-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | BRAZIL REAL                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | BR        |           1 | NC      | $573469.43    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | POLISH ZLOTY                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PL        |           1 | NC      | $28433.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Nasdaq Stockholm AB                                              | OMXS30 INDEX MAR 26                                              | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               |  | SE        |         194 | NC      | $176614.65    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $-83900.26    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CH        |           1 | NC      | $168973.83    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | HUNGARIAN FURINT                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | HU        |           1 | NC      | $-2064.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MEAL (CBT) DEC 26                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          82 | NC      | $21948.09     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS | CUSIP: 3137G0WV7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      350000 | PA      | $301905.49    | 0.06%             | 2033-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | XX        |           1 | NC      | $-4155.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX - All Markets                                                | SPI 200 MAR 26                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | AU        |        -130 | NC      | $-1056199.62  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Grantor Trust 2025-R3                             | CUSIP: 69549EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      464529 | PA      | $465006.94    | 0.09%             | 2033-01-18      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                 | LONG GILT JUN 26                                                 | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |         113 | NC      | $140561.98    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NZ        |           1 | NC      | $9512.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $23229.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-168             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-168             | CUSIP: 38383YZB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     3778958 | PA      | $381485.05    | 0.07%             | 2052-09-20      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                           | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | XX        |           1 | NC      | $259615.25    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | LEAN HOGS JUN 26                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | US        |          19 | NC      | $60084.28     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                                       | VERUS SECURITIZATION TRUST VERUS_21-R2                           | CUSIP: 92538DAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $473841.45    | 0.09%             | 2064-02-25      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | HUNGARIAN FURINT                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | HU        |           1 | NC      | $36138.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-141             | CUSIP: 38384EE68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2328761 | PA      | $294868.01    | 0.06%             | 2049-12-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI BRAZIL 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |      -34008 | OU      | $-29.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-34              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-34              | CUSIP: 38382DG94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1586042 | PA      | $233446.03    | 0.04%             | 2050-03-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                           | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              |  | CH        |           1 | NC      | $-9955.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI BRAZIL 03/18/2026                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |       -8502 | OU      | $-7.29        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47              | CUSIP: 38383WJ31<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1530032 | PA      | $119972.75    | 0.02%             | 2053-03-20      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| ASX - All Markets                                                | AUST 3YR BOND MAR 26                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          30 | NC      | $1324.12      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | GASOLINE RBOB MAY 26                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         107 | NC      | $342680.37    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    10000000 | NC      | $249156.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | TAIWAN NEW DOLLAR                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TW        |           1 | NC      | $16943.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST BARC_21-NPL1                        | BARCLAYS MORTGAGE LOAN TRUST BARC_21-NPL1                        | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      264069 | PA      | $264437.50    | 0.05%             | 2051-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HLW24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1897407 | PA      | $99803.59     | 0.02%             | 2055-06-25      | Floating      | 1.43%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) APR 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           5 | NC      | $17066.73     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN OIL DEC 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         121 | NC      | $486844.50    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | THAI BAHT                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TH        |           1 | NC      | $-3711.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST PAID_24-10                        | PAGAYA AI DEBT SELECTION TRUST PAID_24-10                        | CUSIP: 69544MAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      299096 | PA      | $301890.71    | 0.06%             | 2032-06-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE MAY 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          23 | NC      | $-109999.48   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ID        |           1 | NC      | $-138.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC FHLMC_4993                                           | FREDDIE MAC FHLMC_4993                                           | CUSIP: 3137FU6V1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1608917 | PA      | $258805.23    | 0.05%             | 2050-07-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                                   | TOPIX INDEX MAR 26                                               | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |          15 | NC      | $420648.14    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI BRAZIL 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -1857661 | OU      | $-1593.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CO        |           1 | NC      | $-26558.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_25-CES2                    | VISTA POINT SECURITIZATION TRUST VSTA_25-CES2                    | CUSIP: 92842UAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      500000 | PA      | $507394.05    | 0.10%             | 2055-08-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                      | SILVER MAY 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           8 | NC      | $730275.79    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                         | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_24-64              | CUSIP: 38384MJC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     3036744 | PA      | $159685.65    | 0.03%             | 2054-04-20      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2024-HE5                                             | CUSIP: 31684FAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      200000 | PA      | $210773.24    | 0.04%             | 2054-10-25      | Variable      | 8.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CN        |           1 | NC      | $822.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: SEK 2.500000 18-JUN-2031 3M                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5000000 | OU      | $1519.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | PAGAYA AI DEBT SELECTION TRUST PAID_21-5                         | CUSIP: 69547EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      865000 | PA      | $27443.48     | 0.01%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TH        |           1 | NC      | $-198680.40   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                      | COPPER MAY 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -23 | NC      | $-180013.02   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | HUNGARIAN FURINT                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | HU        |           1 | NC      | $350066.45    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BXP TRUST BXP_21-601L                                            | BXP TRUST BXP_21-601L                                            | CUSIP: 05607TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $281524.15    | 0.05%             | 2044-01-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_22-NQM2                 | NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_22-NQM2                 | CUSIP: 64831MAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $152499.14    | 0.03%             | 2062-03-27      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE JUL 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |           9 | NC      | $-229781.73   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CN        |           1 | NC      | $-210763.38   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-156             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-156             | CUSIP: 38383ANE0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2843041 | PA      | $417772.98    | 0.08%             | 2051-09-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | MEXICAN PESO                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | MX        |           1 | NC      | $-387.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM TRUST PRKCM_22-AFC1                                        | PRKCM TRUST PRKCM_22-AFC1                                        | CUSIP: 69377CAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      410046 | PA      | $397398.42    | 0.08%             | 2057-04-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                 | Hilton USA Trust 2016-SFP                                        | CUSIP: 43289VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1700000 | PA      | $34145.52     | 0.01%             | 2035-11-05      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                      | GOLD 100 OZ APR 26                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |           6 | NC      | $140934.60    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN MAY 26                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          24 | NC      | $46855.49     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                                      | SYN WIG20(PLN20) INDEX MAR 26                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               |  | PL        |           1 | NC      | $-184.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                         | CAN 10YR BOND JUN 26                                             | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |          76 | NC      | $22704.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CL        |           1 | NC      | $-119295.26   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $5086.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $-96821.35    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | MEXICAN PESO                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |           1 | NC      | $687442.94    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $-361764.45   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: OIS 2.000000 19-MAR-2036 FTO                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |  3825700000 | OU      | $-67957.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JSE Interest Rate Derivatives Market                             | FTSE/JSE TOP 40 MAR 26                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ZA        |         -22 | NC      | $-116164.73   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| LHOME Mortgage Trust                                             | LHOME Mortgage Trust 2025-RTL3                                   | CUSIP: 50205YAC7<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $203100.42    | 0.04%             | 2040-08-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 984500653R409CC5AB28 | N/A              | DFE              |  | AU        |           1 | NC      | $-7240.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_23-1                               | COLT MORTGAGE LOAN TRUST COLT_23-1                               | CUSIP: 19688NAF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $299729.37    | 0.06%             | 2068-04-25      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| CHNGE Mortgage Trust                                             | CHNGE Mortgage Trust 2022-NQM1                                   | CUSIP: 12569CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $249241.58    | 0.05%             | 2067-06-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3               | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3               | CUSIP: 38382BN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     1864262 | PA      | $67720.24     | 0.01%             | 2062-02-16      | Floating      | 0.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: 984500653R409CC5AB28 | N/A              | DFE              |  | SE        |           1 | NC      | $12432.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |     2613000 | NC      | $40986.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COTTON NO.2 MAY 26                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         -62 | NC      | $-43092.45    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                       | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11000000 | PA      | $10870234.43  | 2.06%             | 2056-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                      | COPPER MAY 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         -97 | NC      | $-279065.94   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CL        |           1 | NC      | $-119304.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | JP        |           1 | NC      | $-277552.64   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Bursa Malaysia                                                   | KL COMPOSITE INDX MAR 26                                         | CUSIP: 000000000<br>LEI: 254900CXCSGW8M52ZU27 | N/A              | DE               |  | MY        |           3 | NC      | $-1143.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | TRSWAP: MSCI MEXICO 03/18/2026                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |   -17072815 | OU      | $12879.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                                   | JPN 10YR BOND (OSE) MAR 26                                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |         -19 | NC      | $-83890.98    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 5YR NOTE JUN 26                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         356 | NC      | $108273.84    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE SEP 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         101 | NC      | $653318.97    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                                | EURO-BUND JUN 26                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          35 | NC      | $22060.95     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EDGEX Issuer Trust                                               | EDGEX 2025-1NN Issuer Trust                                      | CUSIP: 280579103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      450000 | PA      | $347469.79    | 0.07%             | 2031-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | ISRAELI SHEKEL                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IL        |           1 | NC      | $-35102.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | HU        |           1 | NC      | $4874.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SE        |           1 | NC      | $7182.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CHINESE OFFSHORE YUAN (HONG KONG)                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CN        |           1 | NC      | $317545.52    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                      | PRKCM_21-AFC1 TRUST                                              | CUSIP: 69357TAD2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2000000 | PA      | $1537560.20   | 0.29%             | 2056-08-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | CH        |           1 | NC      | $-66149.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | S&P500 EMINI MAR 26                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          19 | NC      | $7070.18      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: NOK 4.500000 21-JUN-2028 6M                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   208400000 | OU      | $-1085.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI MEXICO 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -4317502 | OU      | $1400.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                         | CUSIP: 20754LAJ8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |      900000 | PA      | $930222.45    | 0.18%             | 2041-12-25      | Floating      | 9.67%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COFFEE DEC 26                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |           9 | NC      | $-39005.99    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | CHILEAN PESO                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CL        |           1 | NC      | $260110.06    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NZ        |           1 | NC      | $-10489.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_19-CS | CUSIP: 3137G0WG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    34515994 | PA      | $242015.80    | 0.05%             | 2029-10-25      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TH        |           1 | NC      | $232.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI MEXICO 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -2929809 | OU      | $2210.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | SUGAR #11 MAY 26                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         177 | NC      | $45420.94     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                | CUSIP: 3136BVHZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      978845 | PA      | $996955.65    | 0.19%             | 2055-03-25      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $437887.97    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-21              | CUSIP: 38381B6Y5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1840323 | PA      | $241816.91    | 0.05%             | 2046-10-20      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $19700.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | MEXICAN PESO                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | MX        |           1 | NC      | $-5421.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-90              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-90              | CUSIP: 38383RH83<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2457600 | PA      | $287472.55    | 0.05%             | 2050-01-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | SE        |           1 | NC      | $-9312.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HLAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      605130 | PA      | $614610.09    | 0.12%             | 2055-05-25      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: NOK 4.000000 18-JUN-2036 6M                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    91900000 | OU      | $-72351.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                                      | COPPER DEC 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          18 | NC      | $53487.40     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWP: SEK 2.705000 04-SEP-2035 3M                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    61000000 | OU      | $105682.25    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | CDS: (CMBX.NA.10.BBB-)                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              |  | US        |    -1199388 | OU      | $-48411.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    27500000 | NC      | $158078.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | LME LEAD MAY 26                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCO              |  | GB        |           6 | NC      | $-2616.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWP: NZD 4.076000 06-JAN-2036 3M                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    27000000 | OU      | $235879.72    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWEDISH KRONA                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |           1 | NC      | $262961.94    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                      | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | NO        |           1 | NC      | $-19374.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138             | CUSIP: 38382J3F1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     3696877 | PA      | $537451.96    | 0.10%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 2.000000 19-MAR-2036 FTO                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    30000000 | OU      | $806.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | MSCI SWITZERLAND INDEX 03/18/2026                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               |  | US        |      239509 | OU      | $-4140.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | NO        |           1 | NC      | $729727.72    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | BR        |           1 | NC      | $-11311.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TW        |           1 | NC      | $3863.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | VISTA POINT SECURITIZATION TRUST VSTA_24-CES3                    | CUSIP: 92841WAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      200000 | PA      | $206448.36    | 0.04%             | 2055-01-25      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE APR 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          81 | NC      | $224765.61    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                                     | WTI CRUDE JUL 26                                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          50 | NC      | $356147.49    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| PRPM LLC PRPM_23-NQM1                                            | PRPM LLC PRPM_23-NQM1                                            | CUSIP: 693965AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $299014.80    | 0.06%             | 2068-01-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | INDIAN RUPEE                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IN        |           1 | NC      | $-54701.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                            | PRPM 2024-RCF4 LLC                                               | CUSIP: 74448JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165000 | PA      | $159916.83    | 0.03%             | 2054-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| EDGEX_25-2NN                                                     | EDGEX_25-2NN                                                     | CUSIP: 28057AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      325200 | PA      | $326107.62    | 0.06%             | 2032-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Home Owner Mortgage Enhanced Securuties Limited                  | HOMES 2026-INV1 Trust                                            | CUSIP: 43761FAD7<br>LEI: 2549001JI3VOZZFMYK81 | Long             | ABS-MBS          | CORP              | US        |      584124 | PA      | $588140.64    | 0.11%             | 2060-08-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-97              | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-97              | CUSIP: 38382VEF2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2652890 | PA      | $383990.69    | 0.07%             | 2051-06-20      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | TH        |           1 | NC      | $-198666.22   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | INDIAN RUPEE                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $-7914.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | MEXICAN PESO                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | MX        |           1 | NC      | $-388.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $3665.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                            | Arroyo Mortgage Trust 2020-1                                     | CUSIP: 04285CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1870000 | PA      | $1785063.48   | 0.34%             | 2055-03-25      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |           1 | NC      | $-181145.26   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| RR Ltd                                                           | RR LTD RRAM_21-16A                                               | CUSIP: 74971JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      266667 | PA      | $256894.72    | 0.05%             | 2036-07-15      | Variable      | 10.18%                | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_22-INV1            | CUSIP: 79583VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $351651.92    | 0.07%             | 2067-04-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-103             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-103             | CUSIP: 38381XW44<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1584484 | PA      | $238793.27    | 0.05%             | 2049-08-20      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI BRAZIL 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |   -21265327 | OU      | $-18240.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | JP        |           1 | NC      | $910.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $-435336.88   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME ZINC MAY 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |          95 | NC      | $-136083.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI NETHERLAND 03/18/26                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -1745097 | OU      | $-6529.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                         | Ajax Mortgage Loan Trust 2021-E                                  | CUSIP: 009740AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      465000 | PA      | $300133.60    | 0.06%             | 2060-12-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust I                       | Research-Driven Pagaya Motor Trust 2025-6                        | CUSIP: 76100JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      420000 | PA      | $421512.59    | 0.08%             | 2034-08-25      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CH        |           1 | NC      | $316627.50    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME PRI ALUM MAY 26                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -289 | NC      | $-322091.55   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | PHILIPPINE PESO                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | PH        |           1 | NC      | $-121.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | JAPANESE YEN                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | JP        |           1 | NC      | $-49624.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $-810007.21   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | PL        |           1 | NC      | $34323.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | FSWP: EUR 2.000000 15-MAR-2028 EUR                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |    28600000 | OU      | $-129738.22   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI MEXICO 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -3336883 | OU      | $2517.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |     6500000 | NC      | $9729.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| National Stock Exchange of India Ltd.                            | IFSC NIFTY 50 MAR 26                                             | CUSIP: 000000000<br>LEI: 335800NLY5HYW9I7YE03 | N/A              | DE               |  | IN        |         -55 | NC      | $55368.02     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Genworth Mortgage Insurance Corporation                          | Triangle Re 2021-3 Ltd                                           | CUSIP: 89600HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      500000 | PA      | $510365.75    | 0.10%             | 2034-02-25      | Floating      | 8.62%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2025-HE1                                             | CUSIP: 30191LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      150000 | PA      | $158568.72    | 0.03%             | 2055-01-25      | Variable      | 8.53%                 | No            |                  2 | On Loan: No      |
| EDGEX ISSUER TRUST EDGEX_25-1                                    | EDGEX ISSUER TRUST EDGEX_25-1                                    | CUSIP: 280579AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      399988 | PA      | $404344.14    | 0.08%             | 2031-01-15      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                       | S&P/TSE 60 INDEX MAR 26                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |          74 | NC      | $1269317.31   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LIVE CATTLE AUG 26                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          18 | NC      | $48697.97     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| VERUS SECURITIZATION TRUST VERUS_22-2                            | VERUS SECURITIZATION TRUST VERUS_22-2                            | CUSIP: 92538XAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      300000 | PA      | $247119.78    | 0.05%             | 2067-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $-1274.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | EURO COUNTRIES                                                   | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | XX        |           1 | NC      | $300184.31    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | KOREAN WON                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $-744.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CZECH KORUNA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CZ        |           1 | NC      | $45895.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | NO        |           1 | NC      | $19707.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | CATTLE FEEDER MAY 26                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |          27 | NC      | $-150668.90   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL MAY 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         -81 | NC      | $-154913.79   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | INDIAN RUPEE                                                     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | IN        |           1 | NC      | $-54674.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | KW        |           1 | NC      | $811.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | SOYBEAN NOV 26                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         129 | NC      | $248849.88    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Securities LLC                                               | NEW ZEALAND DOLLAR                                               | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | NZ        |           1 | NC      | $-34962.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | AU        |           1 | NC      | $7912.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MRQI_26-HI1A                                                     | MRQI_26-HI1A                                                     | CUSIP: 50625BAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      194000 | PA      | $192922.76    | 0.04%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | GASOLINE RBOB APR 26                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |           3 | NC      | $4650.88      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IL        |           1 | NC      | $-153313.84   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |           1 | NC      | $-48430.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |    10000000 | NC      | $184115.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5138                | FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5138                | CUSIP: 3137H2LM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1797308 | PA      | $244962.08    | 0.05%             | 2047-09-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: NOK 4.000000 19-MAR-2036 6M                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1000000 | OU      | $-593.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                       | S&P/TSE 60 INDEX MAR 26                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |          13 | NC      | $64214.44     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                               | CUSIP: 3137HKF25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      603489 | PA      | $614624.04    | 0.12%             | 2054-06-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | GASOLINE RBOB NOV 26                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          14 | NC      | $60866.91     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT KCBT FUTURE MAY 26                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -212 | NC      | $-88281.16    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                                      | COPPER JUL 26                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          18 | NC      | $355310.75    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | HU        |           1 | NC      | $-130181.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                               | BRENT CRUDE (ICE) SEP 26                                         | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          60 | NC      | $464388.97    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| A&D Mortgage Trust                                               | A&D Mortgage Trust 2025-NQM4                                     | CUSIP: 002941AA0<br>LEI: 9845006Y6D399D9E8O78 | Long             | ABS-MBS          | CORP              | US        |      445363 | PA      | $449227.96    | 0.08%             | 2070-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CA        |           1 | NC      | $-189933.26   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | THAI BAHT                                                        | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TH        |           1 | NC      | $-3715.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: EUR 2.000000 21-JUN-2028 EUR                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   108800000 | OU      | $223826.83    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                            | LME ZINC MAR 26                                                  | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           1 | NC      | $736.81       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Securities LLC                                       | BRITISH POUND                                                    | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | GB        |           1 | NC      | $-73001.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd                                             | Elmwood CLO VIII Ltd                                             | CUSIP: 290021AL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $241673.00    | 0.05%             | 2037-04-20      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2025-VIS3                               | CUSIP: 46594EAC8<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      593696 | PA      | $597811.06    | 0.11%             | 2066-02-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                      | FIGRE Trust 2025-HE3                                             | CUSIP: 31684LAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $108632.47    | 0.02%             | 2055-05-25      | Variable      | 9.08%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | IN        |           1 | NC      | $-1445.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIGURE LENDING FIGRE_24-HE1                                      | FIGURE LENDING FIGRE_24-HE1                                      | CUSIP: 31684HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      150000 | PA      | $159249.20    | 0.03%             | 2054-03-25      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST COLT_21-4                               | COLT MORTGAGE LOAN TRUST COLT_21-4                               | CUSIP: 19688GAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      400000 | PA      | $333409.72    | 0.06%             | 2066-10-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | OTC (GENERIC) 1 YEAR                                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |     6000000 | NC      | $75859.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                                               | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              |  | AU        |           1 | NC      | $576142.08    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Thailand Futures Exchange                                        | SET50 FUTURES MAR 26                                             | CUSIP: 000000000<br>LEI: 5493006G4X6OUMF0CE07 | N/A              | DE               |  | TH        |         629 | NC      | $102470.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank Co. Ltd.                                               | NORWAY KRONA                                                     | CUSIP: 000000000<br>LEI: 2HI3YI5320L3RW6NJ957 | N/A              | DFE              |  | NO        |           1 | NC      | $17004.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                   | HOME PARTNERS OF AMERICA TRUST HPA_19-2                          | CUSIP: 43732TAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327875 | PA      | $319675.72    | 0.06%             | 2039-10-19      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor Abs Trust                    | Center Street Lending Resi-Investor ABS Mortgage Trust 2026-RTL1 | CUSIP: 151704AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $803251.20    | 0.15%             | 2030-12-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT KCBT FUTURE JUL 26                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          28 | NC      | $40660.03     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SG        |           1 | NC      | $-748398.82   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | AUSTRALIA DOLLAR                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | AU        |           1 | NC      | $-3716.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | WHEAT SEP 26                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |          86 | NC      | $233026.72    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | SINGAPORE DOLLAR                                                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SG        |           1 | NC      | $-13620.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | MX        |           1 | NC      | $3915.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE FNMA_20-54                                            | FANNIE MAE FNMA_20-54                                            | CUSIP: 3136BBGH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     1573247 | PA      | $207434.56    | 0.04%             | 2050-08-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | CANADIAN DOLLAR                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $197263.55    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | TH        |           1 | NC      | $-7767.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Securities LLC                                       | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              |  | NZ        |           1 | NC      | $197015.72    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                   | Pagaya AI Debt Trust 2024-2                                      | CUSIP: 694961AC7<br>LEI: 254900ULYEY0HX0PKA54 | Long             | ABS-O            | CORP              | US        |      131820 | PA      | $133621.31    | 0.03%             | 2031-08-15      | Fixed         | 7.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | SG        |           1 | NC      | $-14538.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | ZA        |           1 | NC      | $-5268.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bills                                              | CUSIP: 912797ST5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    44000000 | PA      | $43957197.68  | 8.31%             | 2026-03-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                                   | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              |  | CH        |           1 | NC      | $-48612.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | COCOA DEC 26                                                     | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |          12 | NC      | $-126600.63   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                           | MSCI EAFE INDEX MAR 26                                           | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |          -1 | NC      | $-5912.02     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | CA        |           1 | NC      | $-4863.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                      | LIVE CATTLE APR 26                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |           3 | NC      | $-12353.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                           | TRSWAP: MSCI SWEDEN 03/18/2026                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    -1995194 | OU      | $5803.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | ID        |           1 | NC      | $317.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | NY HARBOR ULSD (HEAT OIL) NOV 26                                 | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          11 | NC      | $69811.26     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                            | LME NICKEL NOV 26                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |           8 | NC      | $20304.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                          | Saluda Grade Alternative Mortgage Trust 2023-FIG3                | CUSIP: 79582AAD9<br>LEI: 213800ETGZN4SIG56R83 | Long             | ABS-O            | CORP              | US        |      442683 | PA      | $691285.97    | 0.13%             | 2053-08-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe                                               | GAS OIL NOV 26                                                   | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |          21 | NC      | $76982.38     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                         | SWISS FRANC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |           1 | NC      | $16163.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                         | FSWP: OIS 4.500000 21-JUN-2056 SON                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2400000 | OU      | $95315.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                          | HUNGARIAN FURINT                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              |  | HU        |           1 | NC      | $-2062.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                            | CUSIP: 01F042632<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18000000 | PA      | $17799303.42  | 3.37%             | 2056-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                                               | Visio 2019-2 Trust                                               | CUSIP: 92837DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $197684.52    | 0.04%             | 2054-11-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                          | US DOLLARS                                                       | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | JP        |           1 | NC      | $33220.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATiON GNMA_23-115             | GOVERNMENT NATIONAL MORTGAGE ASSOCIATiON GNMA_23-115             | CUSIP: 38384CL56<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     2782368 | PA      | $188542.73    | 0.04%             | 2053-08-20      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                                     | NATURAL GAS NOV 26                                               | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |          81 | NC      | $-147033.95   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-07

**Name of Applicant:** COLUMBIA FUNDS SERIES TRUST I

**Signature:** Jennifer Borges

**Name of Signer:** Jennifer Borges

**Title:** Senior Manager